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Handbook of Hedge Funds

by François-Serge Lhabitant

February 2007

Intermediate to advanced

654 pages

23h 20m

English

Wiley

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2.1 THE VERY EARLY YEARS: THE 1930s2.2 THE FORMATIVE YEARS (1949-1968)2.3 THE DARK AGES (1969-1974)2.4 THE RENAISSANCE (1975-1997)2.5 THE ASIAN AND RUSSIAN CRISES (1997-1998)2.6 THE EQUITY BUBBLE YEARS2.7 HEDGE FUNDS TODAY2.8 THE KEY CHARACTERISTICS OF MODERN HEDGE FUNDS2.9 THE FUTURE
3.1 THE SITUATION IN THE US3.2 THE SITUATION IN EUROPE3.3 THE SITUATION IN ASIA3.4 INTERNET AND THE GLOBAL VILLAGE
4.1 LEGAL STRUCTURES FOR STAND-ALONE FUNDS4.2 A NETWORK OF SERVICE PROVIDERS4.3 SPECIFIC INVESTMENT STRUCTURES4.4 DISCLOSURE AND DOCUMENTS
5.1 BUYING AND SELLING USING A CASH ACCOUNT5.2 BUYING ON MARGIN5.3 SHORT SELLING AND SECURITIES LENDING5.4 DERIVATIVES5.5 LEVERAGE

7.1 THE MECHANICS OF LONG/SHORT EQUITY INVESTING7.2 INVESTMENT APPROACHES7.3 HISTORICAL PERFORMANCE
8.1 THE PROS AND CONS OF DEDICATED SHORT SELLING8.2 TYPICAL TARGET COMPANIES AND REACTIONS8.3 HISTORICAL PERFORMANCE
9.1 DEFINITIONS OF MARKET NEUTRALITY9.2 EXAMPLES OF EQUITY MARKET NEUTRAL STRATEGIES AND TRADES9.3 HISTORICAL PERFORMANCE
10.1 DISTRESSED SECURITIES MARKETS10.2 DISTRESSED SECURITIES INVESTING10.3 EXAMPLES OF DISTRESSED TRADES10.4 HISTORICAL PERFORMANCE
11.1 MERGERS AND ACQUISITIONS: A HISTORICAL PERSPECTIVE11.2 IMPLEMENTING MERGER ARBITRAGE: BASIC PRINCIPLES11.3 THE RISKS INHERENT IN MERGER ARBITRAGE11.4 HISTORICAL PERFORMANCE
12.1 THE TERMINOLOGY OF CONVERTIBLE BONDS12.2 VALUATION OF CONVERTIBLE BONDS12.3 CONVERTIBLE ARBITRAGE: THE BASIC DELTA HEDGE STRATEGY12.4 CONVERTIBLE ARBITRAGE IN PRACTICE: STRIPPING AND SWAPPING12.5 THE STRATEGY EVOLUTION12.6 HISTORICAL PERFORMANCE
13.1 THE BASIC TOOLS OF FIXED INCOME ARBITRAGE13.2 EXAMPLES OF SUB-STRATEGIES13.3 HISTORICAL PERFORMANCE
14.1 THE CASE FOR EMERGING MARKET HEDGE FUNDS14.2 EXAMPLES OF STRATEGIES14.3 HISTORICAL PERFORMANCE
15.1 GLOBAL MACRO INVESTMENT APPROACHES15.2 EXAMPLES OF GLOBAL MACRO TRADES15.3 HISTORICAL PERFORMANCE
16.1 THE VARIOUS STYLES OF MANAGED FUTURES16.2 EXAMPLES OF SYSTEMATIC TRADING RULES16.3 HISTORICAL PERFORMANCE16.4 THE FUTURE OF MANAGED FUTURES
17.1 CAPITAL STRUCTURE ARBITRAGE AND CREDIT STRATEGIES17.2 WEATHER DERIVATIVES, WEATHER INSURANCE AND CATASTROPHE BONDS17.3 MUTUAL FUND ARBITRAGE17.4 ARBITRAGING BETWEEN NAVs AND QUOTED PRICE: ALTIN AG17.5 SPLIT STRIKE CONVERSION17.6 EVENT-DRIVEN SPECIAL SITUATIONS17.7 CROSS-LISTING AND DUAL-LISTING ARBITRAGE17.8 FROM PUBLIC TO PRIVATE EQUITY17.9 REGULATION D AND PIPES FUNDS17.10 IPO LOCK-UP EXPIRATIONS
18.1 THE DIFFICULTIES OF OBTAINING INFORMATION18.2 EQUALIZATION, CRYSTALLIZATION AND MULTIPLE SHARE CLASSES18.3 THE INEQUITABLE ALLOCATION OF INCENTIVE FEES18.4 THE FREE-RIDE SYNDROME18.5 ONSHORE VERSUS OFFSHORE FUNDS18.6 THE MULTIPLE SHARE APPROACH18.7 THE EQUALIZATION FACTOR/DEPRECIATION DEPOSIT APPROACH18.8 SIMPLE EQUALIZATION18.9 CONSEQUENCES FOR PERFORMANCE CALCULATION18.10 THE HOLDING PERIOD RETURN18.11 ANNUALIZING18.12 MULTIPLE HEDGE FUND AGGREGATION18.13 CONTINUOUS COMPOUNDING
19.1 CALCULATING RETURN STATISTICS19.2 MEASURING RISK19.3 DOWNSIDE RISK MEASURES19.4 BENCHMARK-RELATED STATISTICS
20.1 THE SHARPE RATIO20.2 THE TREYNOR RATIO AND JENSEN ALPHA20.3 M, M AND GRAHAM-HARVEY20.4 PERFORMANCE MEASURES BASED ON DOWNSIDE RISK20.5 CONCLUSIONS
21.1 HEDGE FUND DATABASES21.2 THE VARIOUS BIASES IN HEDGE FUND DATABASES21.3 FROM DATABASES TO INDICES21.4 FROM INDICES TO BENCHMARKS
23.1 THE BENEFITS OF HEDGE FUNDS23.2 THE BENEFITS OF INDIVIDUAL HEDGE FUND STRATEGIES23.3 CAVEATS OF HEDGE FUND INVESTING
24.1 DIVERSIFICATION AND PORTFOLIO CONSTRUCTION: AN OVERVIEW24.2 STRATEGIC ASSET ALLOCATION WITHOUT HEDGE FUNDS24.3 INTRODUCING HEDGE FUNDS IN THE ASSET ALLOCATION24.4 HOW MUCH SHOULD BE ALLOCATED TO HEDGE FUNDS?24.5 HEDGE FUNDS AS PORTABLE ALPHA OVERLAYS24.6 HEDGE FUNDS AS SOURCES OF ALTERNATIVE RISK EXPOSURE24.7 RISK BUDGETING AND THE SEPARATION OF ALPHA FROM BETA
25.1 STATING OBJECTIVES25.2 FILTERING THE UNIVERSE25.3 QUANTITATIVE ANALYSIS25.4 QUALITATIVE ANALYSIS25.5 DUE DILIGENCE: BETWEEN ART AND SCIENCE25.6 ONGOING MONITORING25.7 COMMON MISTAKES IN THE SELECTION PROCESS
26.1 WHAT ARE FUNDS OF HEDGE FUNDS?26.2 ADVANTAGES OF FUNDS OF FUNDS26.3 THE DARK SIDE OF FUNDS OF FUNDS26.4 SELECTING A FUND OF FUNDS26.5 FUND ALLOCATION: A LOOK INSIDE THE “BLACK BOX”26.6 THE FUTURE OF FUNDS OF FUNDS
27.1 TOTAL RETURN SWAPS LINKED TO HEDGE FUNDS27.2 CALL OPTIONS ON HEDGE FUNDS27.3 BASIC NOTES AND CERTIFICATES27.4 CAPITAL PROTECTED NOTES27.5 THE SECOND GENERATION: THE OPTION-BASED APPROACH27.6 THE THIRD GENERATION: THE DYNAMIC TRADING APPROACH27.7 THE FOURTH GENERATION: OPTIONS ON CPPI27.8 THE FLIES IN THE OINTMENT27.9 THE FUTURE OF CAPITAL GUARANTEED PRODUCTS27.10 COLLATERALIZED HEDGE FUND OBLIGATIONS

Overview

A comprehensive guide to the burgeoning hedge fund industry

Intended as a comprehensive reference for investors and fund and portfolio managers, Handbook of Hedge Funds combines new material with updated information from Francois-Serge L'habitant's two other successful hedge fund books. This book features up-to-date regulatory and historical information, new case studies and trade examples, detailed analyses of investment strategies, discussions of hedge fund indices and databases, and tips on portfolio construction.

Francois-Serge L'habitant (Geneva, Switzerland) is the Head of Investment Research at Kedge Capital. He is Professor of Finance at the University of Lausanne and at EDHEC Business School, as well as the author of five books, including Hedge Funds: Quantitative Insights (0-470-85667-X) and Hedge Funds: Myths & Limits (0-470-84477-9), both from Wiley.