Download or read book Valuation of Hedge Funds Portfolios in a Downside Risk Framework written by Chokri Mamoghli and published by . This book was released on 2008 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to extend the capital asset pricing models in the downside risk framework to hedge funds universe in order to take into account the asymmetry of returns of these funds and the risk perception of investors. The empirical evidence based on Credit Suisse/Tremont Hedge Fund database shows that the capital asset pricing models in a downside risk framework, especially the D-CAPM, describe better the valuation of hedge funds portfolios.

Download or read book Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework written by Chokri Mamoghli and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We showed that traditional performance measures are not adequate for the performance evaluation of hedge funds portfolios because they take into account neither the asymmetry of returns nor the risk perception of investors. In order to overcome this problem, we made recourse to performance measures in the downside risk framework. By using the Credit Suisse/Tremont Hedge Fund database, we showed that Sortino ratio; upside potential ratio and Omega measure make it possible to overcome the drawbacks of Sharpe ratio. The results obtained also showed that the index of Mamoghli and Daboussi is the adequate measure which makes it possible to surmount the drawbacks of Treynor index and Mishra and Rahman index. Likewise, the results proved that alpha of Mamoghli and Daboussi measures more correctly than Jensen alpha and Mishra and Rahman alpha the performance of hedge funds.

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 Portfolio Optimization of Hedge Funds in a Downside Risk Framework Optimisation de Portefeuille des Hedge Funds dans le cadre du Downside Risk written by Chokri Mamoghli and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the portfolio optimization of hedge funds in the downside risk framework in order to take into account the asymmetry of returns and the behavior of investors towards the risk which are not captured by the mean-variance model. By using the Credit Suisse/Tremont Hedge Fund database, the results showed that the downside risk measures have an impact on the composition of optimal portfolios and on the efficient frontier. The results also showed that the mean-variance model overestimates the risk because of the use of the variance as a risk measure, but the mean- semivariance model of Harlow (1991) underestimates the risk because of the cosemivariances measures used in this model. Likewise, the results obtained proved that the new mean-semivariance model provides a better optimization of hedge funds portfolios because it makes it possible to capture the non-normality of hedge funds strategies and the risk perception of investors which are not taken into account by the mean-variance model and also makes it possible to overcome the problem of inequality of the cosemivariances measures in the mean-semivariance model of Harlow (1991).

Download or read book Evaluating Hedge Fund and CTA Performance written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2005-05-06 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing Data Envelopment Analysis (DEA) -- a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu. "This book steps beyond the traditional trade-off between single variables for risk and return in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and return simultaneously. This approach represents a watershed in portfolio construction techniques and is especially useful for hedge fund and CTA offerings." -- Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research Order your copy today!

Download or read book A Portfolio to Hedge Fund Selection in a Downside Risk Framework written by Leon Gumpert and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hedge Funds written by François-Serge Lhabitant and published by John Wiley & Sons. This book was released on 2009-08-20 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: "An excellent and comprehensive source of information on hedge funds! From a quantitative view Lhabitant has done it once again by meticulously looking at the important topics in the hedge fund industry. This book has a tremendous wealth of information and is a valuable addition to the hedge fund literature. In addition, it will benefit institutional investors, high net worth individuals, academics and anyone interested in learning more about this fascinating and often mysterious world of privately managed money. Written by one of the most respected practitioners and academics in the area of hedge funds." —Greg N. Gregoriou, Professor of finance and research coordinator in the School of Business and Economics at Plattsburgh State University of New York "This is a landmark book on quantitative approaches to hedge funds. All those with a stake in building hedge fund portfolios will highly profit from this exhaustive guide. A must read for all those involved in hedge fund investing." —Pascal Botteron, Ph.D., Head of Hedge Fund Product Development, Pictet Asset Management "François-Serge Lhabitant's second book will prove to be a bestseller too - just like Hedge Funds: Myths and Limits. He actually manages to make quantitative analysis 'approachable'- even for those less gifted with numbers. This book, like its predecessor, includes an unprecedented mix of common sense and sophisticated technique. A fantastic guide to the 'nuts and bolts' of hedge fund analysis and a 'must' for every serious investor." —Barbara Rupf Bee, Head of Alternative Fund Investment Group, HSBC Private Bank, Switzerland "An excellent book, providing deep insights into the complex quantitative analysis of hedge funds in the most lucid and intuitive manner. A must-have supplement to Lhabitant's first book dealing with the mystical and fascinating world of hedge funds. Highly recommended!" —Vikas Agarwal, Assistant Professor of Finance, J. Mack Robinson College of Business, Georgia State University "Lhabitant has done it again! Whereas most books on hedge funds are nothing more than glorified marketing brochures, Lhabitant's new book tells it how it is in reality. Accessible and understandable but at the same time thorough and critical." —Harry M. Kat, Ph.D., Professor of Risk Management and Director Alternative Investment Research Centre, Cass Business School, City University "Lhabitant's latest work on hedge funds yet again delivers on some ambitious promises. Successfully bridging theory and practice in a highly accessible manner, those searching for a thorough yet unintimidating introduction to the quantitative methods of hedge fund analysis will not be disappointed." —Christopher L. Culp, Ph.D., Adjunct Professor of Finance, Graduate School of Business, The University of Chicago and Principal, Chicago Partners LLC

Download or read book Risks and Portfolio Decisions Involving Hedge Funds written by Vikas Agarwal and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper characterizes the systematic risk exposures of hedge funds using buy-and-hold and option-based strategies. Our results show that a large number of equity-oriented hedge fundstrategies exhibit payoffs resembling a short position in a put option on the market index, and therefore bear significant left-tail risk, risk that is ignored by the commonly used mean-variance framework. Using a mean-conditional Value-at-Risk framework, we demonstrate the extent to which the mean-variance framework underestimates the tail risk. Finally, working with the systematic risk exposures of hedge funds, we show that their recent performance appears significantly better than their long-run performance.

Download or read book Hedge Funds written by Vikas Agarwal and published by Now Publishers Inc. This book was released on 2005 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds summarizes the academic research on hedge funds and commodity trading advisors. The hedge fund industry has grown tremendously over the recent years. According to some industry estimates, hedge funds have increased from $39 million in 1990 to about $972 million in 2004 and the total number of hedge funds has gone up from 610 to 7,436 over the same period. At the same time, hedge fund strategies have changed significantly. In 1990 the macro strategy dominated the industry while in 2004 the equity hedge strategy had the largest share of the market. There has also been a shift in the type of investor in hedge funds. In the early 1990's the typical investor was a high net-worth individual investor, today the typical investor is an institutional investor. Thus, the hedge fund market has not only grown tremendously, but the nature of the market has changed. Despite the enormous growth of this industry, there is limited information available on hedge funds. As a result, there is a need for rigorous research from both the investors' and regulators' point of view. Investors need research to better understand their investment and their risk exposure. This research also helps investors recognize the extent of diversification benefits hedge funds offer in combination with investments in traditional asset classes, such as stocks and bonds. Regulators can use this research to identify situations where regulation may be needed to protect investors' interests and to understand the impact hedge funds trading strategies have on the stability of the financial markets. The first part of Hedge Funds summarizes hedge fund performance, including comparisons of risk-return characteristics of hedge funds with those of mutual funds, factors driving hedge fund returns, and persistence in hedge fund performance. The second part reviews research regarding the unique contractual features and characteristics of hedge funds and their influence on the risk-return tradeoffs. The third part reviews the role of hedge funds in a portfolio including the extent of diversification benefits and limitations of standard mean-variance framework for asset allocation. Finally, the authors summarize the research on the biases in hedge fund databases.

Download or read book The Option Trader s Hedge Fund written by Dennis A. Chen and published by FT Press. This book was released on 2012 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, a hedge fund manager and an option trading coach show you how to earn steady, reliable income selling options by managing your option trades and running your option portfolio as a real business with consistent, steady returns. Packed with real-world examples, the authors show you how to manage your own "one man" hedge fund and make consistent profits from selling options by applying the basic framework and fundamental business model and principles of an "insurance company". This framework helps you to apply your option trading strategy to a solid, predictable, business model with consistent returns. For someone who has some knowledge of trading options and wants to become a consistent income earner. The authors provide a complete "operations manual" for setting up your business. Gain pearls of wisdom from both a professional options trader and coach, and from a hedge fund manager focused on managing an options based portfolio.

Download or read book Efficient Fund of Hedge Funds Construction Under Downside Risk Measures written by David Morton and published by . This book was released on 2006 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider portfolio allocation in which the underlying investment instruments are hedge funds. Benchmarks and conditional-value-at-risk motivate a family of utility functions involving the probability of outperforming a benchmark and expected shortfall from another benchmark. Non-normal return vectors with prescribed marginal distributions and correlation structure are modeled and simulated using the normal-to-anything method. A Monte Carlo procedure is used to obtain, and establish the quality of, a solution to the associated portfolio optimization model. Computational results are presented on a problem in which we construct a fund of 13 CSFB/Tremont hedge-fund indices.

Download or read book Hedge Funds written by Richard Hills and published by Batsford. This book was released on 1996 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds written by Andre Lucas and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current research suggests that the large downside risk in hedge fund returns disqualifies the variance as an appropriate risk measure. For example, one can easily construct portfolios with nonlinear pay-offs that have both a high Sharpe ratio and a high downside risk. This paper examines the consequences of shortfall-based risk measures in the context of portfolio optimization. In contrast to popular belief, we show that negative skewness for optimal mean-shortfall portfolios can be much greater than for mean-variance portfolios. Using empirical hedge fund return data we show that the optimal mean-shortfall portfolio substantially reduces the probability of small shortfalls at the expense of an increased extreme crash probability. We explain this by proving analytically under what conditions short-put payoffs are optimal for a mean-shortfall investor. Finally, we show that quadratic shortfall or semivariance is less prone to these problems. This suggests that the precise choice of the downside risk measure is highly relevant for optimal portfolio construction under loss averse preferences.

Download or read book Portfolio Optimization in a Downside Risk Framework written by Lars Huelin and published by LAP Lambert Academic Publishing. This book was released on 2011-04 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines how downside risk measures perform in an investment management context compared to variance or standard deviation. To our knowledge, this paper is the first to include several acknowledged downside risk measures in a thorough analysis where their different properties are compared with those of variance Risk is an essential factor to consider when investing in the capital markets. The question of how one should define and manage risk is one that has gained a lot of attention and remains a popular topic in both the academic and professional world. This study considers six different downside risk measures and tests their relationship with the cross-section of returns as well as their performance in portfolio optimization compared to variance. The first part of the analysis suggests that the conditional drawdown-at-risk explains the cross-section of returns the best across methodologies and data frequency. Conditional valueat- risk explains the daily returns the best but the worst in monthly returns. Variance, together with semivariance, perform average in both data frequencies. The second part of the analysis concludes that conditional value-at-risk and conditional drawdown-at-risk are the two superior risk measures whereas semivariance is the worst performing risk measure - mainly caused by the poor performance during bull markets. Again, variance performs average compared to the downside risk measures in most aspects of this analysis. Overall, this thesis shows that the choice of risk measure has a significant effect on the portfolio optimization process. The analysis suggests that some downside risk measures outperform variance while others fail to do so. This suggest that downside risk can be a better tool in investment management than variance.

Download or read book Evaluating Hedge Fund Performance written by Vinh Q. Tran and published by John Wiley & Sons. This book was released on 2007-02-10 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive look at hedge fund performance issues In Evaluating Hedge Fund Performance, Dr. Vinh Tran gives readers the information they need to construct an efficient hedge fund portfolio based on their own level of knowledge. From evaluating hedge funds to picking the winners, Dr. Tran covers some of the most important issues related to this flexible investment vehicle. Evaluating Hedge Fund Performance takes the standard hedge fund book to a new level by detailing how to manage the risk of hedge funds and offering the best methods to evaluate and monitor hedge funds. With strategy based on interviews and data from experts in the field, this book is a must-read for any investor or manager who is investing in hedge funds.

Download or read book Hedge Fund Operational Due Diligence written by Jason A. Scharfman and published by John Wiley & Sons. This book was released on 2009 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to diagnose and monitor key hedge fund operational risks With the various scandals taking place with hedge funds, now more than ever, both financial and operational risks must be examined. Revealing how to effectively detect and evaluate often-overlooked operational risk factors in hedge funds, such as multi-jurisdictional regulatory coordination, organizational nesting, and vaporware, Hedge Fund Operational Due Diligence includes real-world examples drawn from the author's experiences dealing with the operational risks of a global platform of over 80 hedge funds, funds of hedge funds, private equity, and real estate managers.

Download or read book Hedge Fund Alpha A Framework For Generating And Understanding Investment Performance written by John M Longo and published by World Scientific. This book was released on 2009-03-20 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are perhaps the hottest topic in finance today, but little material of substance to date has been written on the topic. Most books focus on how to set up a hedge fund and the basic strategies, while few to none focus on what matters most: generating and understanding investment performance. This book takes an exclusive look at the latter, including an analysis of the areas that are most likely to generate strong investment returns — namely, the emerging markets of Brazil, Russia, India and China. The book will be invaluable to not only financial professionals, but anyone interested in learning about hedge funds and their future.