Hedge Fund Investment Management (eBook)

Izzy Nelken (Herausgeber)

eBook Download: PDF

2005 | 1. Auflage
352 Seiten
Elsevier Science (Verlag)
978-0-08-045513-6 (ISBN)

Infos

There has been a tremendous growth in the Hedge Fund industry in recent years. It is estimated that there are more than 8000 Hedge Funds in the US alone. They have grown in popularity since the bear market of the early 2000s which convinced many people that they cannot just own stocks outright or inside mutual funds.

Most investors understand mutual funds. They understand that the manager selects stocks and buys them. They also understand why they made (or lost) money in their mutual fund investments. The same thing cannot be said about Hedge Funds which come in a variety of flavors. Even savvy investors are often hard pressed to explain the sources of return on their Hedge Funds.

This book should be read by anyone who has invested in, or is considering an investment in, a Hedge Fund and also by anyone who is considering starting one. The book explains the different types of funds as well as covering the key issues in every type of Hedge Fund.

This book covers the entire gamut of the Hedge Fund industry. The authors explain the different styles of Hedge Funds (e.g. market neutral, convertible bond arbitrage, fixed income arbitrage and many more) and include a summary for each style of fund. The book also explains what a fund of funds is, and covers the recently introduced capital guarantees and describes the capital preservation concerns that are faced by investors.

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There has been a tremendous growth in the Hedge Fund industry in recent years. It is estimated that there are more than 8000 Hedge Funds in the US alone. They have grown in popularity since the bear market of the early 2000s which convinced many people that they cannot just own stocks outright or inside mutual funds. Most investors understand mutual funds. They understand that the manager selects stocks and buys them. They also understand why they made (or lost) money in their mutual fund investments. The same thing cannot be said about Hedge Funds which come in a variety of flavors. Even savvy investors are often hard pressed to explain the sources of return on their Hedge Funds. This book should be read by anyone who has invested in, or is considering an investment in, a Hedge Fund and also by anyone who is considering starting one. The book explains the different types of funds as well as covering the key issues in every type of Hedge Fund. This book covers the entire gamut of the Hedge Fund industry. The authors explain the different styles of Hedge Funds (e.g. market neutral, convertible bond arbitrage, fixed income arbitrage and many more) and include a summary for each style of fund. The book also explains what a "e;fund of funds? is, and covers the recently introduced capital guarantees and describes the capital preservation concerns that are faced by investors.

Inhalt

Cover 1
Contents 8
Contributors 12
Preface 18
Introduction 20
Acknowledgements 22
Fixed income arbitrage¹ 24
Government Issued Debt 24
Asset Swaps (Excluding Convertible Bonds) 26
Yield Curve Arbitrage 27
Corporate Bond Arbitrage 28
Capital Structure Arbitrage 31
Diversity in mortgage hedge fund investing 34
Introduction 34
Some Basic Mortgage Mechanics 35
Varieties of Mortgage Loans 36
Varieties of Mortgage-Backed Securities 38
Varieties of Strategies 39
Analytic Methods and Models 41
Liquidity and Leverage 44
Net Asset Value and Marking to Market 45
Hedging Strategies and Risk Management 46
Conclusion 47
Absolute returns in commodity (natural resource) futures investments 48
Return Compression in Hedge Funds has led to an Increased Interest in Investing in Commodities 49
The Traditional Case for Commodity Investing: The Structural Returns Available in the Futures Markets 51
The Updated Case for Commodities: The Potential for Global Supply Shocks and Inflation 57
Risk Management in Commodity Investing 59
Conclusion 63
References 64
Issues in hedge funds going offshore 66
Introduction 66
Common Considerations 66
Setting up in the Cayman Islands 77
List of References and Readings 85
Structured products on hedge funds 87
The Basics 87
Evolution of Structured Products 87
Types of Structured Products 89
Principal protection structures 91
Using Structured Products 95
Looking Ahead 100
Careers in hedge funds 103
Overview 103
Back Office Careers 105
Middle Office Careers 113
Front Office Careers 116
Special Issues that Women Face 121
A liquidity haircut for hedge funds¹ 125
Introduction 125
Valuing the Hedge Fund Manager’s Contract 126
Longstaff ’s Method 129
Simulating the Illiquidity Premium 130
Conclusion 134
References 134
Hedge fund investing: some words of caution 135
Introduction 135
The Available Data on Hedge Funds are far from Perfect 136
Funds Following the same type of Strategy may still Behave very Differently 137
Similar Indices from Different Index Providers may Behave very Differently 139
The True Risks of Hedge Funds Tend to be Seriously Underestimated 140
Sharpe Ratios and Alphas of Hedge Funds can be Highly Misleading 142
There are no Shortcuts in Hedge Fund Selection 143
Hedge Fund Diversification is not a Free Lunch 145
Hedge Funds do not Combine very well with Equity 146
Modern Portfolio Theory is too Simplistic to deal with Hedge Funds 147
One has to Invest at least 20% in Hedge Funds for it to make a Difference 149
Conclusion 149
References 150
On ranking schemes and portfolio selection 151
Introduction 151
Conventions and Definitions 152
Equivalence in a Gaussian World 153
Ranking and Risk Aversion 157
A Better Utility Function 159
Extension to Non-Gaussian Distributions 161
Market Determination of m 163
Modern Portfolio Theory 163
Conclusions 165
References 166
Index 168

Produkt-Details

• Erscheint lt. Verlag: 12.12.2005
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Geld / Bank / Börse
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• ISBN-10: 0-08-045513-1 / 0080455131
• ISBN-13: 978-0-08-045513-6 / 9780080455136