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基本説明
Covers recent advances in risk management, due diligence, tail risk, and allocation.
Full Description
How will the funds of hedge funds (FoHF) business have to change to survive in the wake of the 2008-2012 financial crisis? This new research provides valuable insight. Reconsidering Funds of Hedge Funds presents the first comprehensive views of UCITS as well as recent trends in due diligence, risk management, and hedge fund deaths and survivors. The book contains original chapters by 22 academics and 16 hedge fund professionals, and includes two sections on performance: one that looks at UCITS FoHF and one that deals with traditional FoHF performance. Most chapters examine aspects of the 2008-2012 financial crisis, and almost every chapter addresses fund of hedge funds' management process before, during, and after the crisis.
Contents
Chapter 1 After the Crisis: The Withering of the Funds of Hedge Funds Business? R. McFall Lamm, Jr.
Section 1: DUE DILIGENCE AND RISK MANAGEMENT
Chapter 2 Evaluating Trends in Fund of Hedge Fund Operational Due Diligence Jason Scharfman
Chapter 3 The Limits of UCITS for Fund of Hedge Funds Jeannine Daniel and François-Serge Lhabitant
Chapter 4 Due Diligence: Lessons from the Global Financial Crisis for Funds of Hedge Funds with Particular Emphasis on the Asia Pacific Region David Edmund Allen, Staley Roy Alford (Roy) Pearce and Robert John Powell
Chapter 5 The Use of Managed Accounts by Fund of Hedge Funds Marcus Müller and Daniel Dietrich
Chapter 6 Choice of Risk Measure in Evaluating UCITS Funds of Hedge Funds Alessandro Carretta and Gianluca Mattarocci
Section 2: UCITS PERFORMANCE
Chapter 7 UCITS Funds of Hedge funds - The New Panacea? Louis Zanolin
Chapter 8 The Return Potential of UCITS Fund of Hedge Funds: An Analysis of their Investment Universe Marcus Storr, Thomas Maier, Florian Haberfelner and Iliya Kutsarov
Chapter 9 How Geography, Flows and Size Affects the Risk-Adjusted Performance of UCITS III Fund of Hedge Funds Greg N. Gregoriou, Dieter Kaiser and Razvan Pascalau
Chapter 10 Funds of Hedge Funds vs. Do-It-Yourself Funds of UCITS Samuel Sender
Section 3: PERFORMANCE
Chapter 11 Predicting Funds of Hedge Funds Attrition Through Performance Diagnostics Philippe Cogneau, Philippe Debatty and Georges Hübner
Chapter 12 Does Fund of Hedge Fund Size Matter? Size vs. Performance Before, During and After the Crisis Jeannine Daniel and François-Serge Lhabitant
Chapter 13 Normalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis Laurent Bodson, Laurent Cavenaile and Alain Coën
Chapter 14 The Impact of the 2008 Financial Crisis on Fund of Hedge Funds Na Dai and Hany A. Shawky
Chapter 15 Forecasting Funds of Hedge Funds Performance: A Markov Regime-Switching Approach Szabolcs Blazsek
Chapter 16 A Panel Based Quantile Regression Analysis of Funds of Hedge Funds David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh
SECTION 4: FUND OF HEDGE FUND ALPHA
Chapter 17 Reward-to-Risk Ratios of Funds of Hedge Funds Yigit Atilgan, Turan G. Bali and K. Ozgur Demitras
Chapter 18 The Short-Run Performance Persistence in Funds of Hedge Funds David Ardia and Kris Boudt
Chapter 19 "Seeking Alpha": The Performance of Funds of Hedge Funds Raphaële Chappe, Christian Proaño and Willi Semmler
Chapter 20 Quantitative Insight into Management of Funds of Hedge Funds and Consequences on Fund Alpha Performance Justina Dambrauskaite, H. Haidar, Bernard Minsky and Qi Tang
Chapter 21 Selecting Top Funds of Hedge Funds Based on Alpha and Other Performance Measures Ying-Lin Hsu , Chung-Ming Kuan and Stéphane M. F. Yen
Chapter 22 Funds of Hedge Strategies and Implications for Asset Management: Is Diversification Enough? Simone Siragusa
SECTION 5: TAIL RISK
Chapter 23 The Intertemporal Relation between Tail Risk and Fund of Hedge Fund Returns Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Chapter 24 Tail Risk Protection for Funds of Hedge Funds Oliver A. Schwindler
Chapter 25 Autocorrelation, Bias and Fat Tails: An Analysis of Funds of Hedge Funds Martin Eling
Chapter 26 Crisis and Funds of Hedge Funds Tail Risk Monica Billio, Kaleab Mamo and Loriana Pelizzon
Chapter 27 Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles: Empirical Evidence from Growth and Financial Crisis Periods Wolfgang Bessler and Philipp Kurmann
Section 6: REGULATION
Chapter 28 Regulation: Threat or Opportunity for the Fund of Hedge Fund Industry? Serge Darolles and Mathieu Vaissie
Chapter 29 Funds of Hedge Funds and the Principles of Fiduciary Investing Following the Global Financial Crisis Paul U. Ali
Chapter 30 Understanding the Regulation Impact: US Fund of Hedge Funds after the Crisis David Edmund Allen, Robert John Powell and Abhay Kumar
Chapter 31 Canada and Australia: Do They Provide a Regulatory Model for Funds of Hedge Funds? David Edmund Allen, Raymond Robert Boffey and Robert John Powell
Chapter 32 South African Regulatory Reforms of Fund of Hedge Funds David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh
