The world of hedge funds : characteristics and analysis /
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New Jersey :
World Scientific,
©2005.
|
| Subjects: | |
| Online Access: | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=161368 |
Table of Contents:
- 3.5 Active versus passive portfolio management3.6 Comparison with portfolio-composition-based style analysis; 4 Choosing Style Benchmarks; 4.1 Asset class misspecification; 4.2 Number of asset classes; 4.3 Sector indexes; 4.4 Low R2 as an indicator of active management; 4.5 Style consistency and changes in management; 4.6 Manager universes and peer evaluation; 5 Style Analysis of Hedge Funds; 5.1 Additional asset classes for return-based style analysis of hedge funds; 5.2 Characterizing the risk in two hedge fund strategies: merger arbitrage and market timing.
- 5.3 Index choice and survivorship bias5.4 Equity-oriented strategies; 5.5 Stepwise regression to identify major exposures; 6 Conclusions; Acknowledgments; Appendix A: Asset classes; Appendix B: Growth and income funds
- objective and investment strategy; Appendix C: HFR hedge fund classes; Notes; References; Chapter 5 Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds Bing Liang; 1 Introduction; 2 Data; 3 Performance, Risk, and Fee Structures; 3.1 Performance and risk; 3.2 The asset class factor model.