Alternative Beta Strategies and Hedge Fund Replication

Index

0.5*SPX Index 195

10 sigma event 153–4

100X–X strategies 40

absolute return 7, 8, 36, 119

absolute risk 8

versus relative risk 19

access bias 88

acquisition proposals 64

active 130–30 investing 40

active return generation 25

active strategies 152–4

activist hedge funds 63, 204

allocation to strategy sectors 218–23

alpha 3, 4, 5, 16, 121–3

beyond 239–40

in Convertible Arbitrage 57

decrease of 145–7

generation 40

paradigm 36

phantom 155, 160

portable 194, 218

pure 144, 150, 218

search for 121, 140–3, 240

sources 119

versus beta 117–18

alpha fees 36, 240

alpha payout profile 141

alternative beta 17, 47, 118, 145, 147–8, 150, 155, 219

extraction of 191–212

for hedge fund styles and across strategy sectors 197–208

rule-based 191–3

strategies 36, 192, 213–38

versus traditional beta 4–5

Alternative Investment Management Association (AIMA) 233

Alternative Investment Strategies 11

Altvest, New York 113

Amaranth Capital 2, 15, 21

anti-takeover devices 66

antitrust agencies 66

arbitrage 13, 45

between similar bonds 48

in equity and fixed income markets 13

Arbitrage Group 50

arbitrage pricing theory (APT) model 43

arbitrage strategies 13, 17, 37, 45, 46, 152

artificial intelligence 79

Asian crisis (1997) 105

asset allocation 209–10, 216

asset backed securities (ABS) 47, 49, 139

asset based style factor models 11

asset pricing theory 16, 17, 87, 128–31

asset segregation 126–7

asset swap trades 48

asset weighting 86

at-the-money 56

Atticus Capital 63

attractive returns 44

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