Evaluating Hedge Fund Performance

Index

Absolute return strategies, 51, 169–172

Accounting practices, 143–145, 209

Accredited investor, defined, 245–246

Ackermann study, 27–28, 30–31

Agarwal, Vikas, 95, 132

Age of fund, evaluation and, 125–127, 153, 202–204

Aggregate Hedge Fund index, equity risk exposure, 115

Alpha and beta, 51–53, 87–89

Alpha generation strategy, in fund evaluation, 132–140

consistency of performance and, 132–133, 134

funds of funds and, 62, 224–226

manager talent and, 140–141

risk and, 133–134

Amenc, Noel, 126, 129, 135–136

Amin, Gaurav S., 37, 94, 155, 156, 157, 158–159

Anderson, Richard E., 9–11, 15

Andor Capital, 208–209

Ashbury Capital Partners, 198

Asness, Clifford, 114, 205

Asset allocation, 150–151, 153–157

Audited financial statements, due diligence and, 144–145, 209

Backfill bias, 91–92, 136

Balanced portfolio, 170–172

Barclay/GHS Hedge Fund Index, 90

Barclay/Global Fund of Funds index, 103

Barclay/Global Hedge Source, 219

Barclay/Global Macro index, 103

Barclay Long-Biased Equity index, 103

Barry, John, 199

Beacon Hill Asset Management, 104, 160, 198–200

Bear markets, fund performance in, 64–65

Benchmarks, for performance evaluation, 50, 189–190

Berger, Michael W., 144, 237

Beta, see Alpha and beta; Alpha generation strategy

Bied, S. El, 132

Bonds, return of versus equity returns, 14–16, 19–20

Bridgewater Associates, 105, 141

Brooks, Chris, 31, 81

Brorsen, B. Wade, 128

Brown, Stephen J., 222, 232

Bull markets, fund performance in, 65–66

Capital asset pricing model (CAPM), 52, 88–