دانلود کتاب Hedge Fund Alpha: A Framework for Generating and Understanding Investment Performance

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CONTENTS......Page 10
Preface......Page 7
Author Biographical Sketches......Page 12
Part I: Generating Performance......Page 18
1.1.2 The First Hedge Fund......Page 20
1.1.3.1 Billion Dollar Paychecks Attract the “Best and Brightest”......Page 21
1.1.3.2 Hedge Funds Outperform During 2000–2002 Bear Market......Page 22
1.1.3.3 Other Notable Hedge Fund Events......Page 23
1.2 Types of Hedge Funds......Page 24
1.3.2 Superior Investment Mosaic May Lead to Alpha......Page 28
1.3.3 Superior Information May Lead to Alpha......Page 29
1.3.4 Superior Execution of Strategies May Lead to Alpha......Page 30
References......Page 33
1.1 Hedge Fund Research Generally Has a Shorter-Term Orientation......Page 34
1.3 Hedge Fund Research Is More Dynamic In Nature......Page 35
2. Examples of Research Useful to a Hedge Fund Manager......Page 36
2.1 The Freedom of Information Act (FOIA)......Page 38
2.2 Channel Checks......Page 40
2.3 NEGIBO TTM — The Search Engine That Complains About Everything......Page 41
2.4 Google Alerts......Page 42
2.5 Network of Experts to Help Generate Alpha......Page 43
2.6 Obtaining Alpha Generating Ideas From Websites and Books......Page 45
3. Putting It All Together In a Hedge Fund Dashboard......Page 46
Hedge Fund Alpha Tear Sheet — Chapter 2......Page 48
References......Page 49
1. Introduction......Page 50
2. Brazilian Economy......Page 51
3.1 Brazilian Stock Market......Page 52
3.2 Brazilian Bond Market......Page 53
3.3 Brazilian Derivative Market......Page 54
4.1 History of High Inflation......Page 55
4.2 Brazil’s Central Role In South America......Page 56
4.3 Brazilian Investor Profile and Behavior......Page 58
5. Hedge Fund Strategies in Brazil......Page 59
5.2 Fixed Income / Credit......Page 60
5.3 Event Driven......Page 61
5.5 Multistrategy......Page 62
Hedge Fund Alpha Tear Sheet — Chapter 3......Page 64
References......Page 65
2. Russia’s Economic Growth......Page 68
3. Evolution of Russian Economy......Page 69
4.1.1 Moscow Interbank Currency Exchange (MICEX)......Page 70
4.1.2 Open Joint Stock Company Russian Trading System Stock Exchange (RTS OJSC)......Page 71
4.2 Russian Bond Markets......Page 72
5.1 Heightened Political Risk......Page 73
5.1.3 Hermitage Capital Management......Page 74
5.3 Russian and Eastern European Investor Behavior......Page 75
6. Hedge Fund Strategies in Russia......Page 76
6.2 Global Macro......Page 77
6.3 Fixed Income / Credit......Page 78
6.5 Statistical Arbitrage......Page 79
6.6 Multistrategy......Page 80
Hedge Fund Alpha Tear Sheet — Chapter 4......Page 81
References......Page 82
1.1 Overview of Indian Financial Markets......Page 84
1.2 Financial Instruments Traded......Page 85
1.3 Difficulty in Effective Hedging......Page 86
2.1 Restrictions on Ownership......Page 87
2.3 Growth in Indian Economy......Page 88
3. The Importance of Manager / Owners in Indian Publicly Traded Companies......Page 89
4. Indian Investor Behavior......Page 91
5. Hedge Fund Strategies in India......Page 92
5.2 Activist Funds......Page 93
5.3 Statistical Arbitrage......Page 94
5.6 Multistrategy......Page 95
6. Sustainability and Evolution of Alpha......Page 96
Hedge Fund Alpha Tear Sheet — Chapter 5......Page 97
End Notes......Page 98
References......Page 99
2. China’s Economic Growth......Page 102
3. Evolution of Mainland Chinese Financial Markets......Page 103
5.1 Mainland China Stock Markets......Page 104
5.2 Hong Kong Stock Market......Page 105
6.1 Mainland China Bond Market......Page 106
7.1 Mainland China Derivatives Markets......Page 107
7.3 Taiwan Derivatives Markets......Page 108
8.2 Chinese Investor Behavior......Page 109
9.1 Global Macro......Page 111
9.2 Long / Short Equity......Page 112
9.4 Event Driven......Page 113
9.5 Multistrategy......Page 114
Hedge Fund Alpha Tear Sheet — Chapter 6......Page 115
References......Page 116
1. Introduction......Page 120
2.1.1 For the Hedger......Page 122
2.1.4 For the Hedge-Fund Manager and Arbitrageur......Page 123
3.2 Alpha From Realized / Implied Volatility Arbitrage......Page 124
3.4 Alpha From Cash Futures Basis Trade......Page 125
3.6 Alpha From Trading the Optionality in Convertible Bonds......Page 126
3.7 Alpha From Macro Interest Rate Trades......Page 127
3.9 Alpha From Credit Derivatives......Page 128
3.11 Alpha From Long / Short Strategies......Page 129
4. Using Derivatives to Transport Alpha......Page 130
5. Risk Management of Derivatives Portfolios......Page 131
6. Conclusion......Page 132
Hedge Fund Alpha Tear Sheet — Chapter 7......Page 133
References......Page 134
1. Introduction......Page 136
2.1 Small Order Execution System (SOES)......Page 137
2.2 Christie-Schultz Study of “Implicit Collusion” By Market Makers......Page 138
2.3 Decimalization of U.S. Markets......Page 139
3. Best Execution of Hedge Fund Trades......Page 140
4.1 Explicit Costs......Page 141
4.2 Implicit Costs......Page 142
5.1 Pre-Trade Analyses......Page 143
5.2 During Trade Analyses......Page 144
5.2.1 Volume Weighted Average Price (VWAP)......Page 145
5.2.3 Target Volume Strategies (TVOL)......Page 146
5.2.5 Dark Pools and Crossing Networks......Page 147
5.2.6 Technology for Best Execution......Page 149
5.3.1 Transaction Cost Analysis (TCA)......Page 150
5.3.3 Reporting on Post Trade Analysis......Page 151
Hedge Fund Alpha Tear Sheet — Chapter 8......Page 152
References......Page 153
1. Introduction......Page 154
2. Methods of Single Strategy Fund Expansion......Page 156
3. Multistrategy Hedge Fund vs. Multiple Hedge Funds......Page 162
5. Acquiring In House Talent vs. Deploying Capital In Outside Funds......Page 164
Hedge Fund Alpha Tear Sheet — Chapter 9......Page 167
References......Page 168
1. History of Fund of Funds (FoF)......Page 170
2. Objective of Fund of Funds......Page 171
3. Advantages and Disadvantages of Fund of Funds......Page 172
4. Taxation of Fund of Funds......Page 173
5.1 Fund of Funds vs. Direct Investment......Page 174
5.3 Fund of Funds vs. Portfolio of Managed Accounts......Page 175
6. Historical Performance of Fund of Funds......Page 177
7.1 Strategy Allocation......Page 179
7.2 Fund Sourcing......Page 181
7.3 Fund of Funds Portfolio Construction and Rebalancing......Page 182
7.4 Risk Management of Fund of Funds......Page 184
8.2 Impact of Longer Individual Manager Lockups on Fund of Funds......Page 186
8.4 Leveraged Fund of Funds......Page 187
8.5 Derivatives on Fund of Funds......Page 189
Hedge Fund Alpha Tear Sheet — Chapter 10......Page 191
References......Page 192
Part II: Understanding Performance......Page 194
1. Introduction......Page 196
2. The Relationship Between Hedge Fund Manager Investment Performance and Emotions......Page 197
3. The Importance of Positive Monthly Returns......Page 198
4. The Call Option Nature of Hedge Fund Compensation......Page 200
5. Behavioral Finance and Hedge Fund Managers......Page 201
Hedge Fund Alpha Tear Sheet — Chapter 11......Page 206
References......Page 207
1. Overview......Page 210
2. Risk Management as a Source of Superior Returns......Page 211
4. Trading Risk Management......Page 212
4.1 Risk Management and Conventional Wall Street Wisdom......Page 213
4.2 Risk Management and Profit and Loss (P&L) Analysis......Page 214
4.3 Impact Ratio......Page 216
4.4 Kelly Formula for Position Sizing......Page 217
4.6 Correlation Analysis......Page 218
5. Investment Risk Management......Page 219
5.2 Treynor Measure......Page 220
5.3 Jensen’s Alpha......Page 221
5.5 Omega Ratio......Page 222
5.7.1 Long Market Value (LMV)......Page 223
5.7.2 Short Market Value......Page 224
5.7.5 Product Exposures......Page 225
5.7.7 Country Exposures......Page 226
5.7.8 Liquidity Exposures......Page 227
5.8 Beta Adjusting the Portfolio......Page 228
5.9 Delta Adjusting the Portfolio......Page 229
5.10 Value at Risk (VAR)......Page 230
5.10.2 Historical Simulation Method of VAR......Page 231
5.11.1 Counterparty Risk......Page 233
5.11.3 Legal & Regulatory Risk......Page 234
Hedge Fund Alpha Tear Sheet — Chapter 12......Page 235
References......Page 236
2. Sourcing......Page 238
3. Quantitative Analysis......Page 241
4. Qualitative Analysis......Page 249
5. Operational Review......Page 255
6. Background And Reference Checks......Page 260
7. Ongoing Due Diligence......Page 262
Hedge Fund Alpha Tear Sheet — Chapter 13......Page 264
1. Introduction......Page 266
2. Theoretical Change in Alpha over Time......Page 267
3. Alpha Behavior of the Size Anomaly......Page 268
4. Alpha Behavior of the Momentum Anomaly......Page 271
5. Alpha Behavior of the Accrual Anomaly......Page 274
6. Extending The Lifecycle Through Diversification......Page 276
7. Hedge Fund Lifecycle Checklist......Page 277
Hedge Fund Alpha Tear Sheet — Chapter 14......Page 279
References......Page 280
1. Introduction......Page 282
2. A Difficult Investing Environment......Page 283
Trend 1: Lower Fees......Page 285
Trend 2: Increased Liquidity......Page 286
Trend 3: Increased Transparency......Page 287
Trend 4: Focus on Emerging Managers......Page 288
Trend 6: Hedge Fund Replication — To A Limited Extent......Page 290
Trend 7: Convergence Between Hedge Funds and Private Equity......Page 292
4. Summary......Page 293
Hedge Fund Alpha Tear Sheet — Chapter 15......Page 295
References......Page 296
Appendices......Page 298
1: Internet Sites for Hedge Fund Managers......Page 300
2: Reading List for Hedge Fund Managers......Page 310
3: Sample Manager Background Report......Page 315
Index......Page 329