Alternative Beta Strategies and Hedge Fund Replication

Contents

Preface

1 Breaking the Black Box

1.1 New popularity, old confusion

1.2 The challenges of understanding hedge funds

1.3 Leaving Alphaville

1.4 The beauty of beta

1.5 Alternative versus traditional beta

1.6 The replication revolution

1.7 Full disclosure

2 What Are Hedge Funds, Where Did They Come From, and Where Are They Going?

2.1 Characteristics of hedge funds

2.2 Hedge funds as an asset class

2.3 Taxonomy of hedge funds

2.4 Myths, misperceptions, and realities about hedge funds

2.5 A short history of hedge funds

2.6 The hedge fund industry today

2.7 The future of hedge funds – opportunities and challenges

3 The Individual Hedge Fund Strategies' Characteristics

3.1 Equity Hedged – Long/Short Equity

3.2 Equity Hedged – Equity Market Neutral

3.3 Equity Hedged – Short Selling

3.4 Relative Value – general

3.5 Relative Value – Fixed Income Arbitrage

3.6 Relative Value – Convertible Arbitrage

3.7 Relative Value – Volatility Arbitrage

3.8 Relative Value – Capital Structure Arbitrage

3.9 Event Driven – general

3.10 Event Driven – Merger Arbitrage

3.11 Event Driven – Distressed Securities

3.12 Event Driven – Regulation D

3.13 Opportunistic – Global Macro

3.14 Managed Futures

3.15 Managed Futures – Systematic

3.16 Managed Futures – Discretionary

3.17 Conclusion of the chapter

4 Empirical Return and Risk Properties of Hedge Funds

4.1 When the Sharpe ratio is not sharp enough

4.2 Challenges of hedge fund performance measurement – the issue with hedge fund indices

4.3 Sources of empirical ...