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eBay-Artikelnr.:286221286925
Artikelmerkmale
- Artikelzustand
- Publication Date
- 2004-07-02
- Pages
- 354
- ISBN
- 9780470856673
Über dieses Produkt
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
047085667X
ISBN-13
9780470856673
eBay Product ID (ePID)
13038262748
Product Key Features
Book Title
Hedge Funds : Quantitative Insights
Number of Pages
354 Pages
Language
English
Topic
Finance / General, Investments & Securities / Mutual Funds
Publication Year
2004
Illustrator
Yes
Genre
Business & Economics
Book Series
The Wiley Finance Ser.
Format
Hardcover
Dimensions
Item Height
1.1 in
Item Weight
26.9 Oz
Item Length
9.8 in
Item Width
6.7 in
Additional Product Features
Intended Audience
Trade
LCCN
2004-002909
Dewey Edition
22
Series Volume Number
248
Dewey Decimal
332.645
Table Of Content
Foreword by Mark Anson. Introduction. Acknowledgments. PART I: MEASURING RETURN AND RISK. 1 Characteristics of Hedge Funds. 1.1 What are hedge funds? 1.2 Investment styles. 1.2.1 The tactical trading investment style. 1.2.2 The equity long/short style. 1.2.3 The event-driven style. 1.2.4 The relative value arbitrage style. 1.2.5 Funds of funds and multi-strategy funds. 1.3 The current state of the hedge fund industry. 2 Measuring Return. 2.1 The difficulties of obtaining information. 2.2 Equalization, crystallization and multiple share classes. 2.2.1 The inequitable allocation of incentive fees. 2.2.2 The free ride syndrome. 2.2.3 Onshore versus offshore funds. 2.2.4 The multiple share approach. 2.2.5 The equalization factor/depreciation deposit approach. 2.2.6 Simple equalization. 2.2.7 Consequences for performance calculation. 2.3 Measuring returns. 2.3.1 The holding period return. 2.3.2 Annualizing. 2.3.3 Multiple hedge fund aggregation. 2.3.4 Continuous compounding. 3 Return and Risk Statistics. 3.1 Calculating return statistics. 3.1.1 Central tendency statistics. 3.1.2 Gains versus losses. 3.2 Measuring risk. 3.2.1 What is risk? 3.2.2 Range, quartiles and percentiles. 3.2.3 Variance and volatility (standard deviation). 3.2.4 Some technical remarks on measuring historical volatility/variance. 3.2.5 Back to histograms, return distributions and z-scores. 3.3 Downside risk measures. 3.3.1 From volatility to downside risk. 3.3.2 Semi-variance and semi-deviation. 3.3.3 The shortfall risk measures. 3.3.4 Value at risk. 3.3.5 Drawdown statistics. 3.4 Benchmark-related statistics. 3.4.1 Intuitive benchmark-related statistics. 3.4.2 Beta and market risk. 3.4.3 Tracking error. 4 Risk-Adjusted Performance Measures. 4.1 The Sharpe ratio. 4.1.1 Definition and interpretation. 4.1.2 The Sharpe ratio as a long/short position. 4.1.3 The statistics of Sharpe ratios. 4.2 The Treynor ratio and Jensen alpha. 4.2.1 The CAPM. 4.2.2 The market model. 4.2.3 The Jensen alpha. 4.2.4 The Treynor ratio. 4.2.5 Statistical significance. 4.2.6 Comparing Sharpe, Treynor and Jensen. 4.2.7 Generalizing the Jensen alpha and the Treynor ratio. 4.3 M2, M3 and Graham-Harvey. 4.3.1 The M2 performance measure. 4.3.2 GH1 and GH2. 4.4 Performance measures based on downside risk. 4.4.1 The Sortino ratio. 4.4.2 The upside potential ratio. 4.4.3 The Sterling and Burke ratios. 4.4.4 Return on VaR (RoVaR). 4.5 Conclusions. 5 Databases, Indices and Benchmarks. 5.1 Hedge fund databases. 5.2 The various biases in hedge fund databases. 5.2.1 Self-selection bias. 5.2.2 Database/sample selection bias. 5.2.3 Survivorship bias. 5.2.4 Backfill or instant history bias. 5.2.5 Infrequent pricing and illiquidity bias. 5.3 From databases to indices. 5.3.1 Index construction. 5.3.2 The various indices available and their differences. 5.3.3 Different indices-different returns. 5.3.4 Towards pure hedge fund indices. 5.4 From indices to benchmarks. 5.4.1 Absolute benchmarks and peer groups. 5.4.2 The need for true benchmarks. PART II: UNDERSTANDING THE NATURE OF HEDGE FUND RETURNS AND RISKS. 6 Covariance and Correlation. 6.1 Scatter plots. 6.2 Covariance and correlation. 6.2.1 Def
Synopsis
An excellent and comprehensive source of information on hedge funds! From a quantitative view Lhabitant has done it once again by meticulously looking at the important topics in the hedge fund industry. This book has a tremendous wealth of information and is a valuable addition to the hedge fund literature.|9780470856673|, "An excellent and comprehensive source of information on hedge funds! From a quantitative view Lhabitant has done it once again by meticulously looking at the important topics in the hedge fund industry. This book has a tremendous wealth of information and is a valuable addition to the hedge fund literature. In addition, it will benefit institutional investors, high net worth individuals, academics and anyone interested in learning more about this fascinating and often mysterious world of privately managed money. Written by one of the most respected practitioners and academics in the area of hedge funds." - Greg N. Gregoriou, Professor of finance and research coordinator in the School of Business and Economics at Plattsburgh State University of New York. "This is a landmark book on quantitative approaches to hedge funds. All those with a stake in building hedge fund portfolios will highly profit from this exhaustive guide. A must read for all those involved in hedge fund investing." -Pascal Botteron, Ph.D., Head of Hedge Fund Product Development, Pictet Asset Management "François-Serge Lhabitant's second book will prove to be a bestseller too - just like Hedge Funds: Myths and Limits. He actually manages to make quantitative analysis 'approachable'- even for those less gifted with numbers. This book, like its predecessor, includes an unprecedented mix of common sense and sophisticated technique. A fantastic guide to the 'nuts and bolts' of hedge fund analysis and a 'must' for every serious investor." - Barbara Rupf Bee, Head of Alternative Fund Investment Group, HSBC Private Bank, Switzerland " An excellent book, providing deep insights into the complex quantitative analysis of hedge funds in the most lucid and intuitive manner. A must-have supplement to Lhabitant's first book dealing with the mystical and fascinating world of hedge funds. Highly recommended!" -Vikas Agarwal, Assistant Professor of Finance, J. Mack Robinson College of Business, Georgia State University "Lhabitant has done it again! Whereas most books on hedge funds are nothing more than glorified marketing brochures, Lhabitant's new book tells it how it is in reality. Accessible and understandable but at the same time thorough and critical." -Harry M. Kat, Ph.D., Professor of Risk Management and Director Alternative Investment Research Centre, Cass Business School, City University "Lhabitant's latest work on hedge funds yet again delivers on some ambitious promises. Successfully bridging theory and practice in a highly accessible manner, those searching for a thorough yet unintimidating introduction to the quantitative methods of hedge fund analysis will not be disappointed." -Christopher L. Culp, Ph.D., Adjunct Professor of Finance, Graduate School of Business, The University of Chicago and Principal, Chicago Partners LLC, "An excellent and comprehensive source of information on hedge funds! From a quantitative view Lhabitant has done it once again by meticulously looking at the important topics in the hedge fund industry. This book has a tremendous wealth of information and is a valuable addition to the hedge fund literature. In addition, it will benefit institutional investors, high net worth individuals, academics and anyone interested in learning more about this fascinating and often mysterious world of privately managed money. Written by one of the most respected practitioners and academics in the area of hedge funds." Greg N. Gregoriou , Professor of finance and research coordinator in the School of Business and Economics at Plattsburgh State University of New York. "This is a landmark book on quantitative approaches to hedge funds. All those with a stake in building hedge fund portfolios will highly profit from this exhaustive guide. A must read for all those involved in hedge fund investing." Pascal Botteron , Ph.D., Head of Hedge Fund Product Development, Pictet Asset Management "Fran&ÇoisSerge Lhabitant's second book will prove to be a bestseller too just like Hedge Funds: Myths and Limits. He actually manages to make quantitative analysis 'approachable' even for those less gifted with numbers. This book, like its predecessor, includes an unprecedented mix of common sense and sophisticated technique. A fantastic guide to the 'nuts and bolts' of hedge fund analysis and a 'must' for every serious investor." Barbara Rupf Bee , Head of Alternative Fund Investment Group, HSBC Private Bank, Switzerland "An excellent book, providing deep insights into the complex quantitative analysis of hedge funds in the most lucid and intuitive manner. A musthave supplement to Lhabitant's first book dealing with the mystical and fascinating world of hedge funds. Highly recommended!" Vikas Agarwal , Assistant Professor of Finance, J. Mack Robinson College of Business, Georgia State University "Lhabitant has done it again! Whereas most books on hedge funds are nothing more than glorified marketing brochures, Lhabitant's new book tells it how it is in reality. Accessible and understandable but at the same time thorough and critical." Harry M. Kat , Ph.D., Professor of Risk Management and Director Alternative Investment Research Centre, Cass Business School, City University "Lhabitant's latest work on hedge funds yet again delivers on some ambitious promises. Successfully bridging theory and practice in a highly accessible manner, those searching for a thorough yet unintimidating introduction to the quantitative methods of hedge fund analysis will not be disappointed." Christopher L. Culp , Ph.D., Adjunct Professor of Finance, Graduate School of Business, The University of Chicago and Principal, Chicago Partners LLC, "An excellent and comprehensive source of information on hedge funds From a quantitative view Lhabitant has done it once again by meticulously looking at the important topics in the hedge fund industry. This book has a tremendous wealth of information and is a valuable addition to the hedge fund literature. In addition, it will benefit institutional investors, high net worth individuals, academics and anyone interested in learning more about this fascinating and often mysterious world of privately managed money. Written by one of the most respected practitioners and academics in the area of hedge funds." - Greg N. Gregoriou, Professor of finance and research coordinator in the School of Business and Economics at Plattsburgh State University of New York. "This is a landmark book on quantitative approaches to hedge funds. All those with a stake in building hedge fund portfolios will highly profit from this exhaustive guide. A must read for all those involved in hedge fund investing." -Pascal Botteron, Ph.D., Head of Hedge Fund Product Development, Pictet Asset Management "Francois-Serge Lhabitant's second book will prove to be a bestseller too - just like Hedge Funds: Myths and Limits. He actually manages to make quantitative analysis 'approachable'- even for those less gifted with numbers. This book, like its predecessor, includes an unprecedented mix of common sense and sophisticated technique. A fantastic guide to the 'nuts and bolts' of hedge fund analysis and a 'must' for every serious investor." - Barbara Rupf Bee, Head of Alternative Fund Investment Group, HSBC Private Bank, Switzerland " An excellent book, providing deep insights into the complex quantitative analysis of hedge funds in the most lucid and intuitive manner. A must-have supplement to Lhabitant's first book dealing with the mystical and fascinating world of hedge funds. Highly recommended " -Vikas Agarwal, Assistant Professor of Finance, J. Mack Robinson College of Business, Georgia State University "Lhabitant has done it again Whereas most books on hedge funds are nothing more than glorified marketing brochures, Lhabitant's new book tells it how it is in reality. Accessible and understandable but at the same time thorough and critical." -Harry M. Kat, Ph.D., Professor of Risk Management and Director Alternative Investment Research Centre, Cass Business School, City University "Lhabitant's latest work on hedge funds yet again delivers on some ambitious promises. Successfully bridging theory and practice in a highly accessible manner, those searching for a thorough yet unintimidating introduction to the quantitative methods of hedge fund analysis will not be disappointed." -Christopher L. Culp, Ph.D., Adjunct Professor of Finance, Graduate School of Business, The University of Chicago and Principal, Chicago Partners LLC
LC Classification Number
HG4530
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AlibrisBooks
98,5% positive Bewertungen•1.9 Mio. Artikel verkauft
Angemeldet als gewerblicher Verkäufer
Verkäuferbewertungen (507'754)
- 0***o (785)- Bewertung vom Käufer.Letzter MonatBestätigter KaufMy package arrived quickly and safely. A+ ebay seller.
- 1***1 (355)- Bewertung vom Käufer.Letzter MonatBestätigter Kaufarrived in good condition and the item was as described thanks!!!
- 7***z (369)- Bewertung vom Käufer.Letzter MonatBestätigter KaufIt's what I ordered.