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Full Description
The New Generation of Risk Management for Hedge Funds and Private Equity Investments has been designed to address issues that raise disquiet among investors in alternative investments. Explore this relatively new area of risk management from investors' and participants' perspectives in hedge funds, private equity, fund of funds and mezzanine investments. This book describes and evaluates the unique risks affecting individual hedge fund strategies, private equity investments and generic risks of types of alternative investment strategies. For those managing alternative investments, the perceptions of risk amongst their clients and potential clients that continue to affect the marketing of their skills are explained. Interest areas: AIS, alternative investments strategies, risk management, investment managment, portfolio management, venture capital, hedge fund strategies, hedge funds, private equity. This book has been included as required reading for Level II of the Chartered Alternative Investment Analyst (CAIA) Association program. Chapters from this book have also been included as core reading in the new section on Risk and Investment Management in the GARP 2005 Financial Risk Management Exam. The New Generation of Risk Management for Hedge Funds and Private Equity Investments has contributions by the leading names in the hedge fund and private equity universe. A private forum for you, the reader, with Mark Anson (CIO for CalPERS), Sir David Cooksey (Founder of Advent, Senior Director of the Bank of England, former Governor of the Wellcome Trust), Alexander M. Ineichen (Global Head of AIS research at UBS) and Leslie Rahl (founder of Capital Market Risk Advisors).
Contents
Contents Author biographies Foreword Hans-Willem van Tuyll Preface Lars Jaeger Chapter 1: Risks and risk management for hedge funds Lars Jaeger Challenges for the hedge fund industry Sources of hedge fund return Special challenges of hedge fund risk management Risks in hedge funds Elements of hedge fund risk management Current issues for hedge fund risk management Conclusion Part I: Hedge fund risk Chapter 2: Hedge fund risk Alexander M. Ineichen Introducing the absolute return approach Risk management is supposed to yield asymmetric returns Return illusion Risk illusion from time diversification Systematic risk versus non-systematic risk Conclusion Chapter 3: Understanding return sources of hedge funds and private equity investments Lars Jaeger and Patrik Safvenblad Summary Introduction The sources of hedge fund returns The risk factor exposure of hedge funds and private equity Active strategies and option-like returns Modelling returns of active strategies The role of manager skill Lessons for investors Conclusion Chapter 4 : Measuring risk in hedge fund portfolios John St Hill Introduction Strategy selection Manager selection Conclusion Chapter 5: The risk in hedge fund strategies: alternative alphas and alternative betas William Fung and David Hsieh Introduction Peer-group-based style factors and return-based style factors Asset-based style factors Empirical results Applications of ABS factors in portfolio and risk management Conclusion Chapter 6: Funds of hedge funds Sohail Jaffer Introduction The set-up and value added of funds of hedge funds Portfolio management strategies Style risks and diversification: the selection of strategy sectors Risks of fund of funds manager selection: the due diligence process The post-investment risk management process for multi-manager portfolios Defining and managing hedge fund portfolio risk The issue of transparency Active risk management and the issue of liquidity Conclusion Chapter 7: Due diligence Leslie Rahl Know the context Is the fund consistent with my goals? The past Information Risk Risk management Risk management versus risk measurement Risks Compliance does not equal risk management Conclusion Chapter 8: Convertible arbitrage strategy William Feingold Introduction How convertible arbitrage works The risks Conclusion Chapter 9: Fixed income arbitrage Michael Pintar Introduction Fixed income arbitrage strategies and their risks Yield curve trades Spread trades Options trades Portfolio risks Chapter 10: Managing risks of long/short equity strategies Tolga Demir Introduction Long/short equity Short selling Equity market neutral Conclusion Chapter 11: Global macro and managed futures strategies Patrik Safvenblad Introduction The sources of global macro returns Systematic versus discretionary managers Technical versus fundamental managers Trend-following managers Short-term trading Fundamentals-based trading Conclusion Chapter 12: Trend following: performance, risk and correlation characteristics Michael Rulle Introduction Trend following and sources of return Returns and volatility of returns Correlation of returns and portfolio construction Conclusion Chapter 13: The risks of commodity investing Hilary Till and Joseph Eagleeye Risk and return sources of commodities Role in a traditional portfolio: commodity futures investments as a diversifier or return driver Idiosyncratic risk and systematic macroeconomic risk factors Conclusion Part II: Private equity risk Chapter 14: Quantitative private equity risk management Andre Frei and Michael Studer Introduction Cash flow characteristics of private equity Private equity risks and risk management Conclusion Chapter 15: Risk management for private equity funds of funds Bradley Atkins and Mario Giannini Introduction Definition and role of a fund of funds Structuring private equity funds of funds Difficulties of measuring risk Style risks and diversification Risks of manager selection Investment selection process Monitoring portfolio risk Active risk management Conclusion Chapter 16: The risks of mezzanine Martin Conder Introduction What is mezzanine? Reducing risk through credit analysis The real value of mezzanine security Portfolio returns: what you get in the long run How the mezzanine portfolio manager reduces risk Chapter 17: Risks of venture capital Sir David Cooksey Introduction Background The investment process Assessing the general partner Due diligence The investor's perspective Chapter 18: Understanding and managing risk in leveraged buy-out fund investing William Schmidt Introduction Risks Outlook Part III: The perspective of investors, consultants and third parties Chapter 19: The fiduciary's perspective on alternative assets and institutional risk management Mark Anson Introduction The concentrated portfolio Do hedge funds hedge? Fraud Fiduciary risk management: establishing an investment policy Conclusion Chapter 20: A consultant's perspective on hedge fund and private equity risk Geoff Singleton Background The strategic role for hedge funds and private equity Implementing an allocation to private equity Alternative strategies Portfolio supervision Fee structures Cash flow management Implementing an allocation to hedge funds Scheme-centric framework: allowing for systematic risks and rewards Financial economic case: where systematic risks and rewards are excluded Conclusion Chapter 21: The perspective of consultants on hedge fund and private equity risk Alan H. Dorsey Introduction The evolution of AIS investing and risk management among endowments and foundations Organisational considerations for AIS risk tolerance The role of the investment committee The role of the investment staff The role of a fund of funds The role of the consultant The first defence against AIS risk: diversification Due diligence and AIS risk management Summary Chapter 22: Specific issues for pension funds and other institutional investors Markus Schaub Introduction Regulatory restrictions Importance of risk management for institutional investors Comparison with risk management in traditional asset classes Risk measurement Impact on risk-adjusted performance measurement Strategic dimension Conclusion Chapter 23: Hedge funds: special issues for financial institutions Dr Franz Feldmann Introduction The strategic production plan Creating a white-label hedge fund of funds solution Summary Chapter 24: Hedge fund and private equity securitisation Michael Romer, Michael Moise and Richard Hrvatin Introduction What is a securitisation? Hedge fund CFOs Why structure a CFO? Private equity CFOs Part IV: Risk management techniques Chapter 25: Simulation-based risk management systems for hedge funds Curt Burmeister, Helmut Mausser and Dan Rosen Introduction Simulation and scenarios Simulation-based methodology: Mark-to-Future Simulation-based architecture Scenario-generation methods Modelling hedge funds and funds of funds Examples Case study: scenario-based risk management at Ritchie Capital Chapter 26: Risk measurement for hedge funds Allan M. Malz The role of quantitative risk measurement in hedge funds Market, credit and liquidity risk in hedge funds Conclusion Chapter 27: Style drifts: monitoring, detection and control Pierre-Yves Moix Introduction On styles and strategies Style drift: definition and importance Main reasons for style drifts How can a style drift be detected, monitored and controlled? Conclusion Chapter 28: VaR, stress testing and related risk management techniques for hedge funds Paul Embrechts and Hansjorg Furrer Introduction Value-at-Risk Dependence in risk management The use of VaR for hedge funds Stress testing and scenario analysis Conclusion Chapter 29: Performance and risk measurement challenges for hedge funds: empirical considerations Peter Blum, Michel Dacorogna and Lars Jaeger Risk and risk measures Evaluation of risk measures Risk in extreme situations Dependence and diversification Time dependence and volatility clustering Conclusion Part V: Legal and regulatory issues Chapter 30: Legal and fiscal risks in structuring and selling hedge funds in Germany Achim Putz Introduction Current general legal conditions for hedge funds and structured hedge fund products in Germany The Investment Act 2003 Chapter 31: Regulatory issues for hedge funds Simon Firth, Victoria Schonfeld and Isha Youhas Introduction General issues Issues and developments in the United Kingdom Issues and developments in the United States Issues and developments in the EU Conclusion
