Reconsidering Funds of Hedge Funds
The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due DiligenceEdited by
- Greg Gregoriou, School of Business and Economics, State University of New York, Plattsburgh
This collection of research by academics and professionals presents the first comprehensive views of UCITs as well as recent trends in due diligence, risk management, and hedge fund deaths and survivors. Original papers by 22 academics and 16 hedge fund professionals include two sections on performance: one that looks at UCITS FoHF and one that deals with traditional FoHF performance. Asian and European regulatory themes are discussed, as are issues in allocation and tail risk. Most papers examine aspects of the 2008-12 financial crisis, and almost every paper addresses fund of hedge funds' management process before, during, and after the crisis. How will the funds of hedge funds business have to change in order to survive? This new research provides clues.
Upper-division undergraduates, graduate students, and professors studying financial risk management, investments, and investment market trends. Financial industry professionals working on both the buy- and sell-sides of investment firms.
Hardbound, 592 Pages
Published: March 2013
Imprint: Academic Press
"Hedge funds are now more than ever in the focus of many public debates and they are discussed by academics and practitioners as well. So the time for treating the diverse aspects of hedge funds in a book could not even be better. The book at hand by Greg N. Gregoriou will surely be a very valuable and readable contribution in this context as it covers the complete, difficult matter in its manyfold chapters and through the high expertise of the authors." --Carsten S. Wehn, DekaBank, Germany: "The 2007-9 Financial Markets Crisis also created a crisis for the fund of hedge funds industry. After the Crisis, basics such as liquidity, transparency, alpha generation, and understanding business risks gained renewed importance. Solutions to these criteria such as UCITS, managed accounts, and closer management of fund asset and liability risks became central to many fund of hedge funds. Additionally, leading fund of hedge funds now focus less on 'one size fits all' solutions and more on bespoke client portfolio solutions. The articles in Reconsidering Funds of Hedge Funds try to grapple with these industry changes and show a variety of different responses to the new environment. Fund of hedge fund investors will find this book and important update on an industry in transition." --James Purnell, Kenmar, USA "We have witnessed tremendous growth in the intermediation in the hedge fund industry in the form of funds of hedge funds. However, there is still limited understanding about the risks and rewards as well as regulation of these intermediaries especially in light of the recent financial crisis. This book is a great collection of research articles that will improve the understanding of anyone interested in funds of hedge funds."--Vikas Agarwal, Georgia State University "If your investment in fund of hedge funds suffered from the 2007-09 financial crisis, this book is the first to provide you with valuable insights into the measurement and effective management of various types of risk. It is the major resource for scholars and professionals interested in state-of-the-art approaches on operational due diligence and risk management."--Roland Füss, University of St.Gallen
- INTRODUCTION Chapter 1 After the Crisis: The Withering of the Funds of Hedge Funds Business?
R. McFall Lamm, Jr.Section 1: DUE DILIGENCE AND RISK MANAGEMENT Chapter 2 Evaluating Trends in Fund of Hedge Fund Operational Due Diligence
Jason ScharfmanChapter 3 The Limits of UCITS for Fund of Hedge Funds
Jeannine Daniel and François-Serge LhabitantChapter 4 Due Diligence: Lessons from the Global Financial Crisis for Funds of Hedge Funds with Particular Emphasis on the Asia Pacific Region
David Edmund Allen, Staley Roy Alford (Roy) Pearce and Robert John PowellChapter 5 The Use of Managed Accounts by Fund of Hedge Funds
Marcus Müller and Daniel DietrichChapter 6 Choice of Risk Measure in Evaluating UCITS Funds of Hedge Funds
Alessandro Carretta and Gianluca MattarocciSection 2: UCITS PERFORMANCE
Louis ZanolinChapter 8 The Return Potential of UCITS Fund of Hedge Funds: An Analysis of their Investment Universe
Marcus Storr, Thomas Maier, Florian Haberfelner and Iliya KutsarovChapter 9 How Geography, Flows and Size Affects the Risk-Adjusted Performance of UCITS III Fund of Hedge Funds
Greg N. Gregoriou, Dieter Kaiser and Razvan PascalauChapter 10 Funds of Hedge Funds vs. Do-It-Yourself Funds of UCITS
Samuel SenderSection 3: PERFORMANCE Chapter 11 Predicting Funds of Hedge Funds Attrition Through Performance Diagnostics
Philippe Cogneau, Philippe Debatty and Georges HübnerChapter 12 Does Fund of Hedge Fund Size Matter? Size vs. Performance Before, During and After the Crisis
Jeannine Daniel and François-Serge LhabitantChapter 13 Normalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis
Laurent Bodson, Laurent Cavenaile and Alain CoënChapter 14 The Impact of the 2008 Financial Crisis on Fund of Hedge Funds
Na Dai and Hany A. ShawkyChapter 15 Forecasting Funds of Hedge Funds Performance: A Markov Regime-Switching Approach
Szabolcs BlazsekChapter 16 A Panel Based Quantile Regression Analysis of Funds of Hedge Funds
David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar SinghSECTION 4: FUND OF HEDGE FUND ALPHA Chapter 17 Reward-to-Risk Ratios of Funds of Hedge Funds
Yigit Atilgan, Turan G. Bali and K. Ozgur DemitrasChapter 18 The Short-Run Performance Persistence in Funds of Hedge Funds
David Ardia and Kris BoudtChapter 19 "Seeking Alpha": The Performance of Funds of Hedge Funds
Raphaële Chappe, Christian Proaño and Willi SemmlerChapter 20 Quantitative Insight into Management of Funds of Hedge Funds and Consequences on Fund Alpha Performance Justina Dambrauskaite, H. Haidar, Bernard Minsky and Qi TangChapter 21 Selecting Top Funds of Hedge Funds Based on Alpha and Other Performance Measures
Ying-Lin Hsu , Chung-Ming Kuan and Stéphane M. F. YenChapter 22 Funds of Hedge Strategies and Implications for Asset Management: Is Diversification Enough?
Simone SiragusaSECTION 5: TAIL RISK Chapter 23 The Intertemporal Relation between Tail Risk and Fund of Hedge Fund Returns
Yigit Atilgan, Turan G. Bali and K. Ozgur DemirtasChapter 24 Tail Risk Protection for Funds of Hedge Funds
Oliver A. SchwindlerChapter 25 Autocorrelation, Bias and Fat Tails: An Analysis of Funds of Hedge Funds
Martin ElingChapter 26 Crisis and Funds of Hedge Funds Tail Risk
Monica Billio, Kaleab Mamo and Loriana PelizzonChapter 27 Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles: Empirical Evidence from Growth and Financial Crisis Periods
Wolfgang Bessler and Philipp KurmannSection 6: REGULATION Chapter 28 Regulation: Threat or Opportunity for the Fund of Hedge Fund Industry?
Serge Darolles and Mathieu VaissieChapter 29 Funds of Hedge Funds and the Principles of Fiduciary Investing Following the Global Financial Crisis
Paul U. AliChapter 30 Understanding the Regulation Impact: US Fund of Hedge Funds after the Crisis
David Edmund Allen, Robert John Powell and Abhay KumarChapter 31 Canada and Australia: Do They Provide a Regulatory Model for Funds of Hedge Funds?
David Edmund Allen, Raymond Robert Boffey and Robert John PowellChapter 32 South African Regulatory Reforms of Fund of Hedge Funds
David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh