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

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