内容

目次

List of Tables xi List of Figures xvii List of Color Plates xxiAcknowledgments xxiii Chapter 1: Introduction 1 1.1 Tail Risk 7 1.2Nonlinear Risks 13 1.3 Illiquidity and Serial Correlation 25 1.4 LiteratureReview 30 Chapter 2: Basic Properties of Hedge Fund Returns 34 2.1CS/Tremont Indexes 37 2.2 Lipper TASS Data 40 2.3 Attrition Rates 43Chapter 3: Serial Correlation, Smoothed Returns, and Illiquidity 64 3.1 AnEconometric Model of Smoothed Returns 66 3.2 Implications for PerformanceStatistics 70 3.3 Estimation of Smoothing Profiles 75 3.4Smoothing-Adjusted Sharpe Ratios 79 3.5 Empirical Analysis of Smoothing andIlliquidity 83 Chapter 4: Optimal Liquidity 97 4.1 Liquidity Metrics 984.2 Liquidity-Optimized Portfolios 105 4.3 Empirical Examples 107 4.4Summary and Extensions 117 Chapter 5: Hedge Fund Beta Replication 1215.1 Literature Review 123 5.2 Two Examples 124 5.3 Linear RegressionAnalysis 126 5.4 Linear Clones 138 5.5 Summary and Extensions 164Chapter 6: A New Measure of Active Investment Management 168 6.1 LiteratureReview 170 6.2 The AP Decomposition 172 6.3 Some Analytical Examples 1806.4 Implementing the AP Decomposition 187 6.5 An Empirical Application 1916.6 Summary and Extensions 196 Chapter 7: Hedge Funds and Systemic Risk198 7.1 Measuring Illiquidity Risk 200 7.2 Hedge Fund Liquidations 203 7.3Regime-Switching Models 211 7.4 The Current Outlook 215 Chapter 8: AnIntegrated Hedge Fund Investment Process 217 8.1 Define Asset Classes byStrategy 221 8.2 Set Portfolio Target Expected Returns 222 8.3 SetAsset-Class Target Expected Returns and Risks 222 8.4 Estimate Asset-ClassCovariance Matrix 223 8.5 Compute Minimum-Variance Asset Allocations 2248.6 Determine Manager Allocations within Each Asset Class 225 8.7 MonitorPerformance and Risk Budgets 227 8.8 The Final Specification 227 8.9 RiskLimits and Risk Capital 229 8.10 Summary and Extensions 235 Chapter 9:Practical Considerations 237 9.1 Risk Management as a Source of Alpha 2379.2 Risk Preferences 239 9.3 Hedge Funds and the Efficient MarketsHypothesis 242 9.4 Regulating Hedge Funds 250 Chapter 10: What Happenedto the Quants in August 2007? 255 10.1 Terminology 260 10.2 Anatomy of aLong/Short Equity Strategy 261 10.3 What Happened in August 2007 269 10.4Comparing August 2007 with August 1998 273 10.5 Total Assets, ExpectedReturns, and Leverage 276 10.6 The Unwind Hypothesis 281 10.7 IlliquidityExposure 284 10.8 A Network View of the Hedge Fund Industry 286 10.9 DidQuant Fail? 292 10.10 Qualifications and Extensions 298 10.11 The CurrentOutlook 300 Appendix 303 A.1 Lipper TASS Category Definitions 303 A.2CS/Tremont Category Definitions 305 A.3 Matlab Loeb Function tloeb 308 A.4GMM Estimators for the AP Decomposition 310 A.5 Constrained Optimization 312A.6 A Contrarian Trading Strategy 313 A.7 Statistical Significance ofAggregate Autocorrelations 314 References 317 Index 331