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Evaluating and Implementing Hedge Fund Strategies, 3rd Edition: The Experience of Managers and Investors
Euromoney Institutional Investor, Dec 2003, Pages: 446
Chapter 1: An overview of themes and issues 3
- The purpose of this book
- The structure of this book
- Understanding the beast – a review of Part I Introduction
- Intelligence reports from the front lines – a review of Part II:
- Evaluating opportunities – managers' strategies
- Charting the seas – a review of Part III:
- Evaluating opportunities – investors' strategies
- Before hiring a knife juggler, count his fingers – a review of Part IV:
- Assessing risk and risk control
- Stop me before I speculate again – a review of Part V:
- Hedge funds and public policy
- Taming the wild footnote – a review of Part VI:
- Legal and regulatory issues
- Lessons to be learned, re-learned and re-learned again
Chapter 2: Market gravity and hedge fund aerodynamics:
- Introduction
- Market gravity: systemic risk and return
- Hedge fund aerodynamics: a fundamental change in the risk–return profile
- The rationale for perpetual confusion: true versus nominal hedge funds
- True versus nominal: reduced risk for returns versus non-correlating returns
- Appendix: Unified hedge fund classification system, version 1.6
Chapter 3: Sources of systematic return in hedge funds
- Lars Jaeger and Scott Higbee
- Introduction
- Hedge fund return sources
- The challenges for hedge fund investors
- Implications for portfolio management of hedge funds
- Summary and conclusion
Chapter 4: Historical overview of offshore hedge funds
- Antoine Bernheim
- From humble beginnings
- When starting a hedge fund becomes an easy thing to do
- Performance
- Major trends
- The development of offshore jurisdictions
- The development of offshore administrators
- Looking forward
Chapter 5: Hedge fund trends: review and outlook
- Lois Peltz
- Outlook
- Size, asset flow and growth
- Institutional developments
- Conclusion
- Appendix A: Sampling of institutions using or considering hedge funds
- Appendix B: Important dates in hedge fund history
Chapter 6: Lessons learned from investing in hedge funds
- Introduction
- Past performance
- Adaptability
- Newer managers
- Financing
- Performance potential
- Part II: Evaluating opportunities – managers' strategies
Chapter 7: Adding alpha in merger arbitrage
- Overview
- Merger arbitrage
- Not a game for the inexperienced
- Adding alpha in merger arbitrage
- Just when you thought you understood arbitrage
- Globalisation
- Merger bankruptcy
- Recent trends
- Conclusion
Chapter 8: The hedge fund manager's edge: an overview of event investing
- Hedge funds and the efficient market hypothesis
- Event-driven investing and temporary inefficiencies
- Hedge funds and their edge
- A note on risk premia and liquidity
- Corporate spin-offs: 3Com/Palm
- Corporate split-ups: Canadian Pacific
- Conclusion
Chapter 9: Trend following: performance, risk and correlation characteristics
- Michael S. Rulle
- Introduction
- Trend following and sources of return
- Returns and volatility of returns
- Correlation of returns and portfolio construction
- Conclusion
Chapter 10: Using a long-short portfolio to neutralise market risk and enhance active returns
- Bruce I. Jacobs and Kenneth N. Levy
- Introduction
- Setting up a market-neutral long-short portfolio
- Performance in bull and bear markets
- Benefits of long-short
- Adding back market return
- Some concerns addressed
- The importance of investment insights
Chapter 11: Fixed-income arbitrage
- Michael A. Pintar
- Introduction
- Fixed-income arbitrage strategies and their risks
- Yield curve trades
- Spread trades
- Options trades
- Portfolio risks
- Conclusion
Chapter 12: Asset-backed investing
- Luke E. Imperatore
- Introduction
- Advantages for ABS issuers
- Advantages for ABS buyers
- Technical aspects of the asset-backed market
- Economics of the ABS market
- Opportunities for hedge fund investors in ABS markets
- Conclusion
Chapter 13: Emerging markets
- Bruce Richards and Louis Hanover
- Introduction
- Mexico: a true success story
- As the market evolves
- Emerging markets versus other debt classes
- The current market
- The outlook
- Conclusion
Chapter 14: Convertible arbitrage: the manager's perspective
- Michael A. Boyd, Jr and staff
- Introduction
- The issuer's side of the convertible securities market
- The investor's side of the convertible securities market
- What is a convertible security?
- A synopsis of convertible hedging theory
- Cash and carry trades
- The impact of stochastic models on the convertible market
- A crowded market for convertible arbitrage
- Credit analysis of convertible bonds
- A simplified approach to valuing stock price–credit spread correlation
- Risk management
- Investment portfolio applications
- Alpha and convertible arbitrage performance
- Addendum
Chapter 15: Hedged equity investing
- Lee S. Ainslie III
- Introduction
- Net exposure and long-short ratio
- Leverage
- Market timing in a hedged strategy
- Risks within the hedge
- Hedging instruments
- Challenges of shorting
- Security selection risk
- Non-equity risk
- Global investing
- Large cap versus small cap
- Portfolio issues
- Evaluating trading
- Taxes
- Analysing returns
- Selecting a hedged equity manager
Chapter 16: Understanding credit cycles and hedge fund strategies
- Michael E. Lewitt
- Introduction
- A century of accelerating credit cycles
- Credit cycle acceleration and contagion
- The etiology of the 1997–2002 credit cycle
- Macroeconomic factors
- The manifestations of the 1997–2002 credit cycle
- Conclusion
Chapter 17: European event and arbitrage investing
- Roddy Campbell
- Introduction
- European event and arbitrage investing
- Campbell's first law: arbitrage has never worked in countries that have never been ruled by Britain
- Campbell's second law: government involvement spells danger for arbitrageurs
- Campbell's millennium law: national governments in Europe
have now lost all power to interfere in capital markets
- Campbell's next law: the euro est arrivé
- Another law: shareholders own the companies they own shares in
- A global background
- Back to arbitrage
- Back to the future
Chapter 18: Long-short investment strategy in Japan: capitalising on the dynamic structural change occurring in Japan
- Shuhei Abe
- Introduction
- Dynamic structural changes in Japan
- The emergence of Japan's post-war industrial system
- Dismantling Japan's post-war industrial system
- The SPARX experience of long-short investing in Japan
- Innovative product delivery capability
- Conclusion
- Part III: Evaluating opportunities – investors' strategies
Chapter 19: Analysing the evolution of the European hedge fund industry
- Sohail Jaffer
- Introduction
- An industry overview
- Regulatory environment
- Perceptions
- Investor requirements
- Range of investors
- The advantages and disadvantages of hedge funds
- Allocation process
- Due diligence
- Fee structure
- The future
Chapter 20: Hedge funds in Asia
- Peter Douglas
- Introduction
- Intention of this chapter
- Overview
- Appetite for capital
- Regulatory environment
- Characteristics specific to Asian strategies
- Asian appetite for hedged products
- Current environment
- Future developments
Chapter 21: The life cycle of hedge fund managers
- Jeffrey Tarrant
- Introduction
- Wealth management begets wealth creation (for the manager)
- The maths of the hedge fund business
- Tarrant's rule of eight digits
- The five phases in the life cycle of the hedge fund management firm
- Conclusion
Chapter 22: Utilising hedge funds: the experiences of a private investor
- Lloyd Hascoe
- Hedge funds and private investors
- Evolution of a family investment office
- Private investors and risk
- Discovering hedge funds
- Achieving higher returns and lower risk
- The future of hedge fund investing
- Appendix: The Factor Sensitivity model: a hypothetical example
Chapter 23: Quantitative analysis of hedge funds: a simple comprehensive framework
- Thomas Weber
- Introduction
- Some caveats
- A simple framework for quantitative analysis of hedge funds
- Case study
- Summary
Chapter 24: Institutional investors: incorporating hedge funds into the asset allocation process
- James Berens, Judith Posnikoff and Alexandra Coffey
- Introduction
- What defines a hedge fund?
- Where do hedge funds fit in an institutional portfolio?
- Issues for institutions investing in hedge funds
- Recurrent threat of hedge fund regulation
- Advantages of using a fund of funds
- Conclusion
Chapter 25: Quantitative analysis of return and risk characteristics of hedge funds, managed futures and mutual funds
- Thomas Schneeweis and Richard Spurgin
- Introduction
- Sources of return to hedge fund and managed derivative investments
- Data and methodology
- Results
- Implications of results
Chapter 26: The due diligence process
- Roxanne M. Martino
- Reference checks
- Aligning incentives
- Quantitative due diligence
- Qualitative due diligence
- Business risk
- Ongoing due diligence
- Due diligence on funds of funds
Chapter 27: Understanding continuing trends in hedge funds
- Stuart N. Leaf, Paul Isaac and Michael Waldron
- Structural issues
- Sector trends
- Conclusions
Chapter 28: Hedge fund benchmarking and indexation
- Jeff Bramel
- Introduction
- History and evolution of hedge fund indices
- Hedge fund indexation problems
- Index weighting schemes
- Indices and investability
- Transparency
- Liquidity
- Why index?
- Hedge fund index investing
- A survey of hedge fund indices
- Future trends
- Part IV: Assessing risk and risk control
Chapter 29: Risk control and risk management
- Paul Singer
- Introduction
- Leverage
- Concentration and position size
- Absolute size
- The human factor
- People management
- Counterparty and sovereign risk
- Liquidity
- Geopolitical risk
- Systemic risk
- Regulatory risk
- Keeping the risk beast caged
Chapter 30: Qualitative aspects of analysing risk and monitoring managers
- Guy Hurley
- Introduction
- Hedge fund managers: character analysis
- Understanding the hedge fund culture
- Understanding the investment philosophy
- Understanding the edge
- Reflecting the edge in the portfolio
- Understanding risk management
- Monitoring a hedge fund
Chapter 31: Assessing risk and risk control: operational issues
- Mike Tremmel
- Introduction
- Prime brokerage
- Trade authorisation
- Trade capture
- Credit and counterparty risk
- Position and money reconciliation processes with brokers and prime brokers
- Valuation of financial instruments
- Currency exposure
- Future directions, challenges and opportunities
Chapter 32: The evolving role of the prime broker
- Christopher J. Pesce
- Introduction
- What a prime broker does
- How does a prime broker help a manager start a hedge fund?
- How does a prime broker help a hedge fund operate?
- How do prime brokers help hedge funds find capital?
- How do prime brokers help hedge funds generate alpha?
- Conclusion
Chapter 33: Hedge fund transparency
- James R. Hedges, IV
- Introduction
- Hedge fund versus mutual fund investing
- Advantages and disadvantages of transparency
- Transparency is not a free good
- Recent developments
- Part V: Hedge funds and public policy
Chapter 34: What bankers don't know
- Henry Kaufman
Chapter 35: Hedge funds and dynamic hedging
- George Soros
- A different view of markets
- Institutional investors
- Derivatives
- What are hedge funds?
- The Quantum Group of Funds
- Supervision and regulation
- Questions
Chapter 36: Hedge funds and financial markets: implications for policy
- Barry Eichengreen and Donald J. Mathieson
- Introduction
- Hedge fund operations
- Hedge funds and market moves
- Policy implications and options
- The hedge fund industry
- Hedge funds and market dynamics
- Supervision and regulation
- Hedge funds and recent crises
- An appraisal
Chapter 37: Short selling, hedge funds and public policy considerations
- James S. Chanos
- Introduction
- Who sells short?
- Regulatory requirements and economic costs of short selling
- Short sellers as financial detectives
- An example of research-based short selling: Enron
- Is there a need for regulatory change?
- Part VI: Legal and regulatory issues
Chapter 38: Structuring hedge funds – an overview of business, legal and regulatory considerations for managers
- Philip H. Harris, Andrew S. Kenoe, Sarah Davidoff and
- Michael A. Lawson
- Introduction
- Threshold questions
- Types of organisation
- Annuity and insurance products
- US regulatory framework
- Securities Act of 1933 (Securities Act) and Regulation D thereunder;blue sky
- Related 'blue sky' considerations
- Securities Exchange Act of 1934 (the Exchange Act)
- Investment Company Act of 1940 (the Investment Company Act)
- Investment Advisers Act of 1940 (the Advisers Act)
- Commodity Exchange Act of 1974 (CEA)
- Anti-money laundering
- Privacy regulations
- Basic economics
- ERISA-employee benefit plans
- Tax considerations
- Documentation
- Conclusion
Chapter 39: Investing in hedge funds: an overview of business, legal and regulatory considerations for investors
- Eric Sippel and Christopher Rupright
- Introduction
- Primary factors influencing a hedge fund's terms
- Significant hedge fund terms
- Conclusion
Chapter 40: Marketing alternative investment funds:law and regulation
- Eric C. Bettelheim
- EU Directives
- The United Kingdom
- The United States
- France
- Germany
- Switzerland
- Conclusion
Chapter 41: Marketing alternative investments: law and regulation in the United States
- Nicholas S. Hodge
- Introduction
- 1933 Act limitations on marketing
- 1940 Act limitations on marketing
- Advisers Act limitations on marketing
- New products
Chapter 42: The evolution and outlook for regulation of hedge funds in the United States
- Nicholas S. Hodge
- Introduction
- Current regulatory environment
- The development of the hedge fund industry and hedge fund regulation
- Climate change: new perceptions of hedge funds
- Future regulatory developments
- Appendices
- Appendix 1: AIMA's illustrative questionnaire for due diligence of hedge fund managers
- Appendix 2: Regulatory and investor protection issues arising from the participation by retail investors in (funds-of-) hedge funds
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