Download or read book Alternative Beta Applied An Introduction to Hedge Fund Replication written by Roman Tancar and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the surge in popularity of passive hedge fund investments, the present article discusses the concept of quot;alternative betaquot; and its implications for the hedge fund industry. The article covers a variety of topics, ranging from the basic rationale for hedge fund replication to replication methodologies and products to the academic and financial market environment. We find that with their radical departure from the hedge fund hallmark of alpha delivery, passive replication products represent the next generation of hedge fund investing, and offer the catalyst for further development of the matured hedge fund industry. Further, we show how the alternative beta concept contributes to a proper separation of alpha, and thus enhances the overall efficiency and quality of hedge fund returns. The article also demonstrates that hedge fund replication can take several different forms. In conclusion, we believe that passive hedge fund products have the potential to consistently outperform mediocre (funds of) hedge funds on an after-fee basis.

Download or read book Alternative Beta Strategies and Hedge Fund Replication written by Lars Jaeger and published by John Wiley & Sons. This book was released on 2008-10-13 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: There s a buzzword that has quickly captured the imagination of product providers and investors alike: "hedge fund replication". In the broadest sense, replicating hedge fund strategies means replicating their return sources and corresponding risk exposures. However, there still lacks a coherent picture on what hedge fund replication means in practice, what its premises are, how to distinguish di erent approaches, and where this can lead us to. Serving as a handbook for replicating the returns of hedge funds at considerably lower cost, Alternative Beta Strategies and Hedge Fund Replication provides a unique focus on replication, explaining along the way the return sources of hedge funds, and their systematic risks, that make replication possible. It explains the background to the new discussion on hedge fund replication and how to derive the returns of many hedge fund strategies at much lower cost, it differentiates the various underlying approaches and explains how hedge fund replication can improve your own investment process into hedge funds. Written by the well known Hedge Fund expert and author Lars Jaeger, the book is divided into three sections: Hedge Fund Background, Return Sources, and Replication Techniques. Section one provides a short course in what hedge funds actually are and how they operate, arming the reader with the background knowledge required for the rest of the book. Section two illuminates the sources from which hedge funds derive their returns and shows that the majority of hedge fund returns derive from systematic risk exposure rather than manager "Alpha". Section three presents various approaches to replicating hedge fund returns by presenting the first and second generation of hedge fund replication products, points out the pitfalls and strengths of the various approaches and illustrates the mathematical concepts that underlie them. With hedge fund replication going mainstream, this book provides clear guidance on the topic to maximise returns.

Download or read book Hedge Fund Replication written by G. Gregoriou and published by Springer. This book was released on 2011-11-07 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement. This book offers the reader valuable insights into the thinking behind hedge fund replication.

Download or read book Tracking Problems Hedge Fund Replication and Alternative Beta written by Thierry Roncalli and published by . This book was released on 2009 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: As hedge fund replication based on factor models has encountered growing interest among professionals and academics, and despite the launch of numerous products (indexes and mutual funds) in the past year, it faced many critics. In this paper, we consider three of the main critiques, namely the lack of reactivity of hedge fund replication and its deficiency in capturing tactical allocations; its failure to apprehend non-linear positions of the underlying hedge fund industry and higher moments of hedge fund returns; and, finally, the lack of access to the alpha of hedge funds. To address these problems, we consider hedge fund replication as a general tracking problem which may be solved by means of Bayesian filters. Using the linear Gaussian model as a basis for discussion, we provide the reader with an intuition for the inner tenets of the Kalman filter and illustrate the results' sensitivity to the algorithm specification choices. This part of the paper includes considerations on the type of strategies which can be replicated, as well as the problem of selecting factors. We then apply more advanced Bayesian filters' algorithms, known as particle filters, to capture the non-normality and non-linearities documented on hedge fund returns. Finally, we address the problem of accessing the pure alpha by proposing a core/satellite approach of alternative investments between high-liquid alternative beta and less liquid investments.

Download or read book Alternative Routes to Hedge Fund Return Replication written by Harry M. Kat and published by . This book was released on 2007 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: With average hedge fund performance steadily deteriorating and equity markets picking up again, interest in hedge fund return replication as a cheaper means of obtaining hedge fund-like returns is growing steadily. Currently, there are various products on offer. Compared to real hedge funds (of funds), all of them offer improved liquidity, transparency, capacity, etc. and thereby solve a range of problems surrounding hedge fund investment. There are, however, substantial differences in terms of their attraction as portfolio diversifiers. The multi-strategy replication products offered by Merrill Lynch (Factor Index), Goldman Sachs (ART Index), and Partners Group (ABS fund) exhibit a strong correlation with the stock market. This severely limits these products' attraction as portfolio diversifiers. FundCreator does not necessarily replicate any specific fund or index, but allows investors to design their own diversifier from scratch. This gives investors a unique opportunity to create new tailor-made diversifiers with characteristics that are optimal given their existing portfolios. Clearly, this makes FundCreator-based synthetic funds much more attractive than the various multi-strategy hedge fund replication and alternative beta products currently on offer.

Download or read book The Handbook of Alternative Investments written by Darrell Jobman and published by John Wiley & Sons. This book was released on 2002-10-10 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first comprehensive guide to all types of alternative investments The Handbook of Alternative Investments is an indispensable working resource for investment managers, financial advisors, pension and endowment fund trustees, corporate treasurers, consultants, and estate planners. Authored by an all-star team of investment professionals and academics from across North America, the contributions featured in this groundbreaking guide were carefully selected. Darrell Jobman is a writer and editorial consultant in Deerfield, Illinois, dealing primarily with financial and futures markets. He is an acknowledged authority on derivative markets and has spent his career writing and publishing about them. He formerly was editor-in-chief of Futures Magazine and is currently a contributing editor. He has been an author, co-author, editor, or ghost-writer for a number of books, including The Handbook of Technical Analysis.

Download or read book An Alternative Approach to Alternative Beta written by Thierry Roncalli and published by . This book was released on 2007 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more efficient methodologies like the Kalman Filter. We show that the copycats constructed this way offer risk-return profiles which share several characteristics with the ones posted by hedge funds indices: Sharpe ratios above buy-and-hold strategies on standard assets, moderate correlation with standard assets and limited drawdowns during equity downward trends. An interesting result is that the shortfall risk seems less important than with hedge fund indices and regressions based-trackers. We finally propose new breakdowns of hedge fund performance into alpha, traditional beta and alternative beta.

Download or read book The Hedge Fund Handbook written by Stefano Lavinio and published by McGraw Hill Professional. This book was released on 2000 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The Hedge Fund Handbook answers all these questions and more. Extensive details, charts, graphs, and case studies both real and hypothetical provide a new method for accurately analyzing the risk and return characteristics of any hedge fund and, more crucially, its manager. This book illustrates how the manager's skill in exploiting financial markets is the key component of a hedge fund's ability to generate consistent performance and attractive risk-adjusted returns."--Jacket.

Download or read book Hedge Fund Beta Replication written by Peter Lee and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past few years, hedge fund beta replication strategies have become more common. At the same time, questions about the relevance, performance, and applicability of these strategies have been raised in response to the rapidly shifting landscape in the hedge fund industry. We present a review of the growing beta replication industry with particular emphasis on the ASG Global Alternatives Fund. We discuss the motivation for its existence and the logic of its absolute and relative performance over time and across different market environments. We also explain why these strategies are complements to, and not substitutes for, direct investments in hedge funds, and provide examples of their value-added in investors' portfolios.

Download or read book Handbook of Alternative Assets written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the first edition of the Handbook of Alternative Assets was published, significant events-from the popping of the technology bubble and massive accounting scandals to recessions and bear markets-have shifted the financial landscape. These changes have provided author Mark J. P. Anson with an excellent opportunity to examine alternative assets during a different part of the economic cycle than previously observed in the first edition. Fully revised and updated to reflect today's financial realities, the Handbook of Alternative Assets, Second Edition covers the five major classes of alternative assets-hedge funds, commodity and managed futures, private equity, credit derivatives, and corporate governance-and outlines the strategies you can use to efficiently incorporate these assets into any portfolio. Throughout the book, new chapters have been added, different data sources accessed, and new conclusions reached. Designed as both an introduction to the world of alternative assets and as a reference for the active investor, the Handbook of Alternative Assets, Second Edition will help you match alternative assets with your various investment goals.

Download or read book Replication of Hedge Fund Investment Returns written by Annett Bieri and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last two years hedge fund replication has become en vogue as a number of investment banks have launched hedge fund replication products. This thesis discusses the development of these products and introduces some of the recently launched hedge fund clones. Further, this thesis evaluates risk, return and performance measures for three recently launched hedge fund replication products - the Merrill Lynch Factor Index (MLFI), the DB Absolute Return Beta Index (DBARB) and the Alternative Beta Strategies of Partners Group (PG ABS)- and compares these products with their respective hedge fund benchmarks. It is shown that the factor-based replication products (MLFI & DBARB) are able to replicate their benchmarks quite accurately but do not show better results than the hedge fund indices. The PG ABS on the other side - using a rule-based replication technique - is able to beat its benchmark. However, the product does not show better results than the S&P 500. Further, the thesis shows that neither hedge fund nor hedge fund replication products follow a normal distribution making the use of alternative performance measures indispensable for the evaluation of these products. Further, the implication of hedge fund replication products in a portfolio context is being discussed.

Download or read book Market Risk Management for Hedge Funds written by Francois Duc and published by John Wiley & Sons. This book was released on 2010-04-01 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments. It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage. Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk. As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting. The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. This book is the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.

Download or read book Research Handbook on Hedge Funds Private Equity and Alternative Investments written by Phoebus Athanassiou and published by Edward Elgar Publishing. This book was released on 2012-01-01 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique and detailed Handbook provides a comprehensive source of analysis and research on alternative investment funds in the EU, the US and other leading jurisdictions. Expert contributors offer an unparalleled perspective on the contemporary alternative funds industry, the main areas of regulatory policy concern surrounding its activities, and the role that alternative funds have played in recent financial crises, as well as an account of the rules governing their operation in selected jurisdictions. Providing insight and analysis of the contemporary investment funds industry at a time of crisis and transition, the Research Handbook on Hedge Funds, Private Equity and Alternative Investments will be a valuable tool for scholars, practitioners and policymakers alike.

Download or read book Hedge Fund Investing written by Kevin R. Mirabile and published by John Wiley & Sons. This book was released on 2016-01-19 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to alternative investments and a valuable study companion for the CFA, CAIA, FRM and other professional examinations that include hedge fund investing The 2nd Edition offers new material related to portfolio financing, how funds are sold, liquid alternatives, and the challenges faced when trying to value hedge fund management companies. This edition includes updated power point slides, and a companion workbook with an updated set of end of chapter problems and a revised set of over 150 test bank questions. Hedge Fund Investing is a complete guide to alternative investments for students and professionals alike. Written to align with the CAIA curriculum, this book is much more than just an exam preparation resource—it's a fully comprehensive guide to hedge fund investing in today's market, designed to provide professionals with the deep understanding they need to operate effectively. Broad coverage under the alternative investment umbrella includes discussion about hedge funds, derivatives, investment banking, and commercial banking, with specific guidance toward trading, strategy, portfolio management, performance metrics, due diligence, and more. A full set of ancillary materials helps bring this book into the classroom, and provides rigorous reinforcement of the material presented in the text. Alternative investment expertise has become central to the asset management and institutional investment community. This book facilitates clear understanding of the intricacies of the field and guides you through the practical skills needed to successfully navigate this diverse set of asset classes. Recognize hedge fund trends, flows, and characteristics Examine major hedge fund strategies and how they interact Learn the technical side of financing, settlement, and clearance Measure fund performance and optimize contributing factors Hedge funds and other alternative investments are known for their high reward, but they also come with significant risk. The investment professional's role is to minimize these risks while maximizing reward, but the nuanced nature of these assets dramatically complicates the task. Hedge Fund Investing details every aspect to give you the deep and instinctual understanding you need to operate effectively within the alternative investment sphere.

Download or read book Hedge Fund Replication Using a Strategy Specific Modeling Approach written by Sujit Subhash and published by . This book was released on 2014 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Institutional investors and wealthy individuals have in the past allocated a significant portion of their portfolios to hedge funds with the expectation of unconditional and uncorrelated returns to the market. However, the financial crisis of 2008 has heightened investor sensitivity to the high fees, illiquidity, and lockup periods typically associated with hedge funds. Hedge fund indexes showing excellent returns and low volatility contain funds that are closed to new investments, while the performance of investable funds have been shown to be inferior to their non-investable counterparts. The lack of transparency and extreme variation in the performance of hedge funds make the due diligence process critical in selecting the right fund. These challenges have motivated a search for an alternative to hedge funds. Recent research has established that a significant part of hedge fund returns can be replicated by portfolios constructed using liquid financial instruments. Hedge fund replication products, or clones, answer several challenges faced by hedge fund investors by providing daily liquidity, easy monitoring, and complete transparency at a significant cost advantage to hedge funds. This thesis examines the performance of clones constructed with factors selected based on the economic relevance to each hedge fund strategy by using both a passive model with constant portfolio weights, and an active model requiring monthly rebalancing of portfolio weights. These clones are further compared against the top performing hedge funds to analyze if the clones continue to deliver against a higher benchmark with regard to both risk and return"--Abstract, page iv.

Download or read book Alternative Investments A Primer for Investment Professionals written by Donald R. Chambers and published by CFA Institute Research Foundation. This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.

Download or read book Wave Theory For Alternative Investments Riding The Wave with Hedge Funds Commodities and Venture Capital written by Stephen Todd Walker and published by McGraw Hill Professional. This book was released on 2010-12-17 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: A revolutionary new alternative-investment approach that protects investors from another meltdown High-net-worth investors are allocating about 20% of assets into alternative investment strategies—up from 3% in 2000 Walker was named one of Barron's 2009 Top 1,000 Advisers and one of the Top 25 Wealth Advisers by the Philadelphia Business Journal He worked for Alex.Brown, which took Starbucks and Microsoft public