Hedge funds : insights in performance measurement, risk by Greg N. Gregoriou

By Greg N. Gregoriou

No matter if already skilled with hedge cash or simply pondering making an investment in them, readers want a company knowing of this precise funding automobile with a purpose to in attaining greatest good fortune. Hedge Funds unites over thirty of the head practitioners and teachers within the hedge fund to supply readers with the newest findings during this box. Their research offers with numerous subject matters, from new tools of functionality review to portfolio allocation and risk/return concerns. even supposing a number of the info is technical in nature, an knowing and applicability of the consequences in addition to theoretical advancements are under pressure. choked with in-depth perception and professional recommendation, Hedge Funds is helping readers utilize this versatile funding automobile.

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Qxd 6/23/05 3:07 PM Page 19 Hedge Funds from the Institutional Investor’s Perspective 19 achieved. These concerns are the focus of this chapter. We therefore investigate how investors can benefit from including hedge funds in their portfolio. In practice, different approaches to hedge fund investing exist. Strategic allocation (inclusion of hedge funds styles in the strategic benchmark), tactical allocation (timing of style exposure), and manager selection are nonexclusive ways of capturing the benefits of hedge funds.

Likewise, providers of hedge fund products offer different ways to hedge funds. , in a managed portfolio of single hedge funds). More recently, these providers have begun to offer investable hedge fund indexes. These indexes are targeting passive institutional investors who are familiar and comfortable with their equity portfolios. Here we attempt to identify the best form of hedge fund investing among the different products offered by providers. In the rest of the chapter, we examine the five most widely used hedge fund strategies, notably three equity-based strategies—equity market neutral, long/short equity, and event driven—one fixed-income strategy— convertible arbitrage—and one strategy that uses all types of assets, including currencies and commodities—CTA/global macro.

These provide a more direct representation of hedge funds as capital preservers. For hedge funds, the percentage of months with negative returns is substantially lower than for stocks and bonds. The hedge fund indexes have negative returns between 5 to 30 percent of the months over our sample period, while both stocks and bonds show negative returns in almost 50 percent of the months. This paints a different picture of the risk of bonds from that suggested with low volatility. Furthermore, none of the hedge fund indexes suffered from any “crash” months.

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