05631nam 22006974a 450 991078435620332120230120004429.01-281-01612-897866110161280-08-047282-6(CKB)1000000000349840(EBL)288951(OCoLC)476043006(SSID)ssj0000160056(PQKBManifestationID)11150882(PQKBTitleCode)TC0000160056(PQKBWorkID)10181945(PQKB)10914363(MiAaPQ)EBC288951(Au-PeEL)EBL288951(CaPaEBR)ebr10169832(CaONFJC)MIL101612(EXLCZ)99100000000034984020060120d2006 uy 0engur|n|---|||||txtccrFunds of hedge funds[electronic resource] performance, assessment, diversification, and statistical properties /edited by Greg N. GregoriouAmsterdam ;Boston Butterworth/Heinemann/Elsevierc20061 online resource (497 p.)Quantitative finance seriesDescription based upon print version of record.0-7506-7984-0 Includes bibliographical references and index.Front Cover; Title page; Copyright Page; Table of Contents; Preface and Acknowledgments; About the editor; List of contributors; Part One: Performance; 1 Rank alpha funds of hedge funds; 1.1 Introduction; 1.2 Hedge fund data and biases; 1.3 Factor models for hedge funds; 1.4 Model estimation; 1.5 Rank alpha; 1.6 Optimizing funds of hedge funds; 1.7 Cleaning the covariance matrix; 1.8 Performance analysis of rank alpha portfolios; 1.9 Conclusion; References; 2 Funds of hedge funds: bias and persistence in returns; 2.1 Introduction; 2.2 Database; 2.3 Methodology; 2.4 Descriptive statistics2.5 Bias analysis2.6 Persistence in performance; 2.7 Conclusion; References; 3 Replication and evaluation of funds of hedge funds returns; 3.1 Introduction; 3.2 The KP efficiency measure; 3.3 Evaluation results; 3.4 Distributional analysis; 3.5 Conclusion; References; 4 Performance, size, and new opportunities in the funds of hedge funds industry; 4.1 Introduction; 4.2 Experimental framework; 4.3 Factor model for fund of funds; 4.4 Sample formation; 4.5 Performance decomposition of FOF portfolios; 4.6 Principal components of FOF returns; 4.7 Conclusion; References5 Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs5.1 Introduction; 5.2 Data; 5.3 Methodology; 5.4 Results; 5.5 Conclusion; References; 6 The changing performance and risks of funds of funds in the modern period; 6.1 Characteristics of funds of funds; 6.2 Comparing returns: funds of funds vs. hedge funds; 6.3 Ancient history vs. modern history: LTCM as the defining moment; 6.4 Factor analysis of returns; 6.5 The future of funds of funds; References; 7 Hedge fund indices: Are they cost-effective alternatives to funds of funds?; 7.1 Introduction; 7.2 Funds of funds7.3 Investable hedge fund indices7.4 Distribution of returns and potential biases; 7.5 Asset-based style factors; 7.6 Mean excess return and Sharpe ratio comparisons; 7.7 Fung and Hsieh model alphas and information ratio comparisons; 7.8 Correlation with traditional asset returns and lagged equity return comparisons; 7.9 Conclusion; References; 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large-cap funds; 8.1 Introduction; 8.2 Data; 8.3 Methodology; 8.4 Empirical results; 8.5 Conclusion; ReferencesPart Two: Diversification, Selection, Allocation, and Hedge Fund Indices9 Funds of funds of hedge funds: welcome to diworsification; 9.1 Introduction; 9.2 The art and science of diversification; 9.3 Analysis; 9.4 Diversification results; 9.5 How about the fees?; 9.6 Conclusion; References; 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift; 10.1 Introduction; 10.2 Sharpe's model for style analysis; 10.3 Data set; 10.4 Hedge fund classification; 10.5 Accuracy of Sharpe's model; 10.6 Measuring the style drift; 10.7 Conclusion; References; Appendix11 Gains from adding funds of hedge funds to portfolios of traditional assets: an international perspectiveWith about 450 billion in assets, funds of hedge funds are the most recent darling of investors. While hedge funds carry high risk for the promise of high returns they are designed for the very rich and for large institutional investors such as pension funds. A Fund of Hedge Funds (FOF) spreads investments among a number of hedge funds to reduce risk and provide diversification, while maintaining the potential for higher than average returns. Odds are that some pension fund of yours is invested heavily in these products, and more recently these FOFs have been opened to more and more individQuantitative finance series.Hedge fundsRisk managementHedge fundsEvaluationInvestment analysisMathematical modelsHedge funds.Risk management.Hedge fundsEvaluation.Investment analysisMathematical models.332.64/5Gregoriou Greg N.1956-887648MiAaPQMiAaPQMiAaPQBOOK9910784356203321Funds of hedge funds3744921UNINA