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Funds of hedge funds : performance, assessment, diversification, and statistical properties

Author: Greg N Gregoriou
Publisher: Amsterdam ; Boston : Butterworth/Heinemann/Elsevier, ©2006.
Series: Quantitative finance series.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:

With about $450 billion in assets, funds of hedge funds are the darling of investors. A Fund of Hedge Funds (FOF) spreads investments among a number of hedge funds to reduce risk and provide  Read more...

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Genre/Form: Aufsatzsammlung
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Greg N Gregoriou
ISBN: 0750679840 9780750679848
OCLC Number: 63178953
Description: xxix, 466 pages : illustrations ; 24 cm.
Contents: Part One. Performance --
Rank alpha funds of hedge funds / Carol Alexander and Anca Dimitriu --
Funds of hedge funds : bias and persistence in returns / Daniel Capocci and Georges Hübner --
Replication and evaluation of funds of hedge funds returns / Harry M. Kat and Helder P. Palaro --
Performance, size, and new opportunities in the funds of hedge funds industry / Jean-François Bacmann, Pierre Jeanneret, and Stefan Scholz --
Optimal fund of funds asset allocation : hedge funds, CTAs and REITs / Alain Elkaim and Nicolas Papageorgiou --
The changing performance and risks of funds of funds in the modern period / Keith H. Black --
Hedge fund indices : are they cost-effective alternatives to funds of funds? / Kathryn Wilkens --
Simple hedge fund strategies as an alternative to funds of funds : evidence from large-cap funds / Greg N. Gregoriou [and others] --
Part Two. Diversification, selection, allocation, and hedge fund indices --
Funds of funds of hedge funds : welcome to diworsification / François-Serge Lhabitant and Nicolas Laporte --
Style analysis of funds of hedge funds : measurement of asset allocation and style drift / Oliver A. Schwindler and Andreas Oehler --
Gains from adding funds of hedge funds to portfolios of traditional assets : an international perspective / Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg --
Tactical asset allocation for hedge fund indices at one- to six-month horizons / Laurent Favre --
Single-strategy funds of hedge funds : how many funds? / Ryan J. Davies, Harry M. Kat, and Sa Lu --
Part Three. Construction and statistical properties of funds of hedge funds --
Distributional characteristics of funds of hedge funds returns / Elaine Hutson, Margaret Lynch, and Max Stevenson --
Funds of funds and the diversification effect / Maher Kooli --
Higher-moment performance characteristics of funds of funds / Zsolt Berenyi --
The market risk of funds of hedge funds : a conditional approach / Florent Pochon and Jérôme Teïletche --
Revisiting the Fama and French model : an application to funds of funds using nonlinear methods / Eric Dubé, Clément Gignac, and François-Eric Racicot --
Investor's choice : an investor-driven, forward-looking optimization approach to fund of hedge funds construction / Clemens H. Glaffig --
Part Four. Monitoring risk, overview of finds of funds, due diligence, and special classes of funds of funds --
Moments analysis in risk and performance monitoring of funds of hedge funds / David K.C. Lee, Kok Fai Phoon, and Choon Yuan Wong --
An overview of funds of hedge funds / Jean Brunel --
Institutional investment due diligence on funds of hedge funds / John E. Dunn, III --
Synthetic collateralized debt obligations (CDO) squares and the continuing evolution of funds of funds / Paul Ali --
Natural resources funds of funds : active management, risk management, and due diligence / Rian Akey, Hilary Till, and Aleks Kins --
Identifying and monitoring risk in a fund of hedge funds portfolio / Meredith A. Jones --
The wizardry of analytics for funds of funds / Mary Fjelstad and Leola Ross --
Quantitative hedge fund selection for funds of funds / Stephan Joehri and Markus Leippold.
Series Title: Quantitative finance series.
Responsibility: edited by Greg N. Gregoriou.
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"Want to learn all about hedge funds and funds of hedge funds and sift out the truth from the misconceptions? Then read this comprehensive assessment of the field. It goes from A to Z in coverage Read more...

 
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