{"product_id":"alternative-beta-strategies-and-hedge-fund-replication-9780470754467","title":"Alternative Beta Strategies and Hedge Fund","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eThere s a buzzword that has quickly captured the imagination of product providers and investors alike: hedge fund replication. In the broadest sense, replicating hedge fund strategies means replicating their return sources and corresponding risk exposures.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Breaking the Black Box 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 New popularity, old confusion 1\u003c\/p\u003e \u003cp\u003e1.2 The challenges of understanding hedge funds 2\u003c\/p\u003e \u003cp\u003e1.3 Leaving Alphaville 3\u003c\/p\u003e \u003cp\u003e1.4 The beauty of beta 4\u003c\/p\u003e \u003cp\u003e1.5 Alternative versus traditional beta 4\u003c\/p\u003e \u003cp\u003e1.6 The replication revolution 5\u003c\/p\u003e \u003cp\u003e1.7 Full disclosure 6\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 What AreHedge Funds,Where Did They Come From, and Where Are They Going? 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Characteristics of hedge funds 7\u003c\/p\u003e \u003cp\u003e2.2 Hedge funds as an asset class 11\u003c\/p\u003e \u003cp\u003e2.3 Taxonomy of hedge funds 11\u003c\/p\u003e \u003cp\u003e2.4 Myths, misperceptions, and realities about hedge funds 15\u003c\/p\u003e \u003cp\u003e2.5 A short history of hedge funds 22\u003c\/p\u003e \u003cp\u003e2.6 The hedge fund industry today 26\u003c\/p\u003e \u003cp\u003e2.7 The future of hedge funds – opportunities and challenges 30\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 The Individual Hedge Fund Strategies’ Characteristics 37\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Equity Hedged – Long\/Short Equity 37\u003c\/p\u003e \u003cp\u003e3.2 Equity Hedged – Equity Market Neutral 41\u003c\/p\u003e \u003cp\u003e3.3 Equity Hedged – Short Selling 44\u003c\/p\u003e \u003cp\u003e3.4 Relative Value – general 45\u003c\/p\u003e \u003cp\u003e3.5 Relative Value – Fixed Income Arbitrage 46\u003c\/p\u003e \u003cp\u003e3.6 Relative Value – Convertible Arbitrage 51\u003c\/p\u003e \u003cp\u003e3.7 Relative Value – Volatility Arbitrage 58\u003c\/p\u003e \u003cp\u003e3.8 Relative Value – Capital Structure Arbitrage 60\u003c\/p\u003e \u003cp\u003e3.9 Event Driven – general 62\u003c\/p\u003e \u003cp\u003e3.10 Event Driven – Merger Arbitrage 64\u003c\/p\u003e \u003cp\u003e3.11 Event Driven – Distressed Securities 67\u003c\/p\u003e \u003cp\u003e3.12 Event Driven – Regulation D 69\u003c\/p\u003e \u003cp\u003e3.13 Opportunistic – Global Macro 70\u003c\/p\u003e \u003cp\u003e3.14 Managed Futures 75\u003c\/p\u003e \u003cp\u003e3.15 Managed Futures – Systematic 76\u003c\/p\u003e \u003cp\u003e3.16 Managed Futures – Discretionary 79\u003c\/p\u003e \u003cp\u003e3.17 Conclusion of the chapter 81\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Empirical Return and Risk Properties of Hedge Funds 83\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 When the Sharpe ratio is not sharp enough 83\u003c\/p\u003e \u003cp\u003e4.2 Challenges of hedge fund performance measurement – the issue with hedge fund indices 84\u003c\/p\u003e \u003cp\u003e4.3 Sources of empirical data 89\u003c\/p\u003e \u003cp\u003e4.4 Risk and return properties of hedge fund strategies 90\u003c\/p\u003e \u003cp\u003e4.5 Comparison with equities and bonds 93\u003c\/p\u003e \u003cp\u003e4.6 Deviation from normal distribution 94\u003c\/p\u003e \u003cp\u003e4.7 Unconditional correlation properties 94\u003c\/p\u003e \u003cp\u003e4.8 Conditional returns and correlations 98\u003c\/p\u003e \u003cp\u003e4.9 Hedge fund behavior in extreme market situations 105\u003c\/p\u003e \u003cp\u003e4.10 Benefits of hedge funds in a traditional portfolio 107\u003c\/p\u003e \u003cp\u003e4.11 Quantitative portfolio optimization for hedge funds revisited 109\u003c\/p\u003e \u003cp\u003e4.12 Summary of empirical properties 112\u003c\/p\u003e \u003cp\u003e4.13 Appendix: Data providers for past hedge fund performance 113\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 The Drivers of Hedge Fund Returns 117\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Alpha versus beta 117\u003c\/p\u003e \u003cp\u003e5.2 The enigma of hedge fund returns 119\u003c\/p\u003e \u003cp\u003e5.3 Hedge fund returns: how much is alpha? 121\u003c\/p\u003e \u003cp\u003e5.4 The efficient market hypothesis 123\u003c\/p\u003e \u003cp\u003e5.5 Questioning the efficient market hypothesis: behavioral finance 125\u003c\/p\u003e \u003cp\u003e5.6 The theoretical framework of modern finance: asset pricing models and the interpretations of alpha 128\u003c\/p\u003e \u003cp\u003e5.7 Systematic risk premia: the prevalence of beta in the global capitalmarkets 131\u003c\/p\u003e \u003cp\u003e5.8 Risk premia and economic functions 138\u003c\/p\u003e \u003cp\u003e5.9 Market inefficiencies: the ‘search for alpha’ 140\u003c\/p\u003e \u003cp\u003e5.10 An illustration of the nature of hedge fund returns 143\u003c\/p\u003e \u003cp\u003e5.11 The decrease of alpha 145\u003c\/p\u003e \u003cp\u003e5.12 The beauty of alternative beta 147\u003c\/p\u003e \u003cp\u003e5.13 The future of hedge fund capacity 149\u003c\/p\u003e \u003cp\u003e5.14 Momentum and value 150\u003c\/p\u003e \u003cp\u003e5.15 Active strategies and option-like returns 152\u003c\/p\u003e \u003cp\u003e5.16 Why manager skill matters 154\u003c\/p\u003e \u003cp\u003e5.17 Buyer beware: some final words of caution about hedge fund returns 155\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 A First Approach to Hedge Fund Replication – Linear Factor Models and Time Series Replication Models 157\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Revisiting Sharpe’s approach 157\u003c\/p\u003e \u003cp\u003e6.2 Understanding linear factor analysis: criteria for the factor model approach 158\u003c\/p\u003e \u003cp\u003e6.3 The model specification problem 159\u003c\/p\u003e \u003cp\u003e6.4 The data quality problem 160\u003c\/p\u003e \u003cp\u003e6.5 The development of hedge fund factor models 161\u003c\/p\u003e \u003cp\u003e6.6 Basic and advanced factor models for hedge fund strategies 161\u003c\/p\u003e \u003cp\u003e6.7 How good are our models? 165\u003c\/p\u003e \u003cp\u003e6.8 Variability of risk exposures and persistence of factor loadings 166\u003c\/p\u003e \u003cp\u003e6.9 Can we create hedge fund replications with linear factor models? 168\u003c\/p\u003e \u003cp\u003e6.10 The limitations of linear factor models 176\u003c\/p\u003e \u003cp\u003e6.11 Currently available hedge fund replication products based on RFS 178\u003c\/p\u003e \u003cp\u003e6.12 Summary and conclusion of the chapter 180\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 The Distributional Approach 183\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Being less ambitious 183\u003c\/p\u003e \u003cp\u003e7.2 General principles of the distributional approach 184\u003c\/p\u003e \u003cp\u003e7.3 Integration of correlations and dependencies 186\u003c\/p\u003e \u003cp\u003e7.4 Limitations of the replication approach 187\u003c\/p\u003e \u003cp\u003e7.5 The empirical results of the distributional method 187\u003c\/p\u003e \u003cp\u003e7.6 Conclusion for the distributional approach 188\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Bottom up: Extraction of Alternative Beta and ‘Alternative Beta Strategies’ 191\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 The rule-based alternative 191\u003c\/p\u003e \u003cp\u003e8.2 What hedge fund investors really want 193\u003c\/p\u003e \u003cp\u003e8.3 The first ‘alternative beta’ strategies 194\u003c\/p\u003e \u003cp\u003e8.4 Relating hedge fund returns and risk premia: what we can model 196\u003c\/p\u003e \u003cp\u003e8.5 Alternative beta strategies for individual hedge fund styles and strategy sectors 197\u003c\/p\u003e \u003cp\u003e8.6 New exotic beta 208\u003c\/p\u003e \u003cp\u003e8.7 The question of asset allocation 209\u003c\/p\u003e \u003cp\u003e8.8 The limitations of hedge fund replication 210\u003c\/p\u003e \u003cp\u003e8.9 A note on the issue of liquidity 210\u003c\/p\u003e \u003cp\u003e8.10 Summary 211\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Hedge Fund Portfolio Management with Alternative Beta Strategies 213\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 The tasks of the hedge fund portfolio manager 213\u003c\/p\u003e \u003cp\u003e9.2 The lure of saving fees 214\u003c\/p\u003e \u003cp\u003e9.3 The limitations of hedge fund replication 215\u003c\/p\u003e \u003cp\u003e9.4 The role of asset allocation 216\u003c\/p\u003e \u003cp\u003e9.5 Separation of tasks for the fund of funds managers 216\u003c\/p\u003e \u003cp\u003e9.6 The idea of a core–satellite approach to hedge fund investing 217\u003c\/p\u003e \u003cp\u003e9.7 Isolating pure alpha 218\u003c\/p\u003e \u003cp\u003e9.8 The first part in the investment process: allocation to strategy sectors 218\u003c\/p\u003e \u003cp\u003e9.9 Implementation of tactical asset allocation in a core–satellite approach to hedge fund portfolios 223\u003c\/p\u003e \u003cp\u003e9.10 The second element: manager selection 226\u003c\/p\u003e \u003cp\u003e9.11 Active post-investment risk management 231\u003c\/p\u003e \u003cp\u003e9.12 Summary and conclusion 238\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Replication and the Future of Hedge Funds 239\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Beyond alpha 239\u003c\/p\u003e \u003cp\u003e10.2 What do investors say so far? 239\u003c\/p\u003e \u003cp\u003e10.3 Replication and the four key challenges to the hedge fund industry 240\u003c\/p\u003e \u003cp\u003e10.4 Replication in reality 241\u003c\/p\u003e \u003cp\u003e10.5 Replication and hedge fund growth 242\u003c\/p\u003e \u003cp\u003e10.6 Hedge funds in the broader context: The future of absolute return investment 243\u003c\/p\u003e \u003cp\u003eReferences and Bibliography 245\u003c\/p\u003e \u003cp\u003eIndex 253\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402427310423,"sku":"9780470754467","price":54.62,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470754467.jpg?v=1730480367","url":"https:\/\/bookcurl.com\/products\/alternative-beta-strategies-and-hedge-fund-replication-9780470754467","provider":"Book Curl","version":"1.0","type":"link"}