Evaluating Hedge Fund Performance
Published on 1. February 2006
Book
Hardback
284 pages
978-0-471-68171-7 (ISBN)
Description
"This book provides a refreshing view of the pros and cons of investment in general and of hedge funds in particular. Individuals wishing an honest introduction to the pros and cons of hedge fund investing will find this book worthwhile."
-From the Foreword by Thomas Schneeweis Editor, The Journal of Alternative Investments
"Finally, a book written by a market practitioner for market practitioners! A must-read for investors and practitioners alike."
-Joseph Pignatelli Jr., President, The Archstone Partnerships
"From picking the winners to going for the gold and searching for the Holy Grail (alpha), Tran does not leave any stone unturned. Highly recommended and a must-read for everyone interested in hedge funds and funds of hedge funds!"
-Greg N. Gregoriou, Associate Professor of Finance and coordinator of faculty research, State University of New York (Plattsburgh)
"Tran does a great job of explaining the dynamics of hedge fund performance in a simple and interesting manner. This book should be a great resource for anyone interested in hedge funds."
-Dr. Vikas Agarwal, Assistant Professor of Finance J. Mack Robinson College of Business, Georgia State University
-From the Foreword by Thomas Schneeweis Editor, The Journal of Alternative Investments
"Finally, a book written by a market practitioner for market practitioners! A must-read for investors and practitioners alike."
-Joseph Pignatelli Jr., President, The Archstone Partnerships
"From picking the winners to going for the gold and searching for the Holy Grail (alpha), Tran does not leave any stone unturned. Highly recommended and a must-read for everyone interested in hedge funds and funds of hedge funds!"
-Greg N. Gregoriou, Associate Professor of Finance and coordinator of faculty research, State University of New York (Plattsburgh)
"Tran does a great job of explaining the dynamics of hedge fund performance in a simple and interesting manner. This book should be a great resource for anyone interested in hedge funds."
-Dr. Vikas Agarwal, Assistant Professor of Finance J. Mack Robinson College of Business, Georgia State University
More details
Series
Edition
1. Auflage
Language
English
Place of publication
New York
United States
Publishing group
John Wiley and Sons Ltd
Target group
Professional and scholarly
Illustrations
Illustrations
Dimensions
Height: 23.6 cm
Width: 16 cm
Thickness: 2.5 cm
Weight
491 gr
ISBN-13
978-0-471-68171-7 (9780471681717)
Schweitzer Classification
Persons
Dr. Vinh Q. Tran is a Senior Vice President in Global Wealth and Investment Management at Bank of America. He has over twenty years of experience in managing fixed income, relative value, global macro, and long/short equity strategies. he has advised institutional investors, funds of hedge funds, and high-net-worth individual investors in hedge fund investing and asset allocation strategies. Dr. Tran has also taught portfolio theory and quantitative methods as an adjunct professor of finance at New York University's Stern School of Business and Fairfield University. Author of Foreign Exchange Management in Multinational Firms, Dr. Tan has a PhD and an MBA in finance from the George Washington University, and a BA in accounting and a BS in political science from the University of Dalat in Vietnam.
Content
Introduction.
PART I: A PRIMER ON HEDGE FUNDS.
Chapter 1. The Market Goes up Forever? Or The Paradox of Long-Term Investing.
The Flaws of Long-Term Investing.
The Wealth Reducing Effects of Volatility.
"Pure" Equity Risk is Unacceptable.
Diversification to Reduce Risks.
Long-Term Investing with Low Correlated Assets and Downside Protection.
Chapter 2. It's The Risk, Not The Return: Using Hedge Funds to Reduce Portfolio Risks.
Not Necessarily Higher Returns.
Consistency of Returns.
Low Correlation with the Stock Market.
Portfolio Effects of Hedge Funds.
Alternative Investments in Uncertain Markets.
Wealth Preservation.
Prospective Long-Term Returns and Risks of Stocks.
Chapter 3. Going For The Gold: Growth and Strategies of Hedge Funds.
Size of The Hedge Fund Industry.
Investors in Hedge Funds.
What are Hedge Funds?
Hedge Fund Strategies.
Performance of Hedge Funds.
PART II: EVALUATING AND SELECTING HEDGE FUND.
Chapter 4. The Skewed Statistics of Hedge Fund Retur.
Perception of Risks: Numbers and Reality.
Gaming the Sharpe Ratio.
Alpha: Holy Grail or Wizard of Oz?
Returns of Hedge Funds Revisited.
Benefits of Hedge Funds Revisited.
Chapter 5. Evaluating Hedge Fund Strategies.
Which Strategies?
Is It Uncorrelated, Really?
How Neutral is Market Neutrality?
Market Risks of Hedge Fund Strategies.
Leverage and Hedge Fund Returns.
Low Correlations - The Good and the Poor.
Chapter 6. Picking the Winners.
Sourcing Hedge Funds.
Preliminary Screening.
Strategy Alpha.
Alpha Generation and Manager Talent.
Due Diligence.
The Risk and Performance Matrix.
Chapter 7. Constructing a Hedge Fund Portfolio.
Effective Diversification to Reduce Risks.
How Much in Hedge Funds?
How Many Hedge Funds?
Know Your Objectives.
Hedge Fund Portfolios in Practice: Case Examples.
Quantify Your Judgment.
PART III: EVALUATING THE PERFORMANCE AND RISKS.
Chapter 8. Evaluating The Performance of Your Hedge Funds.
How Well is Your Hedge Fund Portfolio?
Basic Concepts of Performance Measurement.
Issues Directly Related to Hedge Funds.
Market and Hedge Fund Indices.
Know Your Managers or Key Drivers of Returns.
Performance Benchmarks in Practice.
Evaluating Performance: A Heuristic Process.
Chapter 9. Buyers Beware: Evaluating and Managing the Many Facets of the Risks of Hedge Funds.
The Many Facets of Hedge Funds' Risks.
Investment Risks: Ongoing Focus.
Evaluating the Risks of Your Hedge Funds.
"Fat Tail" Risks and Other Quantities.
Ongoing Risk Management: The Risk and Performance Matrix.
Chapter 10. Instant Diversification: Funds of Funds.
Diversification Benefits of Funds of Funds.
Fees and the Price of Access.
Reduced Liquidity.
Reduced Transparency.
Generating Alpha: Portfolio Re-Balancing.
Types of Funds of Funds.
Performance of Funds of Funds.
Investing with Funds of Funds.
Chapter 11. A Practical Guide to Investing in Hedge Funds.
PART I: A PRIMER ON HEDGE FUNDS.
Chapter 1. The Market Goes up Forever? Or The Paradox of Long-Term Investing.
The Flaws of Long-Term Investing.
The Wealth Reducing Effects of Volatility.
"Pure" Equity Risk is Unacceptable.
Diversification to Reduce Risks.
Long-Term Investing with Low Correlated Assets and Downside Protection.
Chapter 2. It's The Risk, Not The Return: Using Hedge Funds to Reduce Portfolio Risks.
Not Necessarily Higher Returns.
Consistency of Returns.
Low Correlation with the Stock Market.
Portfolio Effects of Hedge Funds.
Alternative Investments in Uncertain Markets.
Wealth Preservation.
Prospective Long-Term Returns and Risks of Stocks.
Chapter 3. Going For The Gold: Growth and Strategies of Hedge Funds.
Size of The Hedge Fund Industry.
Investors in Hedge Funds.
What are Hedge Funds?
Hedge Fund Strategies.
Performance of Hedge Funds.
PART II: EVALUATING AND SELECTING HEDGE FUND.
Chapter 4. The Skewed Statistics of Hedge Fund Retur.
Perception of Risks: Numbers and Reality.
Gaming the Sharpe Ratio.
Alpha: Holy Grail or Wizard of Oz?
Returns of Hedge Funds Revisited.
Benefits of Hedge Funds Revisited.
Chapter 5. Evaluating Hedge Fund Strategies.
Which Strategies?
Is It Uncorrelated, Really?
How Neutral is Market Neutrality?
Market Risks of Hedge Fund Strategies.
Leverage and Hedge Fund Returns.
Low Correlations - The Good and the Poor.
Chapter 6. Picking the Winners.
Sourcing Hedge Funds.
Preliminary Screening.
Strategy Alpha.
Alpha Generation and Manager Talent.
Due Diligence.
The Risk and Performance Matrix.
Chapter 7. Constructing a Hedge Fund Portfolio.
Effective Diversification to Reduce Risks.
How Much in Hedge Funds?
How Many Hedge Funds?
Know Your Objectives.
Hedge Fund Portfolios in Practice: Case Examples.
Quantify Your Judgment.
PART III: EVALUATING THE PERFORMANCE AND RISKS.
Chapter 8. Evaluating The Performance of Your Hedge Funds.
How Well is Your Hedge Fund Portfolio?
Basic Concepts of Performance Measurement.
Issues Directly Related to Hedge Funds.
Market and Hedge Fund Indices.
Know Your Managers or Key Drivers of Returns.
Performance Benchmarks in Practice.
Evaluating Performance: A Heuristic Process.
Chapter 9. Buyers Beware: Evaluating and Managing the Many Facets of the Risks of Hedge Funds.
The Many Facets of Hedge Funds' Risks.
Investment Risks: Ongoing Focus.
Evaluating the Risks of Your Hedge Funds.
"Fat Tail" Risks and Other Quantities.
Ongoing Risk Management: The Risk and Performance Matrix.
Chapter 10. Instant Diversification: Funds of Funds.
Diversification Benefits of Funds of Funds.
Fees and the Price of Access.
Reduced Liquidity.
Reduced Transparency.
Generating Alpha: Portfolio Re-Balancing.
Types of Funds of Funds.
Performance of Funds of Funds.
Investing with Funds of Funds.
Chapter 11. A Practical Guide to Investing in Hedge Funds.