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Hedge funds are the fastest growing sector of the financial industry, and this trend is set to continue. Non technical yet sophisticated, the Handbook of Hedge Funds removes the veil of secrecy that surrounds these often misunderstood investment vehicles. Blending facts, practical tips, and personal insights, written by an expert in the field, it provides a complete analysis of what hedge funds are, how they operate, and how they should be used in a portfolio.
The Handbook of Hedge Funds provides:
* A discussion on the history and regulation of hedge funds
* Detailed analysis of hedge fund strategies illustrated by trade examples from successful hedge fund managers
* A complete guide on the various risk and return statistics used by hedge funds
* A description of existing hedge fund databases and indices.
* An overview of how to use hedge funds in portfolio construction
* New material on structured products and funds of hedge funds
This book included a foreword by Mark Anson, CIO of Hermes Investments.
Hedge funds are the fastest growing sector of the financial industry, and this trend is set to continue. Non technical yet sophisticated, the Handbook of Hedge Funds removes the veil of secrecy that surrounds these often misunderstood investment vehicles. Blending facts, practical tips, and personal insights, written by an expert in the field, it provides a complete analysis of what hedge funds are, how they operate, and how they should be used in a portfolio.
The Handbook of Hedge Funds provides:
* A discussion on the history and regulation of hedge funds
* Detailed analysis of hedge fund strategies illustrated by trade examples from successful hedge fund managers
* A complete guide on the various risk and return statistics used by hedge funds
* A description of existing hedge fund databases and indices.
* An overview of how to use hedge funds in portfolio construction
* New material on structured products and funds of hedge funds
This book included a foreword by Mark Anson, CIO of Hermes Investments.
About the author
FRANÇOIS-SERGE LHABITANT, PhD, is Chief Investment Officer at Kedge Capital in London. He was formerly a Member of Senior Management at Union Bancaire Privée, and prior to this, a Director at UBS/Global Asset Management. On the academic side, he is a Professor of Finance at the University of Lausanne and at EDHEC Business School. His specialist skills are in the areas of alternative investment (hedge funds) and emerging markets. He is the author of several books on these two subjects and has published numerous research and scientific popularisation articles. He is also a member of the Scientific Council of the Autorité des Marches Financiers, the French regulatory body.
"Lhabitant takes us from the early 1930s to the latest cutting edge research in the field of hedge funds, blending both theoretical and practical information in this handbook and leaving no stone unturned. This new updated text with its panoply of new information, loads of examples and cases for educational purposes is well worth the investment. It is a must for beginners, institutional investors and money managers, lawyers, accountants, academics. In essence the bible of hedge fund books, you cannot ask for better."
?Greg N. Gregoriou, Ph.D, Associate Professor of Finance, State University of New York (Plattsburgh)
Foreword by Mark Anson xv
1 Introduction 1
PART I HEDGE FUND OVERVIEW
2 History Revisited 7
2.1 The very early years: The 1930s 7
2.2 The formative years (1949-1968) 8
2.3 The dark ages (1969-1974) 11
2.4 The renaissance (1975-1997) 12
2.5 The Asian and Russian crises (1997-1998) 15
2.6 The equity bubble years 18
2.7 Hedge funds today 19
2.8 The key characteristics of modern hedge funds 24
2.9 The future 35
3 Legal Environment 37
3.1 The situation in the US 39
3.1.1 The Securities Act (1933) 39
3.1.2 Securities Exchange Act (1934) 44
3.1.3 Investment Company Act 46
3.1.4 Investment Advisers Act (1940) 48
3.1.5 Blue-sky laws 55
3.1.6 National Securities Markets Improvement Act (1996) 55
3.1.7 Employee Retirement Income Security Act (1974) 56
3.1.8 Other regulations 56
3.1.9 The Commodity Futures Trading Commission 57
3.2 The situation in Europe 59
3.2.1 The UCITS directives and mutual fund regulation 59
3.2.2 The case of European hedge funds 62
3.2.3 Germany 63
3.2.4 France 69
3.2.5 Italy 75
3.2.6 Switzerland 76
3.2.7 Ireland 78
3.2.8 Spain 80
3.3 The situation in Asia 81
3.4 Internet and the global village 81
4 Operational and Organizational Structures 85
4.1 Legal structures for stand-alone funds 85
4.1.1 In the United States ("onshore") 85
4.1.2 Outside the United States ("offshore") 87
4.2 A network of service providers 90
4.2.1 The sponsor and the investors 91
4.2.2 The board of directors 91
4.2.3 The investment adviser 92
4.2.4 The investment manager or management company 92
4.2.5 The brokers 93
4.2.6 The fund administrator 99
4.2.7 The custodian/trustee 103
4.2.8 The legal counsel(s) 103
4.2.9 The auditors 105
4.2.10 The registrar and transfer agent 106
4.2.11 The distributors 106
4.2.12 The listing sponsor 107
4.3 Specific investment structures 108
4.3.1 Mirror funds 108
4.3.2 Master/feeder structures 109
4.3.3 Managed accounts 112
4.3.4 Umbrella funds 114
4.3.5 Multi-class/multi-series funds 115
4.3.6 Side pockets 116
4.3.7 Structured products 117
4.4 Disclosure and documents 118
4.4.1 Private placement memorandum (PPM) 118
4.4.2 Memorandum and articles of association 118
4.4.3 ADV form 118
4.4.4 Limited partnership agreements 119
4.4.5 Side letters 119
5 Understanding the Tools Used by Hedge Funds 121
5.1 Buying and selling using a cash account 121
5.2 Buying on margin 122
5.2.1 Mechanics 122
5.2.2 Buying on margin: an example 124
5.3 Short selling and securities lending 126
5.3.1 Mechanics of short selling 127
5.3.2 A detailed example 134
5.3.3 Restrictions on short selling 135
5.3.4 Potential benefits of short selling 139
5.3.5 Alternatives to securities lending: repos and buys/sell backs 140
5.4 Derivatives 142
5.4.1 Terminology 144
5.4.2 Basic derivatives contracts 144
5.4.3 Credit derivatives 146
5.4.4 Benefits and uses of derivatives 149
5.5 Leverage 151
PART II HEDGE FUND STRATEGIES AND TRADE EXAMPLES
6 Introduction 159
7 Long/Short Equity Strategies 163
7.1 The mechanics of long/short equity investing 163
7.1.1 A single position 163
7.1.2 Sources of return and feasible portfolios 165
7.1.3 Disadvantages of long/short equity investing 169
7.2 Investment approaches 170
7.2.1 The valuation-based approach 170
7.2.2 Sector specialist hedge funds 174
7.2.3 Quantitative approaches 175
7.2.4 Equity non-hedge hedge funds 175
7.2.5 Activist strategies 176
7.3 Historical performance 181
8 Dedicated Short 187
8.1 The pros and cons of dedicated short selling 187
8.2 Typical target companies and reactions 188
8.3 Historical performance 193
9 Equity Market Neutral 197
9.1 Definitions of market neutrality 197
9.1.1 Dollar neutrality 197
9.1.2 Beta neutrality 198
9.1.3 Sector neutrality 200
9.1.4 Factor neutrality 200
9.1.5 A double alpha strategy 202
9.2 Examples of equity market neutral strategies and trades 203
9.2.1 Pairs trading 203
9.2.2 Statistical arbitrage 207
9.2.3 Very-high-frequency trading 208
9.2.4 Other strategies 211
9.3 Historical performance 211
10 Distressed Securities 215
10.1 Distressed securities markets 215
10.1.1 The origins: railways 215
10.1.2 From high yield to distressed securities 216
10.1.3 The distressed securities market today 219
10.2 Distressed securities investing 226
10.2.1 Why distressed securities? 226
10.2.2 Legal framework 227
10.2.3 Valuation 228
10.2.4 Active versus passive 230
10.2.5 Risks 232
10.3 Examples of distressed trades 233
10.3.1 Kmart 233
10.3.2 Failed leveraged buyouts 234
10.3.3 Direct lending 235
10.3.4 The case of airlines 236
10.4 Historical performance 239
11 Merger Arbitrage 243
11.1 Mergers and acquisitions: a historical perspective 243
11.2 Implementing merger arbitrage: basic principles 246
11.2.1 Arbitraging a cash tender offer 247
11.2.2 Arbitraging a stock-for-stock offer (fixed exchange rate) 250
11.2.3 Arbitraging more complex offers 252
11.3 The risks inherent in merger arbitrage 254
11.4 Historical performance 263
12 Convertible Arbitrage 269
12.1 The terminology of convertible bonds 269
12.2 Valuation of convertible bonds 272
12.2.1 Valuation from an academic perspective 272
12.2.2 Valuation from a practitioner perspective (the component approach) 273
12.2.3 Risk measurement and the Greek alphabet 277
12.3 Convertible arbitrage: the basic delta hedge strategy 279
12.4 Convertible Arbitrage in practice: stripping and swapping 285
12.5 The strategy evolution 287
12.6 Historical performance 293
13 Fixed Income Arbitrage 297
13.1 The basic tools of fixed income arbitrage 297
13.2 Examples of sub-strategies 299
13.2.1 Treasuries stripping 299
13.2.2 Carry trades 301
13.2.3 On-the-run versus off-the-run Treasuries 301
13.2.4 Yield-curve arbitrage 303
13.2.5 Swap-spread arbitrage 304
13.2.6 The Treasury-Eurodollar spread (TED) 305
13.3 Historical performance 306
14 Emerging Markets 311
14.1 The case for emerging market hedge funds 311
14.2 Examples of strategies 314
14.2.1 Equity strategies 314
14.2.2 Fixed income strategies 319
14.3 Historical performance 323
15 Global Macro 327
15.1 Global macro investment approaches 327
15.2 Examples of global macro trades 328
15.2.1 The ERM crisis (1992) 329
15.2.2 The ECU arbitrage 332
15.2.3 The Asian crisis (1997) 333
15.2.4 The euro convergence (1995-1997) 337
15.2.5 Carry trades 340
15.2.6 The twin deficits 344
15.2.7 Risk management and portfolio construction 345
15.3 Historical performance 346
16 Managed Futures and Commodity Trading Advisors (CTAs) 351
16.1 The various styles of managed futures 352
16.1.1 Trading approach: discretionary versus systematic 352
16.1.2 Type of analysis: fundamental versus technical 354
16.1.3 Source of returns: trend followers and non trend followers 354
16.1.4 Timeframe for trades 355
16.2 Examples of systematic trading rules 355
16.2.1 Moving Average Convergence/Divergence (MACD) 355
16.2.2 Examples of trading ranges signals 361
16.2.3 Portfolio construction 363
16.2.4 Transparency or regulated black boxes? 363
16.2.5 Investment vehicles 365
16.2.6 Back-testing and calibration 365
16.3 Historical Performance 366
16.4 The future of managed futures 370
17 A Smorgasbord of Other Strategies 373
17.1 Capital structure arbitrage and credit strategies 373
17.2 Weather derivatives, weather insurance and catastrophe bonds 381
17.3 Mutual Fund Arbitrage 382
17.3.1 The forward pricing mechanism 383
17.3.2 The loopholes in forward pricing 384
17.3.3 Unethical, but persistent 386
17.3.4 A brutal ending 387
17.4 Arbitraging between NAVs and quoted price: Altin AG 388
17.5 Split strike conversion 390
17.6 Event-Driven Special Situations 392
17.7 Cross-listing and dual-listing arbitrage 393
17.7.1 Cross-listed companies and ADRs 393
17.7.2 Dual-listed companies 394
17.8 From public to private equity 395
17.9 Regulation D and PIPEs funds 397
17.10 IPO Lock-up Expirations 398
PART III MEASURING RETURNS, RISKS AND PERFORMANCE
18 Measuring Net Asset Values and Returns 403
18.1 The difficulties of obtaining information 404
18.2 Equalization, crystallization and multiple share classes 406
18.3 The inequitable allocation of incentive fees 406
18.4 The free-ride syndrome 407
18.5 Onshore versus Offshore Funds 408
18.6 The multiple share approach 409
18.7 The equalization factor/depreciation deposit approach 410
18.8 Simple Equalization 414
18.9 Consequences for performance calculation 414
18.10 The holding period return 415
18.11...
| Erscheinungsjahr: | 2007 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 640 S. |
| ISBN-13: | 9780470026632 |
| ISBN-10: | 0470026634 |
| Sprache: | Englisch |
| Herstellernummer: | 14502663000 |
| Einband: | Gebunden |
| Autor: | Lhabitant, François-Serge |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 258 x 181 x 43 mm |
| Von/Mit: | François-Serge Lhabitant |
| Erscheinungsdatum: | 01.02.2007 |
| Gewicht: | 1,269 kg |
About the author
FRANÇOIS-SERGE LHABITANT, PhD, is Chief Investment Officer at Kedge Capital in London. He was formerly a Member of Senior Management at Union Bancaire Privée, and prior to this, a Director at UBS/Global Asset Management. On the academic side, he is a Professor of Finance at the University of Lausanne and at EDHEC Business School. His specialist skills are in the areas of alternative investment (hedge funds) and emerging markets. He is the author of several books on these two subjects and has published numerous research and scientific popularisation articles. He is also a member of the Scientific Council of the Autorité des Marches Financiers, the French regulatory body.
"Lhabitant takes us from the early 1930s to the latest cutting edge research in the field of hedge funds, blending both theoretical and practical information in this handbook and leaving no stone unturned. This new updated text with its panoply of new information, loads of examples and cases for educational purposes is well worth the investment. It is a must for beginners, institutional investors and money managers, lawyers, accountants, academics. In essence the bible of hedge fund books, you cannot ask for better."
?Greg N. Gregoriou, Ph.D, Associate Professor of Finance, State University of New York (Plattsburgh)
Foreword by Mark Anson xv
1 Introduction 1
PART I HEDGE FUND OVERVIEW
2 History Revisited 7
2.1 The very early years: The 1930s 7
2.2 The formative years (1949-1968) 8
2.3 The dark ages (1969-1974) 11
2.4 The renaissance (1975-1997) 12
2.5 The Asian and Russian crises (1997-1998) 15
2.6 The equity bubble years 18
2.7 Hedge funds today 19
2.8 The key characteristics of modern hedge funds 24
2.9 The future 35
3 Legal Environment 37
3.1 The situation in the US 39
3.1.1 The Securities Act (1933) 39
3.1.2 Securities Exchange Act (1934) 44
3.1.3 Investment Company Act 46
3.1.4 Investment Advisers Act (1940) 48
3.1.5 Blue-sky laws 55
3.1.6 National Securities Markets Improvement Act (1996) 55
3.1.7 Employee Retirement Income Security Act (1974) 56
3.1.8 Other regulations 56
3.1.9 The Commodity Futures Trading Commission 57
3.2 The situation in Europe 59
3.2.1 The UCITS directives and mutual fund regulation 59
3.2.2 The case of European hedge funds 62
3.2.3 Germany 63
3.2.4 France 69
3.2.5 Italy 75
3.2.6 Switzerland 76
3.2.7 Ireland 78
3.2.8 Spain 80
3.3 The situation in Asia 81
3.4 Internet and the global village 81
4 Operational and Organizational Structures 85
4.1 Legal structures for stand-alone funds 85
4.1.1 In the United States ("onshore") 85
4.1.2 Outside the United States ("offshore") 87
4.2 A network of service providers 90
4.2.1 The sponsor and the investors 91
4.2.2 The board of directors 91
4.2.3 The investment adviser 92
4.2.4 The investment manager or management company 92
4.2.5 The brokers 93
4.2.6 The fund administrator 99
4.2.7 The custodian/trustee 103
4.2.8 The legal counsel(s) 103
4.2.9 The auditors 105
4.2.10 The registrar and transfer agent 106
4.2.11 The distributors 106
4.2.12 The listing sponsor 107
4.3 Specific investment structures 108
4.3.1 Mirror funds 108
4.3.2 Master/feeder structures 109
4.3.3 Managed accounts 112
4.3.4 Umbrella funds 114
4.3.5 Multi-class/multi-series funds 115
4.3.6 Side pockets 116
4.3.7 Structured products 117
4.4 Disclosure and documents 118
4.4.1 Private placement memorandum (PPM) 118
4.4.2 Memorandum and articles of association 118
4.4.3 ADV form 118
4.4.4 Limited partnership agreements 119
4.4.5 Side letters 119
5 Understanding the Tools Used by Hedge Funds 121
5.1 Buying and selling using a cash account 121
5.2 Buying on margin 122
5.2.1 Mechanics 122
5.2.2 Buying on margin: an example 124
5.3 Short selling and securities lending 126
5.3.1 Mechanics of short selling 127
5.3.2 A detailed example 134
5.3.3 Restrictions on short selling 135
5.3.4 Potential benefits of short selling 139
5.3.5 Alternatives to securities lending: repos and buys/sell backs 140
5.4 Derivatives 142
5.4.1 Terminology 144
5.4.2 Basic derivatives contracts 144
5.4.3 Credit derivatives 146
5.4.4 Benefits and uses of derivatives 149
5.5 Leverage 151
PART II HEDGE FUND STRATEGIES AND TRADE EXAMPLES
6 Introduction 159
7 Long/Short Equity Strategies 163
7.1 The mechanics of long/short equity investing 163
7.1.1 A single position 163
7.1.2 Sources of return and feasible portfolios 165
7.1.3 Disadvantages of long/short equity investing 169
7.2 Investment approaches 170
7.2.1 The valuation-based approach 170
7.2.2 Sector specialist hedge funds 174
7.2.3 Quantitative approaches 175
7.2.4 Equity non-hedge hedge funds 175
7.2.5 Activist strategies 176
7.3 Historical performance 181
8 Dedicated Short 187
8.1 The pros and cons of dedicated short selling 187
8.2 Typical target companies and reactions 188
8.3 Historical performance 193
9 Equity Market Neutral 197
9.1 Definitions of market neutrality 197
9.1.1 Dollar neutrality 197
9.1.2 Beta neutrality 198
9.1.3 Sector neutrality 200
9.1.4 Factor neutrality 200
9.1.5 A double alpha strategy 202
9.2 Examples of equity market neutral strategies and trades 203
9.2.1 Pairs trading 203
9.2.2 Statistical arbitrage 207
9.2.3 Very-high-frequency trading 208
9.2.4 Other strategies 211
9.3 Historical performance 211
10 Distressed Securities 215
10.1 Distressed securities markets 215
10.1.1 The origins: railways 215
10.1.2 From high yield to distressed securities 216
10.1.3 The distressed securities market today 219
10.2 Distressed securities investing 226
10.2.1 Why distressed securities? 226
10.2.2 Legal framework 227
10.2.3 Valuation 228
10.2.4 Active versus passive 230
10.2.5 Risks 232
10.3 Examples of distressed trades 233
10.3.1 Kmart 233
10.3.2 Failed leveraged buyouts 234
10.3.3 Direct lending 235
10.3.4 The case of airlines 236
10.4 Historical performance 239
11 Merger Arbitrage 243
11.1 Mergers and acquisitions: a historical perspective 243
11.2 Implementing merger arbitrage: basic principles 246
11.2.1 Arbitraging a cash tender offer 247
11.2.2 Arbitraging a stock-for-stock offer (fixed exchange rate) 250
11.2.3 Arbitraging more complex offers 252
11.3 The risks inherent in merger arbitrage 254
11.4 Historical performance 263
12 Convertible Arbitrage 269
12.1 The terminology of convertible bonds 269
12.2 Valuation of convertible bonds 272
12.2.1 Valuation from an academic perspective 272
12.2.2 Valuation from a practitioner perspective (the component approach) 273
12.2.3 Risk measurement and the Greek alphabet 277
12.3 Convertible arbitrage: the basic delta hedge strategy 279
12.4 Convertible Arbitrage in practice: stripping and swapping 285
12.5 The strategy evolution 287
12.6 Historical performance 293
13 Fixed Income Arbitrage 297
13.1 The basic tools of fixed income arbitrage 297
13.2 Examples of sub-strategies 299
13.2.1 Treasuries stripping 299
13.2.2 Carry trades 301
13.2.3 On-the-run versus off-the-run Treasuries 301
13.2.4 Yield-curve arbitrage 303
13.2.5 Swap-spread arbitrage 304
13.2.6 The Treasury-Eurodollar spread (TED) 305
13.3 Historical performance 306
14 Emerging Markets 311
14.1 The case for emerging market hedge funds 311
14.2 Examples of strategies 314
14.2.1 Equity strategies 314
14.2.2 Fixed income strategies 319
14.3 Historical performance 323
15 Global Macro 327
15.1 Global macro investment approaches 327
15.2 Examples of global macro trades 328
15.2.1 The ERM crisis (1992) 329
15.2.2 The ECU arbitrage 332
15.2.3 The Asian crisis (1997) 333
15.2.4 The euro convergence (1995-1997) 337
15.2.5 Carry trades 340
15.2.6 The twin deficits 344
15.2.7 Risk management and portfolio construction 345
15.3 Historical performance 346
16 Managed Futures and Commodity Trading Advisors (CTAs) 351
16.1 The various styles of managed futures 352
16.1.1 Trading approach: discretionary versus systematic 352
16.1.2 Type of analysis: fundamental versus technical 354
16.1.3 Source of returns: trend followers and non trend followers 354
16.1.4 Timeframe for trades 355
16.2 Examples of systematic trading rules 355
16.2.1 Moving Average Convergence/Divergence (MACD) 355
16.2.2 Examples of trading ranges signals 361
16.2.3 Portfolio construction 363
16.2.4 Transparency or regulated black boxes? 363
16.2.5 Investment vehicles 365
16.2.6 Back-testing and calibration 365
16.3 Historical Performance 366
16.4 The future of managed futures 370
17 A Smorgasbord of Other Strategies 373
17.1 Capital structure arbitrage and credit strategies 373
17.2 Weather derivatives, weather insurance and catastrophe bonds 381
17.3 Mutual Fund Arbitrage 382
17.3.1 The forward pricing mechanism 383
17.3.2 The loopholes in forward pricing 384
17.3.3 Unethical, but persistent 386
17.3.4 A brutal ending 387
17.4 Arbitraging between NAVs and quoted price: Altin AG 388
17.5 Split strike conversion 390
17.6 Event-Driven Special Situations 392
17.7 Cross-listing and dual-listing arbitrage 393
17.7.1 Cross-listed companies and ADRs 393
17.7.2 Dual-listed companies 394
17.8 From public to private equity 395
17.9 Regulation D and PIPEs funds 397
17.10 IPO Lock-up Expirations 398
PART III MEASURING RETURNS, RISKS AND PERFORMANCE
18 Measuring Net Asset Values and Returns 403
18.1 The difficulties of obtaining information 404
18.2 Equalization, crystallization and multiple share classes 406
18.3 The inequitable allocation of incentive fees 406
18.4 The free-ride syndrome 407
18.5 Onshore versus Offshore Funds 408
18.6 The multiple share approach 409
18.7 The equalization factor/depreciation deposit approach 410
18.8 Simple Equalization 414
18.9 Consequences for performance calculation 414
18.10 The holding period return 415
18.11...
| Erscheinungsjahr: | 2007 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 640 S. |
| ISBN-13: | 9780470026632 |
| ISBN-10: | 0470026634 |
| Sprache: | Englisch |
| Herstellernummer: | 14502663000 |
| Einband: | Gebunden |
| Autor: | Lhabitant, François-Serge |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 258 x 181 x 43 mm |
| Von/Mit: | François-Serge Lhabitant |
| Erscheinungsdatum: | 01.02.2007 |
| Gewicht: | 1,269 kg |
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