HedgeFunds: An Analytic Perspective Andrew W. Lo(2008)

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“Hardcover in DJ in Very Good Condition. Ex library copy, will have the markings and stickers ...
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9780691132945
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Product Identifiers

Publisher
Princeton University Press
ISBN-10
0691132941
ISBN-13
9780691132945
eBay Product ID (ePID)
63847168

Product Key Features

Number of Pages
376 Pages
Publication Name
Hedge Funds : an Analytic Perspective
Language
English
Subject
Finance / General, Investments & Securities / Mutual Funds, Corporate Finance / General, Investments & Securities / General
Publication Year
2008
Type
Textbook
Author
Andrew W. Lo
Subject Area
Business & Economics
Series
Advances in Financial Engineering Ser.
Format
Hardcover

Dimensions

Item Height
3 in
Item Weight
24.1 Oz
Item Length
9 in
Item Width
6 in

Additional Product Features

Intended Audience
College Audience
LCCN
2007-061038
Dewey Edition
22
Reviews
For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies. . . . As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book. -- Marcel Mllenbeck, Financial Markets and Portfolio Management, "Andrew Lo's Hedge Funds is likely to be the high-water mark in the analysis of hedge funds for years to come. Focusing on hedge fund returns and trading strategies, risk characteristics, and potential for illiquidity, Lo brings to bear his always fresh and insightful thinking." --Richard Bookstaber, author of A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation, The book is the authoritative distillation into an accessible form of a huge amount of academic research and practical experience. . . . Professor Lo gives a masterful illustration of the problems in gauging hedge fund performance with his famous fantasy fund Capital Decimation Partners. ---Steven Bell, The Business Economist, "For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies. . . . As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book." --Marcel Möllenbeck, Financial Markets and Portfolio Management, "Lo offers a truly unique perspective. He examines the properties of returns and illiquidity in great detail and introduces an innovative concept of mean-variance-liquidity optimization, something that no other book on hedge funds has addressed." --Narayan Y. Naik, London Business School, For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies. . . . As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book. -- Marcel Möllenbeck, Financial Markets and Portfolio Management, "This book provides a useful and very timely overview of key aspects of the hedge fund industry. It summarizes the basic properties of hedge fund returns, discusses why traditional performance measures may be misleading when analyzing hedge fund performance, and highlights important issues such as serial correlation, return smoothing, and illiquidity." --Markus K. Brunnermeier, Princeton University, For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies. . . . As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book., Anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go., For scholars already familiar with the concepts of modern portfolio theory, the book is a good start in a quest to expand their knowledge of hedge funds strategies. . . . As one of the leading researchers in the field, Lo sets the standard by establishing key concepts for the industry with this book. ---Marcel Möllenbeck, Financial Markets and Portfolio Management, The book is the authoritative distillation into an accessible form of a huge amount of academic research and practical experience. . . . Professor Lo gives a masterful illustration of the problems in gauging hedge fund performance with his famous fantasy fund Capital Decimation Partners., "Anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go." -- The Economist, "The book is the authoritative distillation into an accessible form of a huge amount of academic research and practical experience. . . . Professor Lo gives a masterful illustration of the problems in gauging hedge fund performance with his famous fantasy fund Capital Decimation Partners." --Steven Bell, The Business Economist, Anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go. -- The Economist
Series Volume Number
2
Illustrated
Yes
Dewey Decimal
332.64/524
Table Of Content
List of Tables xi List of Figures xvii List of Color Plates xxi Acknowledgments xxiii Chapter 1: Introduction 1 1.1 Tail Risk 7 1.2 Nonlinear Risks 13 1.3 Illiquidity and Serial Correlation 25 1.4 Literature Review 30 Chapter 2: Basic Properties of Hedge Fund Returns 34 2.1 CS/Tremont Indexes 37 2.2 Lipper TASS Data 40 2.3 Attrition Rates 43 Chapter 3: Serial Correlation, Smoothed Returns, and Illiquidity 64 3.1 An Econometric Model of Smoothed Returns 66 3.2 Implications for Performance Statistics 70 3.3 Estimation of Smoothing Profiles 75 3.4 Smoothing-Adjusted Sharpe Ratios 79 3.5 Empirical Analysis of Smoothing and Illiquidity 83 Chapter 4: Optimal Liquidity 97 4.1 Liquidity Metrics 98 4.2 Liquidity-Optimized Portfolios 105 4.3 Empirical Examples 107 4.4 Summary and Extensions 117 Chapter 5: Hedge Fund Beta Replication 121 5.1 Literature Review 123 5.2 Two Examples 124 5.3 Linear Regression Analysis 126 5.4 Linear Clones 138 5.5 Summary and Extensions 164 Chapter 6: A New Measure of Active Investment Management 168 6.1 Literature Review 170 6.2 The AP Decomposition 172 6.3 Some Analytical Examples 180 6.4 Implementing the AP Decomposition 187 6.5 An Empirical Application 191 6.6 Summary and Extensions 196 Chapter 7: Hedge Funds and Systemic Risk 198 7.1 Measuring Illiquidity Risk 200 7.2 Hedge Fund Liquidations 203 7.3 Regime-Switching Models 211 7.4 The Current Outlook 215 Chapter 8: An Integrated Hedge Fund Investment Process 217 8.1 Define Asset Classes by Strategy 221 8.2 Set Portfolio Target Expected Returns 222 8.3 Set Asset-Class Target Expected Returns and Risks 222 8.4 Estimate Asset-Class Covariance Matrix 223 8.5 Compute Minimum-Variance Asset Allocations 224 8.6 Determine Manager Allocations within Each Asset Class 225 8.7 Monitor Performance and Risk Budgets 227 8.8 The Final Specification 227 8.9 Risk Limits and Risk Capital 229 8.10 Summary and Extensions 235 Chapter 9: Practical Considerations 237 9.1 Risk Management as a Source of Alpha 237 9.2 Risk Preferences 239 9.3 Hedge Funds and the Efficient Markets Hypothesis 242 9.4 Regulating Hedge Funds 250 Chapter 10: What Happened to the Quants in August 2007? 255 10.1 Terminology 260 10.2 Anatomy of a Long/Short Equity Strategy 261 10.3 What Happened in August 2007 269 10.4 Comparing August 2007 with August 1998 273 10.5 Total Assets, Expected Returns, and Leverage 276 10.6 The Unwind Hypothesis 281 10.7 Illiquidity Exposure 284 10.8 A Network View of the Hedge Fund Industry 286 10.9 Did Quant Fail? 292 10.10 Qualifications and Extensions 298 10.11 The Current Outlook 300 Appendix 303 A.1 Lipper TASS Category Definitions 303 A.2 CS/Tremont Category Definitions 305 A.3 Matlab Loeb Function tloeb 308 A.4 GMM Estimators for the AP Decomposition 310 A.5 Constrained Optimization 312 A.6 A Contrarian Trading Strategy 313 A.7 Statistical Significance of Aggregate Autocorrelations 314 References 317 Index 331
Synopsis
The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds , Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge fund investments. Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge fund failure rates, and integrated investment processes for alternative investments. He concludes with a case study of quantitative equity strategies in August 2007, and presents a sobering outlook regarding the systemic risks posed by this industry.
LC Classification Number
HG4530.L59 2008

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