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This book is not another general discussion of all aspects of hedge funds. Instead it focuses on the key issue of return sources and the relationship of returns to systematic risk, as well as the practical implications for investors thereof (including a new chapter on the topic of hedge fund replication which emerged directly from the “return source discussion”). While providing the background, definitions and readable explanations of individual hedge fund strategies, the reader will need to understand the return source discussion and the book focuses three dedicated chapters on this one key area.
Providing background knowledge on hedge funds: the book provides the necessary general background on hedge funds. It provides an overview of the hedge fund industry and its recent developments, including discussion of some myths and misconception about the hedge fund industry. It covers the empirical risk and return properties of the individual hedge fund strategies, and describes these in detail ranging from Long/Short Equity strategies via the different Relative Value (“Arbitrage”) strategies to Event Driven and Opportunistic trading approaches and finally Managed Futures strategies.
Providing a detailed introduction to hedge fund return sources with no other book being oriented towards that goal in that much detail. The book explains the economic reasons for hedge fund returns and distinguishes between the two broad classes of return sources; risk premia and manager skill. It also presents and discusses some selective quantitative results of modelling the return sources and introduces the specific return sources of individual hedge fund strategies. This all provides the general reader with a full scale understanding of this rather technical matter.
Provides practical application of the reader’s new understanding of return sources: The book discusses the direct applications of alternative beta strategies and hedge fund replication; a topic of ever increasing interest to the hedge fund investing community. With hedge fund replication going mainstream, investors are given a choice among several different views and approaches which the author tries to discuss as broadly as the overall length of the books allows. The book also discusses the related topics of proper hedge fund benchmarks and indices and then applies the knowledge in a practical guide to sector allocation, manager selection (due diligence) and post-investment risk management. This is especially useful for the fund-of-funds and hedge fund portfolio manager, as it elaborates on the implications of our discussion in previous chapters for the entire investment process in a portfolio of hedge funds.