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基本説明
This essential guide presents a detailed analysis of hedge funds, investment funds and emerging markets; convertible arbitrage; opportunistic investing; techniques, risks and controls from the viewpoints of managers and investors.
Full Description
This book offers practical advice on how to implement and manage a successful hedge fund strategy and includes discussion on event and equity investing, the evaluation of opportunities, risk assessment control, quantitative analysis of return and risk characteristics, investing in emerging markets and convertible arbitrage. This book provides an insightful and practical overview of the dynamics, diversity and divergences of hedge fund investment.
Contents
Contents Acknowledgements Author biographies Part I: Introduction Chapter 1: An overview of themes and issues Ronald A. Lake, Lake Partners, Inc. 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: the prudent approach to hedge fund classification Ted Caldwell, Lookout Mountain Capital, Inc. 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, Partners Group 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, Dome Capital Management, Inc. 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, Infovest 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 over the years Jonathan P. Bren, Hunt Financial Ventures Introduction Past performance Adaptability Newer managers Financing Performance potential Part II: Evaluating opportunities - managers' strategies Chapter 7: Adding alpha in merger arbitrage John Paulson, Paulson & Co., Inc. 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 Jason Huemer, Synthesis Funds 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, Graham Capital Management, LP 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, Jacobs Levy Equity Management 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, Clinton Group 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, Marathon Asset Management, LLC 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, Forest Investment Management 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, Maverick Capital 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, Harch Capital Management, Inc. 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, Cross Asset Management 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 arrive 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, SPARX Asset Management Co., Ltd. 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, Premium Select Lux, SA, AIMA Council Member (Benelux) 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, GFIA, Pte., Ltd., AIMA Council Member (Singapore) 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, Protege Partners 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, Hascoe Associates, Inc. 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, LGT Capital Partners AG 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, Pacific Alternative Asset Management Company, LLC 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, University of Massachusetts, and Richard Spurgin, Clark University 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, Harris Alternatives, LLC 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, Cadogan Management, LLC Structural issues Sector trends Conclusions Chapter 28: Hedge fund benchmarking and indexation Jeff Bramel, DB Advisors, LLC 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, Elliott Associates, LP 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, Financial Risk Management, Ltd. 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, Ernst and Young, LLP 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, Banc of America Securities, LLC 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, LJH Global Investments, LLC 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, Henry Kaufman & Company, Inc. Chapter 35: Hedge funds and dynamic hedging George Soros, Soros Fund Management 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, University of California, Berkeley, and Donald J. Mathieson, International Monetary Fund 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, Kynikos Associates, Ltd. 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, Skadden, Arps, Slate, Meagher & Flom, LLP 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, Eastbourne Capital Management, LLC, and Christopher Rupright, Shartis, Friese & Ginsburg, LLP Introduction Primary factors influencing a hedge fund's terms Significant hedge fund terms Conclusion Chapter 40: Marketing alternative investment funds: law and regulation in Europe Eric C. Bettelheim, Michon de Reya, Solicitors 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, Kirkpatrick & Lockhart, LLP Introduction 1933 Act limitations on marketing 1940 Act limitations on marketing Advisers Act limitations on marketing 1934 Act Limitations on marketing New products Chapter 42: The evolution and outlook for regulation of hedge funds in the United States Nicholas S. Hodge, Kirkpatrick & Lockhart, LLP 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 Alternative Investment Management Association Appendix 2: Regulatory and investor protection issues arising from the participation by retail investors in (funds-of-) hedge funds International Organization of Securities Commissions Introduction Regulatory issues raised by the existence of hedge funds Scope of the types of CISs involved
