Funds of Hedge Funds
Performance, Assesment, Diversification, and Statistical Properties
Résumé
With about $450 billion in assets, funds of hedge funds are the most recent darling of investors. While hedge funds carry high risk for the promise of high returns they are designed for the very rich and for large institutional investors such as pension funds. A Fund of Hedge Funds (FOF) spreads investments among a number of hedge funds to reduce risk and provide diversification, while maintaining the potential for higher than average returns. Odds are that some pension fund of yours is invested heavily in these products, and more recently these FOFs have been opened to more and more individual investors in offshore jurisdictions with lower minimum entry levels. Since this is a new and extremely fast-moving financial phenomenon, academic research has just begun in earnest, and this is the first book to present rigorous academic research by some of the leading lights in academic finance, carefully analyzing the broad array of issues involved in FOFs.
L'auteur - Greg N. Gregoriou
Greg N. Gregoriou is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at State University of New York, College at Plattsburgh. He obtained his PhD (Finance) from the University of Quebec at Montreal and is the hedge fund editor for the peer-reviewed journal Derivatives Use, Trading and Regulation published by Henry Stewart Publications based in the U.K. He has authored over 40 articles on hedge funds, and managed futures in various US and UK peer-reviewed publications, including the Journal of Futures Markets, European Journal of Finance, Journal of Asset Management, European Journal of Operational Research, and Annals of Operations Research. This is his fourth book with John Wiley & Sons.
Sommaire
- Performance
- Rank alpha funds of hedge funds
- Funds of hedge funds: bias and persistence in returns
- Replication and evaluation of fund of funds returns 1994-2005
- Factor decomposition of fund of funds returns
- Optimal fund of fund asset allocation: hedge funds, CTAs and REITs
- The changing performance and factor risks of fund of funds in the modern period
- Hedge fund indices: are they cost-effective alternatives to fund of funds?
- Simple hedge fund strategies as an alternative to funds of funds: evidence from
- large cap funds
- Diversification, Selection, Allocation and Hedge Fund Indices
- Funds of funds of hedge funds: welcome to diworsification
- Style analysis of funds of hedge funds: measurement of asset allocation and style drift
- Gains from adding funds of hedge funds to portfolios of traditional assets: An international perspective
- Tactical asset allocation for hedge fund indices at one- to six-month horizons
- Single strategy funds of hedge funds: how many funds?
- Construction, and Statistical Properties of Funds of Hedge
- Funds
- The distributional characteristics of fund of hedge fund returns
- Funds of funds and diversification effect
- Higher-moment performance characteristics of funds of funds
- The market risk of funds of hedge funds: a conditional approach
- Revisiting the Fama and French model: An application to funds of funds using
- nonlinear methods
- Investor's choice: an investor-driven, forward-looking optimization approach to fund of hedge fund construction
- Monitoring Risk, Overview of FOFs, Due Diligence, and
- Special Classes of Funds of Funds
- An overview of funds of hedge funds
- Institutional investment due diligence on funds of hedge funds
- Synthetic CDO squares and the continuing evolution of funds of funds
- Natural resources fund of funds: essays on active management, risk management, and due diligence
- Identifying and monitoring risk in a fund of hedge funds portfolio
- The wizardry of analytics for funds of funds
- Quantitative hedge fund selection for fund of funds
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Butterworth-Heinemann |
| Auteur(s) | Greg N. Gregoriou |
| Parution | 13/09/2006 |
| Nb. de pages | 496 |
| Format | 16 x 23,5 |
| Couverture | Relié |
| Poids | 930g |
| Intérieur | Noir et Blanc |
| EAN13 | 9780750679848 |
| ISBN13 | 978-0-7506-7984-8 |
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