Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in Ucits, Tail Risk, Performance, and Due Diligence

ISBN-13: 9780124016996 / Angielski / Twarda / 2013 / 592 str.

Greg Gregoriou

Opis

How will the funds of hedge funds (FoHF) business have to change to survive in the wake of the 2008-2012 financial crisis? This new research provides valuable insight. Reconsidering Funds of Hedge Funds presents the first comprehensive views of UCITS as well as recent trends in due diligence, risk management, and hedge fund deaths and survivors. The book contains original chapters by 22 academics and 16 hedge fund professionals, and includes two sections on performance: one that looks at UCITS FoHF and one that deals with traditional FoHF performance. Most chapters examine aspects of the 2008-2012 financial crisis, and almost every chapter addresses fund of hedge funds' management process before, during, and after the crisis.

• Covers recent advances in risk management, due diligence, tail risk, and allocation
• Presents an in-depth analysis of UCITs
• Balances academic and professional viewpoints

Recenzje

"International contributors include 22 academics in finance, business, and research analysis, and 16 hedge fund professionals. They examine issues related to the institutional framework of a special type of FOHF called undertakings for collective investments in transferable securities (UCITS) FOHFs, which were developed in response to calls for operational due diligence and improved transparency in the financial industry." --Reference and Research Book News, December 2013

"Hedge funds are now more than ever in the focus of many public debates and they are discussed by academics and practitioners as well. So the time for treating the diverse aspects of hedge funds in a book could not even be better. The book at hand by Greg N. Gregoriou will surely be a very valuable and readable contribution in this context as it covers the complete, difficult matter in its manyfold chapters and through the high expertise of the authors." --Carsten S. Wehn, DekaBank, Germany

"The 2007-9 Financial Markets Crisis also created a crisis for the fund of hedge funds industry. After the Crisis, basics such as liquidity, transparency, alpha generation, and understanding business risks gained renewed importance. Solutions to these criteria such as UCITS, managed accounts, and closer management of fund asset and liability risks became central to many fund of hedge funds. Additionally, leading fund of hedge funds now focus less on 'one size fits all' solutions and more on bespoke client portfolio solutions. The articles in Reconsidering Funds of Hedge Funds try to grapple with these industry changes and show a variety of different responses to the new environment. Fund of hedge fund investors will find this book and important update on an industry in transition." --James Purnell, Kenmar, USA

"We have witnessed tremendous growth in the intermediation in the hedge fund industry in the form of funds of hedge funds. However, there is still limited understanding about the risks and rewards as well as regulation of these intermediaries especially in light of the recent financial crisis. This book is a great collection of research articles that will improve the understanding of anyone interested in funds of hedge funds." --Vikas Agarwal, Georgia State University

"If your investment in fund of hedge funds suffered from the 2007-09 financial crisis, this book is the first to provide you with valuable insights into the measurement and effective management of various types of risk. It is the major resource for scholars and professionals interested in state-of-the-art approaches on operational due diligence and risk management." --Roland Füss, University of St.Gallen

Spis treści

Chapter 1 After the Crisis: The Withering of the Funds of Hedge Funds Business?  R. McFall Lamm, Jr.

Section 1: DUE DILIGENCE AND RISK MANAGEMENT

Chapter 2 Evaluating Trends in Fund of Hedge Fund Operational Due Diligence  Jason Scharfman

Chapter 3 The Limits of UCITS for Fund of Hedge Funds  Jeannine Daniel and François-Serge Lhabitant

Chapter 4 Due Diligence: Lessons from the Global Financial Crisis for Funds of Hedge Funds with Particular Emphasis on the Asia Pacific Region  David Edmund Allen, Staley Roy Alford (Roy) Pearce and Robert John Powell

Chapter 5  The Use of Managed Accounts by Fund of Hedge Funds  Marcus Müller and Daniel Dietrich

Chapter 6  Choice of Risk Measure in Evaluating UCITS Funds of Hedge Funds  Alessandro Carretta and Gianluca Mattarocci

Section 2: UCITS PERFORMANCE

Chapter 7  UCITS Funds of Hedge funds - The New Panacea?  Louis Zanolin

Chapter 8  The Return Potential of UCITS Fund of Hedge Funds: An Analysis of their Investment Universe  Marcus Storr, Thomas Maier, Florian Haberfelner and Iliya Kutsarov

Chapter 9  How Geography, Flows and Size Affects the Risk-Adjusted Performance of UCITS III Fund of Hedge Funds  Greg N. Gregoriou, Dieter Kaiser and Razvan Pascalau

Chapter 10  Funds of Hedge Funds vs. Do-It-Yourself Funds of UCITS  Samuel Sender

Section 3: PERFORMANCE

Chapter 11  Predicting Funds of Hedge Funds Attrition Through Performance Diagnostics  Philippe Cogneau, Philippe Debatty and Georges Hübner

Chapter 12  Does Fund of Hedge Fund Size Matter? Size vs. Performance Before, During and After the Crisis  Jeannine Daniel and François-Serge Lhabitant

Chapter 13  Normalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis  Laurent Bodson, Laurent Cavenaile and Alain Coën

Chapter 14  The Impact of the 2008 Financial Crisis on Fund of Hedge Funds  Na Dai and Hany A. Shawky

Chapter 15  Forecasting Funds of Hedge Funds Performance: A Markov Regime-Switching Approach  Szabolcs Blazsek

 Chapter 16  A Panel Based Quantile Regression Analysis of Funds of Hedge Funds  David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh

SECTION 4: FUND OF HEDGE FUND ALPHA

Chapter 17  Reward-to-Risk Ratios of Funds of Hedge Funds   Yigit Atilgan, Turan G. Bali and K. Ozgur Demitras

Chapter 18  The Short-Run Performance Persistence in Funds of Hedge Funds  David Ardia and Kris Boudt

Chapter 19  "Seeking Alpha": The Performance of Funds of Hedge Funds  Raphaële Chappe, Christian Proaño and Willi Semmler

Chapter 20  Quantitative Insight into Management of Funds of Hedge Funds and Consequences on Fund  Alpha Performance  Justina Dambrauskaite, H. Haidar, Bernard Minsky and Qi Tang

Chapter 21  Selecting Top Funds of Hedge Funds Based on Alpha and Other Performance Measures  Ying-Lin Hsu , Chung-Ming Kuan and Stéphane M. F. Yen

Chapter 22  Funds of Hedge Strategies and Implications for Asset Management: Is Diversification Enough?   Simone Siragusa

SECTION 5: TAIL RISK

Chapter 23  The Intertemporal Relation between Tail Risk and Fund of Hedge Fund Returns  Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas

Chapter 24  Tail Risk Protection for Funds of Hedge Funds  Oliver A. Schwindler

Chapter 25  Autocorrelation, Bias and Fat Tails: An Analysis of Funds of Hedge Funds  Martin Eling

Chapter 26  Crisis and Funds of Hedge Funds Tail Risk  Monica Billio, Kaleab Mamo and Loriana Pelizzon

Chapter 27  Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles: Empirical Evidence from Growth and Financial Crisis Periods  Wolfgang Bessler and Philipp Kurmann

Section 6: REGULATION

Chapter 28  Regulation: Threat or Opportunity for the Fund of Hedge Fund Industry?  Serge Darolles and Mathieu Vaissie

Chapter 29  Funds of Hedge Funds and the Principles of Fiduciary Investing Following the Global Financial Crisis  Paul U. Ali

Chapter 30  Understanding the Regulation Impact: US Fund of Hedge Funds after the Crisis  David Edmund Allen, Robert John Powell and Abhay Kumar

Chapter 31  Canada and Australia: Do They Provide a Regulatory Model for Funds of Hedge Funds?  David Edmund Allen, Raymond Robert Boffey and Robert John Powell

Chapter 32  South African Regulatory Reforms of Fund of Hedge Funds  David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh

O autorze

A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.

Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.

Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.