Hedge Funds and Managed Futures

Author: Greg N. Gregoriou; Dieter G. Kaiser
Publisher: Risk Books
ISBN: 9781904339533
Published In: September 2006
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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This outstanding collection of contributions from international academics and practitioners will help institutional investors navigate the complexities of hedge fund investment and CTAs

The phenomenal growth of hedge fund investments into a $1.3 trillion industry has brought with it many challenges and provoked much debate. This dynamic industry continues to thrive despite the obituaries commentators have regularly written for it over the past decade.

Hedge Funds and Managed Futures: A Handbook for Institutional Investors is a measure of the growing sophistication and importance of the sector. The depth and range of topics are testament to the diversity of the industry. It evaluates four key topics from a critical perspective:

benchmarking and performance measurement
risk management
portfolio management
asset allocation

This multi-contributor handbook offers valuable insights into the needs of investors. It covers hot topics such as: Managed Accounts, Portable Alpha and Active Value Investing and stresses the importance of working in partnership with your clients to develop a wide range of products and looks at how to tailor hedge fund investments to specific needs.

The high profile contributors are a mixture of leading finance academics, industry commentators and practitioners. The independence of their views and the academic-professional balance reflects an intellectual maturity and confidence which is essential in maintaining a healthy industry.

Your ability to generate alpha and structure genuinely innovative products will be paramount to the growth of your business. Based on new research and analysis this informative and timely book will provide you with practical and innovative ideas for successful institutional investment.

PART ONE: BENCHMARKING AND PERFORMANCE MEASUREMENT

1 Construction Methods, Heterogeneity and

Information Ratios of Hedge Fund Indices

Thomas Heidorn; Christian Hoppe; Dieter G. Kaiser

HfB - Business School of Finance & Management;

Dresdner Bank AG; Benchmark Alternative

Strategies GmbH

2 Hedge Fund Indices and Passive Alpha: A Buy-Side

Perspective

François-Serge Lhabitant

Kedge Capital, HEC Lausanne and EDHEC

3 History Bias Factor: A Definition

Daniel Capocci

HEC, University of Liège

4 On Comparing Hedge Fund Strategies Using Higher

Moment Estimators for Correcting Specification

Errors in Financial Models

François-Éric Racicot; Raymond Théoret

University of Quebec, Outaouais; University of Quebec,

Montreal

5 Trading Efficiency of Largest 25 CTAs using a

Basic Data Envelopment Analysis Model and

Returns-to-Scale Estimation

Greg N. Gregoriou

State University of New York (Plattsburgh)

6 Absolute Performance and Correlation Persistence of

Hedge Funds Returns: an Analysis Using the CISDM

Database

Kathryn Wilkens, Donald R. Chambers

CAIAA, Lafayette College

7 Return Attribution for Portfolios of Hedge Funds

François-Serge Lhabitant

Kedge Capital, HEC Lausanne and EDHEC

PART TWO: RISK MANAGEMENT

8 Hedge Funds Returns, Higher Moments and

Nonlinear Risk

Alain Coën, François-Éric Racicot; Raymond Théoret

University of Quebec, Outaouais; University of Quebec, Montreal

9 Operational Risk Management Approaches and

Concepts: Lessons Drawn from a Fund of

Hedge Funds Provider

Pierre-Yves Moix, Bernard Bachmann

RMF Investment Management

10 Hedge Funds, Corporate Governance and the

Separation of Ownership and Control

Paul U. Ali

University of Melbourne

11 Value-at-Risk Predictions of Hedge Fund Portfolios:

A Comparison of Alternative Approaches

Oliver A. Schwindler

HF-Analytics, Bamberg University

12 Managed Accounts or the Price of Liquid and

Transparent Hedge Fund and CTA Investing

Florian Haberfelner; Dieter G. Kaiser; Karin Kisling

Benchmark Capital Management GmbH;

Benchmark Alternative Strategies GmbH;

Benchmark Capital Management GmbH

13 Hedge Funds Investing in Emerging Markets

Mehmet Orhan; Turker Tekten

Economics Department, Fatih University; Standard Bank

PART THREE: PORTFOLIO MANAGEMENT

14 Optimising Hedge Fund Portfolios with

Omega Functions

Jean-François Bacmann, Ursula Bosshard

RMF Investment Management

15 Strategy Selection for Hedge Fund and Managed

Futures Portfolios using Higher Moments

Lutz Johanning, Juliane Proelss, Artus Ph. Rosenbusch,

Denis Schweizer

European Business School

16 Hedge Funds: From Diversification to

Diworsification

François-Serge Lhabitant

Kedge Capital, HEC Lausanne and EDHEC

17 The Risks of Systematic Trend Followers: When

Markets Stop Trending! Understanding High

Intraday Volatility and its Impact on CTA Returns

John E. Dunn III

Thunderbird, The Garvin School of International

Management

18 Selecting Last Year’s Top Performing CTA as this

Year’s Choice: A Simple Trading Strategy

Greg N. Gregoriou

State University of New York (Plattsburgh)

19 Guaranteed Funds, Guaranteed Hedge Funds -

How to Put Investment Efficiency to the Test?

Zsolt Berényi

R.I.S.C. Consulting

PART FOUR: ASSET ALLOCATION

20 Blending Hedge Funds with Traditional Stock and

Bond Portfolios: Investment Management in a

New World

R. McFall Lamm Jr

Global Investment Management, Deutsche Bank

21 Long-Term Co-Movements Between Hedge Funds and

Financial Asset Markets

Roland Füss; Dieter G. Kaiser; Heinz Rehkugler; Irina Butina

University of Freiburg; Benchmark Alternative

Strategies GmbH; University of Freiburg; University of Freiburg

22 Modelling Hedge Fund Returns from an Asset

Allocation Perspective

Bernhard Brunner, Reinhold Hafner

risklab germany GmbH

23 The Effect of Hedge Funds on the Risk Profile of

Global Portfolios

Peter Oertmann

Vescore Solutions Inc, University of Basle

24 The Benefits of Hedge Funds in Asset-Liability

Management

Lionel Martellini, Volker Ziemann

EDHEC Risk and Asset Management Research Center

25 Portable Alpha - Separation and Recombination of

Alpha and Beta

Georg Wessling

Harcourt Investment Consulting AG

26 Active Value Investing: A Case Study on Creating

Alpha in Europe

Guy P. Wyser-Pratte

Wyser-Pratte Management Company, Inc.

Index

Greg N. Gregoriou is Associate Professor of Finance and Coordinator of Faculty Research in the School of Business and Economics at State University of New York (Plattsburgh). He is the hedge fund editor for the peer-reviewed journal Derivatives Use, Trading and Regulation and editorial board member of the Journal of Wealth Management. He has authored over 60 articles on hedge funds, and managed futures in various US and UK peer-reviewed publications, including the Journal of Portfolio Management, Journal of Futures Markets, European Journal of Finance, Journal of Asset Management, European Journal of Operational Research and Annals of Operations Research.

Dieter G. Kaiser is a Director Alternative Investments at FERI Institutional Advisors GmbH in Bad Homburg, Germany where he is responsible for portfolio management and the selection of event driven and commodity hedge funds. From 2003 to 2007 he was responsible for institutional research and business development at Benchmark Alternative Strategies GmbH in Frankfurt. He has written numerous articles on Alternative Investments that have been published in both, academic and professional journals and is the author and editor of seven books. Dieter G. Kaiser holds a B.A. in Business Administration from the University of Applied Sciences Offenburg, a M.A. in Banking and Finance from the Frankfurt School of Finance and Management, and a Ph.D. in Finance from the University of Technology Chemnitz.