Market Risk Management for Hedge Funds: Foundations of the Style and Implicit Value-at-Risk

P1: JYS

ind JWBK337-Duc September 6, 2008 17:44 Printer: Yet to come

Index 243

funds of funds 11, 23–30, 32, 45–6,

54–6, 62–3, 66–8, 78–83, 104–17,

207–14

clones 62–3, 66–8

concepts 11, 23–30

fees 62

persistence characteristics 23–30

returns 24–30

risk management 29–30, 78–83,

114–17

strategy risk approach 79, 81–5

underlying risk approach 78–81,

83–5

futures 33, 35, 41–3, 52–3, 63

GAAP 73

GARCH Value-at-Risk 172–4, 177–8,

227–8

Geltner transformation 132–6

General Equilibrium Theory 227

Generalized Linear Latent Variable

Models 186–7

generalized Pareto distributions (GPD)

autocorrelation 131–6

concepts 119–36

CS/Tremont hedge fund indices

128–37

parameter estimation methods 122–7

geographic spread, fund managers

14–15

GLC Gestalt Europe fund 49

global macro style 13–14, 19–20, 33, 35,

41–3, 52, 76–8, 102, 106–17,

129–37, 148–50, 183–6, 230–1

annual style distributions of the

testing periods in percent 13–14,

33

backtesting 106–17, 148–50

betas 183–6

EVT 129–37, 148–50

intra-correlations/inter-correlations 35

risk matrix 76–7

GPD see generalized Pareto distributions

graveyards’ analysis 215–21

Greenspan, Alan 20

Greenwich Global 42

gross exposures

see also leverage...

concepts 92

Grossman, Blake 10

Guidant/Johnson & Johnson deal 148–9

hedge fund indices 3, 4, 13–14, 32–7,

39–40, 41, 42, 45–68, 76–7, 102–3,

105–17, 120, 128–36, 195–8

see also active . . . ; passive . . .

achieving purity illusion 48–9

benchmarks 9–30, 46, 64–5, 66–8,

219–21

CS/Tremont hedge fund indices 3,

13–14, 26–7, 32–6, 39–40, 42,

53–4, 55–6, 64–5, 76–7, 102–3,

105–17, 120, 128–36, 147–50,

162–78, 182–6, 219–21, 226–30

demands 45–6

exposure replication 59–63

historical background 9–14, 45–6

investable indices 10–11, 31, 42, 43,

48, 50–1, 53–4, 55–6, 64–8

list 41–3

mechanical replication 56–9

multi-index model 100–17

optimality illusion 54–6, 182–6

quality criteria 46–8

representativeness illusion 49–54,

62–3, 64–8, 105–6, 137, 182–6

risk factors 102–3

hedge funds

alternative investment styles 13–14,

19–20, 26–7, 33–4, 76–8, 85–92,

114–17, 129–37, 182–6

annualization issues 155–6, 161–71

asset flow statistics 11–13

benefits 17–23

classifications 31–43, 49–51, 59, 221

clones 2–3, 5, 11, 40–1, 47, 56–68,

199–205, 230–1

concepts 1–5, 9–43, 45–6, 69–95,

231

critique 17–23, 81–2, 107–9, 130–7,

223–4

dead funds 215–21

definition 69

EVT 99, 119–54, 171–2, 175–8,

194–8

failures 69–70, 72, 215–21

graveyards’ analysis 215–21

heterogeneity 2–3, 4, 28–30, 31–43,

45–6, 52–3, 59, 61–2, 182–6

historical background 1–2, 9–14,

45–6, 84, 104–17

homogeneity of hedge funds 11,

23–30, 33–6, 37–41