The Experience of Managers and Investors
Buch, Englisch, 446 Seiten
ISBN: 978-1-84374-051-3
Verlag: Euromoney
NOW INCLUDES NEW CHAPTERS on:
Transparency
Benchmarking indexation
Asset-backed investing
Trend following
Hedge funds in Asia
The law and regulation of marketing alternative funds in the USA and Europe.
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
- Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
- Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
Weitere Infos & Material
Acknowledgements
Author biographies
Part I: Introduction
Chapter 1: An overview of themes and issues
Ronald A. Lake, Lake Partners, Inc.
The purpose of this book
The structure of this book
Understanding the beast – a review of Part I: Introduction
Intelligence reports from the front lines – a review of Part II: Evaluating opportunities – managers’ strategies
Charting the seas – a review of Part III: Evaluating opportunities – investors’ strategies
Before hiring a knife juggler, count his fingers – a review of Part IV: Assessing risk and risk control
Stop me before I speculate again – a review of Part V: Hedge funds and public policy
Taming the wild footnote – a review of Part VI: Legal and regulatory issues
Lessons to be learned, re-learned and re-learned again
Chapter 2: Market gravity and hedge fund aerodynamics:
the prudent approach to hedge fund classification
Ted Caldwell, Lookout Mountain Capital, Inc.
Introduction
Market gravity: systemic risk and return
Hedge fund aerodynamics: a fundamental change in
the risk–return profile
The rationale for perpetual confusion: true versus nominal
hedge funds
True versus nominal: reduced risk for returns versus
non-correlating returns
Appendix: Unified hedge fund classification system, version 1.6
Chapter 3: Sources of systematic return in hedge funds
Lars Jaeger and Scott Higbee, Partners Group
Introduction
Hedge fund return sources
The challenges for hedge fund investors
Implications for portfolio management of hedge funds
Summary and conclusion
Chapter 4: Historical overview of offshore hedge funds
Antoine Bernheim, Dome Capital Management, Inc.
From humble beginnings
When starting a hedge fund becomes an easy thing to do
Performance
Major trends
The development of offshore jurisdictions
The development of offshore administrators
Looking forward
Chapter 5: Hedge fund trends: review and outlook
Lois Peltz, Infovest
Outlook
Size, asset flow and growth
Institutional developments
Conclusion
Appendix A: Sampling of institutions using or considering hedge funds
Appendix B: Important dates in hedge fund history
Chapter 6: Lessons learned from investing in hedge funds
over the years
Jonathan P. Bren, Hunt Financial Ventures
Introduction
Past performance
Adaptability
Newer managers
Financing
Performance potential
Part II: Evaluating opportunities – managers’ strategies
Chapter 7: Adding alpha in merger arbitrage
John Paulson, Paulson & Co., Inc.
Overview
Merger arbitrage
Not a game for the inexperienced
Adding alpha in merger arbitrage
Just when you thought you understood arbitrage
Globalisation
Merger bankruptcy
Recent trends
Conclusion
Chapter 8: The hedge fund manager’s edge: an overview of
event investing
Jason Huemer, Synthesis Funds
Hedge funds and the efficient market hypothesis
Event-driven investing and temporary inefficiencies
Hedge funds and their edge
A note on risk premia and liquidity
Corporate spin-offs: 3Com/Palm
Corporate split-ups: Canadian Pacific
Conclusion
Chapter 9: Trend following: performance, risk and
correlation characteristics
Michael S. Rulle, Graham Capital Management, LP
Introduction
Trend following and sources of return
Returns and volatility of returns
Correlation of returns and portfolio construction
Conclusion
Chapter 10: Using a long-short portfolio to neutralise market risk
and enhance active returns
Bruce I. Jacobs and Kenneth N. Levy,
Jacobs Levy Equity Management
Introduction
Setting up a market-neutral long-short portfolio
Performance in bull and bear markets
Benefits of long-short
Adding back market return
Some concerns addressed
The importance of investment insights
Chapter 11: Fixed-income arbitrage
Michael A. Pintar, Clinton Group
Introduction
Fixed-income arbitrage strategies and their risks
Yield curve trades
Spread trades
Options trades
Portfolio risks
Conclusion
Chapter 12: Asset-backed investing
Luke E. Imperatore
Introduction
Advantages for ABS issuers
Advantages for ABS buyers
Technical aspects of the asset-backed market
Economics of the ABS market
Opportunities for hedge fund investors in ABS markets
Conclusion
Chapter 13: Emerging markets
Bruce Richards and Louis Hanover,
Marathon Asset Management, LLC
Introduction
Mexico: a true success story
As the market evolves
Emerging markets versus other debt classes
The current market
The outlook
Conclusion
Chapter 14: Convertible arbitrage: the manager’s perspective
Michael A. Boyd, Jr and staff, Forest Investment Management
Introduction
The issuer’s side of the convertible securities market
The investor’s side of the convertible securities market
What is a convertible security?
A synopsis of convertible hedging theory
Cash and carry trades
The impact of stochastic models on the convertible market
A crowded market for convertible arbitrage
Credit analysis of convertible bonds
A simplified approach to valuing stock price – credit spread correlation
Risk management
Investment portfolio applications
Alpha and convertible arbitrage performance
Addendum
Chapter 15: Hedged equity investing
Lee S. Ainslie III, Maverick Capital
Introduction
Net exposure and long-short ratio
Leverage
Market timing in a hedged strategy
Risks within the hedge
Hedging instruments
Challenges of shorting
Security selection risk
Non-equity risk
Global investing
Large cap versus small cap
Portfolio issues
Evaluating trading
Taxes
Analysing returns
Selecting a hedged equity manager
Chapter 16: Understanding credit cycles and hedge fund strategies
Michael E. Lewitt, Harch Capital Management, Inc.
Introduction
A century of accelerating credit cycles
Credit cycle acceleration and contagion
The etiology of the 1997–2002 credit cycle
Macroeconomic factors
The manifestations of the 1997–2002 credit cycle
Conclusion
Chapter 17: European event and arbitrage investing
Roddy Campbell, Cross Asset Management
Introduction
European event and arbitrage investing
Campbell’s first law: arbitrage has never worked in countries
that have never been ruled by Britain
Campbell’s second law: government involvement spells danger
for arbitrageurs
Campbell’s millennium law: national governments in Europe
have now lost all power to interfere in capital markets
Campbell’s next law: the euro est arrivé
Another law: shareholders own the companies they own shares in
A global background
Back to arbitrage
Back to the future
Chapter 18: Long-short investment strategy in Japan: capitalising
on the dynamic structural change occurring in Japan
Shuhei Abe, SPARX Asset Management Co., Ltd.
Introduction
Dynamic structural changes in Japan
The emergence of Japan’s post-war industrial system
Dismantling Japan’s post-war industrial system
The SPARX experience of long-short investing in Japan
Innovative product delivery capability
Conclusion
Part III: Evaluating opportunities – investors’ strategies
Chapter 19: Analysing the evolution of the European hedge
fund industry
Sohail Jaffer, Premium Select Lux, SA,
AIMA Council Member (Benelux)
Introduction
An industry overview
Regulatory environment
Perceptions
Investor requirements
Range of investors
The advantages and disadvantages of hedge funds
Allocation process
Due diligence
Fee structure
The future
Chapter 20: Hedge funds in Asia
Peter Douglas, GFIA, Pte., Ltd., AIMA Council Member (Singapore)
Introduction
Intention of this chapter
Overview
Appetite for capital
Regulatory environment
Characteristics specific to Asian strategies
Asian appetite for hedged products
Current environment
Future developments
Chapter 21: The life cycle of hedge fund managers
Jeffrey Tarrant, Protégé Partners
Introduction
Wealth management begets wealth creation (for the manager)
The maths of the hedge fund business
Tarrant’s rule of eight digits
The five phases in the life cycle of the hedge fund management firm
Conclusion
Chapter 22: Utilising hedge funds: the experiences of a
private investor
Lloyd Hascoe, Hascoe Associates, Inc.
Hedge funds and private investors
Evolution of a family investment office
Private investors and risk
Discovering hedge funds
Achieving higher returns and lower risk
The future of hedge fund investing
Appendix: The Factor Sensitivity model: a hypothetical example
Chapter 23: Quantitative analysis of hedge funds: a simple
comprehensive framework
Thomas Weber, LGT Capital Partners AG
Introduction
Some caveats
A simple framework for quantitative analysis of hedge funds
Case study
Summary
Chapter 24: Institutional investors: incorporating hedge funds into the
asset allocation process
James Berens, Judith Posnikoff and Alexandra Coffey,
Pacific Alternative Asset Management Company, LLC
Introduction
What defines a hedge fund?
Where do hedge funds fit in an institutional portfolio?
Issues for institutions investing in hedge funds
Recurrent threat of hedge fund regulation
Advantages of using a fund of funds
Conclusion
Chapter 25: Quantitative analysis of return and risk characteristics
of hedge funds, managed futures and mutual funds
Thomas Schneeweis, University of Massachusetts,
and Richard Spurgin, Clark University
Introduction
Sources of return to hedge fund and managed derivative investments
Data and methodology
Results
Implications of results
Chapter 26: The due diligence process
Roxanne M. Martino, Harris Alternatives, LLC
Reference checks
Aligning incentives
Quantitative due diligence
Qualitative due diligence
Business risk
Ongoing due diligence
Due diligence on funds of funds
Chapter 27: Understanding continuing trends in hedge funds
Stuart N. Leaf, Paul Isaac and Michael Waldron, Cadogan
Management, LLC
Structural issues
Sector trends
Conclusions
Chapter 28: Hedge fund benchmarking and indexation
Jeff Bramel, DB Advisors, LLC
Introduction
History and evolution of hedge fund indices
Hedge fund indexation problems
Index weighting schemes
Indices and investability
Transparency
Liquidity
Why index?
Hedge fund index investing
A survey of hedge fund indices
Future trends
Part IV: Assessing risk and risk control
Chapter 29: Risk control and risk management
Paul Singer, Elliott Associates, LP
Introduction
Leverage
Concentration and position size
Absolute size
The human factor
People management
Counterparty and sovereign risk
Liquidity
Geopolitical risk
Systemic risk
Regulatory risk
Keeping the risk beast caged
Chapter 30: Qualitative aspects of analysing risk and
monitoring managers
Guy Hurley, Financial Risk Management, Ltd.
Introduction
Hedge fund managers: character analysis
Understanding the hedge fund culture
Understanding the investment philosophy
Understanding the edge
Reflecting the edge in the portfolio
Understanding risk management
Monitoring a hedge fund
Chapter 31: Assessing risk and risk control: operational issues
Mike Tremmel, Ernst and Young, LLP
Introduction
Prime brokerage
Trade authorisation
Trade capture
Credit and counterparty risk
Position and money reconciliation processes with brokers and
prime brokers
Valuation of financial instruments
Currency exposure
Future directions, challenges and opportunities
Chapter 32: The evolving role of the prime broker
Christopher J. Pesce, Banc of America Securities, LLC
Introduction
What a prime broker does
How does a prime broker help a manager start a hedge fund?
How does a prime broker help a hedge fund operate?
How do prime brokers help hedge funds find capital?
How do prime brokers help hedge funds generate alpha?
Conclusion
Chapter 33: Hedge fund transparency
James R. Hedges IV, LJH Global Investments, LLC
Introduction
Hedge fund versus mutual fund investing
Advantages and disadvantages of transparency
Transparency is not a free good
Recent developments
Part V: Hedge funds and public policy
Chapter 34: What bankers don’t know
Henry Kaufman, Henry Kaufman & Company, Inc.
Chapter 35: Hedge funds and dynamic hedging
George Soros, Soros Fund Management
A different view of markets
Institutional investors
Derivatives
What are hedge funds?
The Quantum Group of Funds
Supervision and regulation
Questions
Chapter 36: Hedge funds and financial markets:
implications for policy
Barry Eichengreen, University of California, Berkeley, and Donald J.
Mathieson, International Monetary Fund
Introduction
Hedge fund operations
Hedge funds and market moves
Policy implications and options
The hedge fund industry
Hedge funds and market dynamics
Supervision and regulation
Hedge funds and recent crises
An appraisal
Chapter 37: Short selling, hedge funds and public policy
considerations
James S. Chanos, Kynikos Associates, Ltd.
Introduction
Who sells short?
Regulatory requirements and economic costs of short selling
Short sellers as financial detectives
An example of research-based short selling: Enron
Is there a need for regulatory change?
Part VI: Legal and regulatory issues
Chapter 38: Structuring hedge funds: an overview of business,
legal and regulatory considerations for managers
Philip H. Harris, Andrew S. Kenoe, Sarah Davidoff and
Michael A. Lawson, Skadden, Arps, Slate, Meagher & Flom, LLP
Introduction
Threshold questions
Types of organisation
Annuity and insurance products
US regulatory framework
Securities Act of 1933 (Securities Act) and Regulation D thereunder;
blue sky
Related ‘blue sky’ considerations
Securities Exchange Act of 1934 (the Exchange Act)
Investment Company Act of 1940 (the Investment Company Act)
Investment Advisers Act of 1940 (the Advisers Act)
Commodity Exchange Act of 1974 (CEA)
Anti-money laundering
Privacy regulations
Basic economics
ERISA-employee benefit plans
Tax considerations
Documentation
Conclusion
Chapter 39: Investing in hedge funds: an overview of business,
legal and regulatory considerations for investors
Eric Sippel, Eastbourne Capital Management, LLC, and
Christopher Rupright, Shartis, Friese & Ginsburg, LLP
Introduction
Primary factors influencing a hedge fund’s terms
Significant hedge fund terms
Conclusion
Chapter 40: Marketing alternative investment funds:
law and regulation in Europe
Eric C. Bettelheim, Michon de Reya, Solicitors
EU Directives
The United Kingdom
The United States
France
Germany
Switzerland
Conclusion
Chapter 41: Marketing alternative investments: law and regulation
in the United States
Nicholas S. Hodge, Kirkpatrick & Lockhart, LLP
Introduction
1933 Act limitations on marketing
1940 Act limitations on marketing
Advisers Act limitations on marketing
1934 Act Limitations on marketing
New products
Chapter 42: The evolution and outlook for regulation of hedge funds
in the United States
Nicholas S. Hodge, Kirkpatrick & Lockhart, LLP
Introduction
Current regulatory environment
The development of the hedge fund industry and hedge fund regulation
Climate change: new perceptions of hedge funds
Future regulatory developments
Appendices
Appendix 1: AIMA’s illustrative questionnaire for due diligence
of hedge fund managers
Alternative Investment Management Association
Appendix 2: Regulatory and investor protection issues arising from the
participation by retail investors in (funds-of-) hedge funds
International Organization of Securities Commissions
Introduction
Regulatory issues raised by the existence of hedge funds
Scope of the types of CISs involved
