
Investing in Hedge Funds
A Guide to Measuring Risk and Return Characteristics
Description
Key Features
- Presents new insights about the investability and performance measurement of an investor’s final portfolio
- Uses most recently developed investable hedge fund indexes to revise previous analyses of indexes
- Focuses on 14 distinct types of hedge fund indices with daily data from January 1994 to December 2011
Readership
Table of Contents
Chapter 1. Introduction
1.1 What Are Hedge Funds?
1.2 The History and the Future
1.3 Academic Perspective
1.4 The Aim of the Book
Chapter 2. Hedge Fund Strategies
2.1 Event-Driven Strategies
2.2 Equity Hedge Strategies
2.3 Relative Value Strategies
2.4 Global Macro Strategies
2.5 Other Strategies
2.6 Funds of Hedge Funds
Chapter 3. Hedge Fund Databases, Biases, and Indices
3.1 Hedge Fund Data Biases
3.2 Hedge Fund Databases and Indices
3.3 Hedge Fund Index Return Distributions
Chapter 4. Risk-Adjusted Performances of Hedge Fund Indices
4.1 Sharpe Ratio
4.2 Sortino Ratio
4.3 Return to VaR Ratio
4.4 Calmar Ratio
Chapter 5. Determinants of Hedge Fund Index Returns
5.1 Predictability of Hedge Fund Index Returns by Moments of the Return Distribution
5.2 Predictability of Hedge Fund Index Returns by Exposures to Macroeconomic Risk Factors
References
Product details
- No. of pages: 186
- Language: English
- Copyright: © Academic Press 2013
- Published: June 29, 2013
- Imprint: Academic Press
- Paperback ISBN: 9780124047310
- eBook ISBN: 9780124051690