Reconsidering Funds of Hedge Funds
The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence
- Greg Gregoriou, School of Business and Economics, State University of New York, Plattsburgh, NY, USA
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.
- Published: January 2013
- Imprint: ACADEMIC PRESS
- ISBN: 978-0-12-401699-6
"International contributors include 22 academics in finance, business, and research analysis, and 16 hedge fund professionals. They examine issues related to the institutional framework of a special type of FOHF called undertakings for collective investments in transferable securities (UCITS) FOHFs, which were developed in response to calls for operational due diligence and improved transparency in the financial industry."--Reference & Research Book News, December 2013
"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 FÃ¼ss, University of St.Gallen
Table of Contents
Chapter 1 After the Crisis: The Withering of the Funds of Hedge Funds Business?
Section 1: DUE DILIGENCE AND RISK MANAGEMENT
Chapter 2 Evaluating Trends in Fund of Hedge Fund Operational Due Diligence
Chapter 3 The Limits of UCITS for Fund of Hedge Funds
Chapter 4Due Diligence: Lessons from the Global Financial Crisis for Funds of Hedge Funds with Particular Emphasis on the Asia Pacific Region
Chapter 5 The Use of Managed Accounts by Fund of Hedge Funds
Chapter 6 Choice of Risk Measure in Evaluating UCITS Funds of Hedge Funds
Section 2: UCITS PERFORMANCE
Chapter 7 UCITS Funds of Hedge funds - The New Panacea?
Chapter 8 The Return Potential of UCITS Fund of Hedge Funds: An Analysis of their Investment Universe
Chapter 9 How Geography, Flows and Size Affects the Risk-Adjusted Performance of UCITS III Fund of Hedge Funds
Chapter 10 Funds of Hedge Funds vs. Do-It-Yourself Funds of UCITS
Section 3: PERFORMANCE
Chapter 11 Predicting Funds of Hedge Funds Attrition Through Performance Diagnostics
Chapter 12 Does Fund of Hedge Fund Size Matter? Size vs. Performance Before, During and After the Crisis
Chapter 13 Normalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis
Chapter 14 The Impact of the 2008 Financial Crisis on Fund of Hedge Funds
Chapter 15 Forecasting Funds of Hedge Funds Performance: A Markov Regime-Switching Approach
Chapter 16 A Panel Based Quantile Regression Analysis of Funds of Hedge Funds
SECTION 4: FUND OF HEDGE FUND ALPHA
Chapter 17 Reward-to-Risk Ratios of Funds of Hedge Funds
Chapter 18 The Short-Run Performance Persistence in Funds of Hedge Funds
Chapter 19 "Seeking Alpha": The Performance of Funds of Hedge Funds
Chapter 20 Quantitative Insight into Management of Funds of Hedge Funds and Consequences on Fund Alpha Performance
Chapter 21 Selecting Top Funds of Hedge Funds Based on Alpha and Other Performance Measures
Chapter 22 Funds of Hedge Strategies and Implications for Asset Management: Is Diversification Enough?
SECTION 5: TAIL RISK
Chapter 23 The Intertemporal Relation between Tail Risk and Fund of Hedge Fund Returns
Chapter 24 Tail Risk Protection for Funds of Hedge Funds
Chapter 25 Autocorrelation, Bias and Fat Tails: An Analysis of Funds of Hedge Funds
Chapter 26 Crisis and Funds of Hedge Funds Tail Risk
Chapter 27 Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles: Empirical Evidence from Growth and Financial Crisis Periods
Section 6: REGULATION
Chapter 28 Regulation: Threat or Opportunity for the Fund of Hedge Fund Industry?
Chapter 29 Funds of Hedge Funds and the Principles of Fiduciary Investing Following the Global Financial Crisis
Chapter 30 Understanding the Regulation Impact: US Fund of Hedge Funds after the Crisis
Chapter 31 Canada and Australia: Do They Provide a Regulatory Model for Funds of Hedge Funds?
Chapter 32 South African Regulatory Reforms of Fund of Hedge Funds