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by François-Serge Lhabitant
Handbook of Hedge Funds
Title Page
Copyright Page
Foreword
Chapter 1 - Introduction
Part I - Hedge Fund Overview
Chapter 2 - History Revisited
2.1 THE VERY EARLY YEARS: THE 1930s
2.2 THE FORMATIVE YEARS (1949-1968)
2.3 THE DARK AGES (1969-1974)
2.4 THE RENAISSANCE (1975-1997)
2.5 THE ASIAN AND RUSSIAN CRISES (1997-1998)
2.6 THE EQUITY BUBBLE YEARS
2.7 HEDGE FUNDS TODAY
2.8 THE KEY CHARACTERISTICS OF MODERN HEDGE FUNDS
2.9 THE FUTURE
Chapter 3 - Legal Environment
3.1 THE SITUATION IN THE US
3.2 THE SITUATION IN EUROPE
3.3 THE SITUATION IN ASIA
3.4 INTERNET AND THE GLOBAL VILLAGE
Chapter 4 - Operational and Organizational Structures
4.1 LEGAL STRUCTURES FOR STAND-ALONE FUNDS
4.2 A NETWORK OF SERVICE PROVIDERS
4.3 SPECIFIC INVESTMENT STRUCTURES
4.4 DISCLOSURE AND DOCUMENTS
Chapter 5 - Understanding the Tools Used by Hedge Funds
5.1 BUYING AND SELLING USING A CASH ACCOUNT
5.2 BUYING ON MARGIN
5.3 SHORT SELLING AND SECURITIES LENDING
5.4 DERIVATIVES
5.5 LEVERAGE
Part II - Hedge Fund Strategies and Trade Examples
Chapter 6 - Introduction
Chapter 7 - Long/Short Equity Strategies
7.1 THE MECHANICS OF LONG/SHORT EQUITY INVESTING
7.2 INVESTMENT APPROACHES
7.3 HISTORICAL PERFORMANCE
Chapter 8 - Dedicated Short
8.1 THE PROS AND CONS OF DEDICATED SHORT SELLING
8.2 TYPICAL TARGET COMPANIES AND REACTIONS
8.3 HISTORICAL PERFORMANCE
Chapter 9 - Equity Market Neutral
9.1 DEFINITIONS OF MARKET NEUTRALITY
9.2 EXAMPLES OF EQUITY MARKET NEUTRAL STRATEGIES AND TRADES
9.3 HISTORICAL PERFORMANCE
Chapter 10 - Distressed Securities
10.1 DISTRESSED SECURITIES MARKETS
10.2 DISTRESSED SECURITIES INVESTING
10.3 EXAMPLES OF DISTRESSED TRADES
10.4 HISTORICAL PERFORMANCE
Chapter 11 - Merger Arbitrage
11.1 MERGERS AND ACQUISITIONS: A HISTORICAL PERSPECTIVE
11.2 IMPLEMENTING MERGER ARBITRAGE: BASIC PRINCIPLES
11.3 THE RISKS INHERENT IN MERGER ARBITRAGE
11.4 HISTORICAL PERFORMANCE
Chapter 12 - Convertible Arbitrage
12.1 THE TERMINOLOGY OF CONVERTIBLE BONDS
12.2 VALUATION OF CONVERTIBLE BONDS
12.3 CONVERTIBLE ARBITRAGE: THE BASIC DELTA HEDGE STRATEGY
12.4 CONVERTIBLE ARBITRAGE IN PRACTICE: STRIPPING AND SWAPPING
12.5 THE STRATEGY EVOLUTION
12.6 HISTORICAL PERFORMANCE
Chapter 13 - Fixed Income Arbitrage
13.1 THE BASIC TOOLS OF FIXED INCOME ARBITRAGE
13.2 EXAMPLES OF SUB-STRATEGIES
13.3 HISTORICAL PERFORMANCE
Chapter 14 - Emerging Markets
14.1 THE CASE FOR EMERGING MARKET HEDGE FUNDS
14.2 EXAMPLES OF STRATEGIES
14.3 HISTORICAL PERFORMANCE
Chapter 15 - Global Macro
15.1 GLOBAL MACRO INVESTMENT APPROACHES
15.2 EXAMPLES OF GLOBAL MACRO TRADES
15.3 HISTORICAL PERFORMANCE
Chapter 16 - Managed Futures and Commodity Trading Advisors (CTAs)
16.1 THE VARIOUS STYLES OF MANAGED FUTURES
16.2 EXAMPLES OF SYSTEMATIC TRADING RULES
16.3 HISTORICAL PERFORMANCE
16.4 THE FUTURE OF MANAGED FUTURES
Chapter 17 - A Smorgasbord of Other Strategies
17.1 CAPITAL STRUCTURE ARBITRAGE AND CREDIT STRATEGIES
17.2 WEATHER DERIVATIVES, WEATHER INSURANCE AND CATASTROPHE BONDS
17.3 MUTUAL FUND ARBITRAGE
17.4 ARBITRAGING BETWEEN NAVs AND QUOTED PRICE: ALTIN AG
17.5 SPLIT STRIKE CONVERSION
17.6 EVENT-DRIVEN SPECIAL SITUATIONS
17.7 CROSS-LISTING AND DUAL-LISTING ARBITRAGE
17.8 FROM PUBLIC TO PRIVATE EQUITY
17.9 REGULATION D AND PIPES FUNDS
17.10 IPO LOCK-UP EXPIRATIONS
Part III - Measuring Returns, Risks and Performance
Chapter 18 - Measuring Net Asset Values and Returns
18.1 THE DIFFICULTIES OF OBTAINING INFORMATION
18.2 EQUALIZATION, CRYSTALLIZATION AND MULTIPLE SHARE CLASSES
18.3 THE INEQUITABLE ALLOCATION OF INCENTIVE FEES
18.4 THE FREE-RIDE SYNDROME
18.5 ONSHORE VERSUS OFFSHORE FUNDS
18.6 THE MULTIPLE SHARE APPROACH
18.7 THE EQUALIZATION FACTOR/DEPRECIATION DEPOSIT APPROACH
18.8 SIMPLE EQUALIZATION
18.9 CONSEQUENCES FOR PERFORMANCE CALCULATION
18.10 THE HOLDING PERIOD RETURN
18.11 ANNUALIZING
18.12 MULTIPLE HEDGE FUND AGGREGATION
18.13 CONTINUOUS COMPOUNDING
Chapter 19 - Return Statistics and Risk
19.1 CALCULATING RETURN STATISTICS
19.2 MEASURING RISK
19.3 DOWNSIDE RISK MEASURES
19.4 BENCHMARK-RELATED STATISTICS
Chapter 20 - Risk-Adjusted Performance Measures
20.1 THE SHARPE RATIO
20.2 THE TREYNOR RATIO AND JENSEN ALPHA
20.3 M, M AND GRAHAM-HARVEY
20.4 PERFORMANCE MEASURES BASED ON DOWNSIDE RISK
20.5 CONCLUSIONS
Chapter 21 - Databases, Indices and Benchmarks
21.1 HEDGE FUND DATABASES
21.2 THE VARIOUS BIASES IN HEDGE FUND DATABASES
21.3 FROM DATABASES TO INDICES
21.4 FROM INDICES TO BENCHMARKS
Part IV - Investing in Hedge Funds
Chapter 22 - Introduction
Chapter 23 - Revisiting the Benefits and Risks of Hedge Fund Investing
23.1 THE BENEFITS OF HEDGE FUNDS
23.2 THE BENEFITS OF INDIVIDUAL HEDGE FUND STRATEGIES
23.3 CAVEATS OF HEDGE FUND INVESTING
Chapter 24 - Asset Allocation and Hedge Funds
24.1 DIVERSIFICATION AND PORTFOLIO CONSTRUCTION: AN OVERVIEW
24.2 STRATEGIC ASSET ALLOCATION WITHOUT HEDGE FUNDS
24.3 INTRODUCING HEDGE FUNDS IN THE ASSET ALLOCATION
24.4 HOW MUCH SHOULD BE ALLOCATED TO HEDGE FUNDS?
24.5 HEDGE FUNDS AS PORTABLE ALPHA OVERLAYS
24.6 HEDGE FUNDS AS SOURCES OF ALTERNATIVE RISK EXPOSURE
24.7 RISK BUDGETING AND THE SEPARATION OF ALPHA FROM BETA
Chapter 25 - Hedge Fund Selection: A Route Through the Maze
25.1 STATING OBJECTIVES
25.2 FILTERING THE UNIVERSE
25.3 QUANTITATIVE ANALYSIS
25.4 QUALITATIVE ANALYSIS
25.5 DUE DILIGENCE: BETWEEN ART AND SCIENCE
25.6 ONGOING MONITORING
25.7 COMMON MISTAKES IN THE SELECTION PROCESS
Chapter 26 - Funds of Hedge Funds
26.1 WHAT ARE FUNDS OF HEDGE FUNDS?
26.2 ADVANTAGES OF FUNDS OF FUNDS
26.3 THE DARK SIDE OF FUNDS OF FUNDS
26.4 SELECTING A FUND OF FUNDS
26.5 FUND ALLOCATION: A LOOK INSIDE THE “BLACK BOX”
26.6 THE FUTURE OF FUNDS OF FUNDS
Chapter 27 - Structured Products on Hedge Funds
27.1 TOTAL RETURN SWAPS LINKED TO HEDGE FUNDS
27.2 CALL OPTIONS ON HEDGE FUNDS
27.3 BASIC NOTES AND CERTIFICATES
27.4 CAPITAL PROTECTED NOTES
27.5 THE SECOND GENERATION: THE OPTION-BASED APPROACH
27.6 THE THIRD GENERATION: THE DYNAMIC TRADING APPROACH
27.7 THE FOURTH GENERATION: OPTIONS ON CPPI
27.8 THE FLIES IN THE OINTMENT
27.9 THE FUTURE OF CAPITAL GUARANTEED PRODUCTS
27.10 COLLATERALIZED HEDGE FUND OBLIGATIONS
Chapter 28 - Conclusions
Bibliography
Index
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