Intelligent Hedge Fund Investing

Abstract

CONTENTS Foreword, Tanya Beder, Caxton Associates LLC Intelligent Hedge Fund Investing: An Introduction Barry Schachter SECTION 1: CHALLENGES TO HEDGE FUND INVESTORS Introduction Barry Schachter 1. Hedge Funds vs Common Sense Harry M. Kat City University, London 2. Understanding Risks Embedded in Portfolios of Hedge Funds Boris Arabadjiev Credit Suisse Asset Management 3. Indexing Hedge Fund Indices Noel Amenc Lionel Martellini Mathieu Vaissie EDHEC 4. The Benefits and Costs of Illiquidity Hilary Till Premia Risk Consultancy, Inc 5. Threading a Rope Through a Needle: How Does a Large-Scale Investor Approach Hedge Funds? Leola B. Ross Russell Investment Group SECTION 2: MEASURING HEDGE FUND PERFORMANCE Introduction Barry Schachter 6. Maximum Drawdown: Further Results Emmanuel Acar Amy Middleton Bank of America 7. The Alternative Ratio Bernard Lee Youngju Lee Imperial College Allianz Hedge Fund Partners 8. AIRAP: Alternative Views on Alternative Investments Milind Sharma Merrill Lynch Investment Managers 9. How Sharpe are Funds of Funds? Youngju Lee Bernard Lee Allianz Hedge Fund Partners Imperial College SECTION 3: IDENTIFYING AND ESTIMATING HEDGE FUND RISKS Introduction Barry Schachter 10. Alternative Approaches to Estimating VAR for Hedge Fund Portfolios Turan G. Bali Suleyman Gokcan Zicklin School of Business Citigroup Alternative Investments 11. A Quantitative Analysis of Hedge Fund Style and Performance Claus Bang Christiansen Peter Brink Madsen Michael Christensen Aarhus School of Business 12. An Analysis of the Risk Factors Underlying Hedge Fund Returns John Okunev Derek White Principal Global Investors 13. A Critical Examination of Historical Hedge Fund Returns Nolke Posthuma Pieter Jelle van der Sluis ABP Investments Free University Amsterdam and ABP Investments SECTION 4: HEDGE FUNDS IN PORTFOLIOS Introduction Barry Schachter 14. Optimal Hedge Fund Style Allocation Under Higher Moments Jean-Francois Bacmann Sebastien Pache RMF Investment Management Ernst and Young 15. Evaluating Gains from Diversifying into Hedge Funds Using Dynamic Investment Strategies Niclas Hagelin Bengt Prambourg Stockholm University School of Business and the Swedish National Debt Office Stockholm University School of Business 16. Evaluating Hedge Fund Investments: The Role of Pure Style Indices Francois-Serge Lhabitant Union Bancaire Privee

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 33 citations exist upstream.