Investing in Hedge Funds. A Guide to Measuring Risk and by Turban Bali, Yigit Atilgan and Ozgur Demirtas (Auth.)

By Turban Bali, Yigit Atilgan and Ozgur Demirtas (Auth.)

This ebook will current a accomplished view of the danger features, risk-adjusted performances, and chance exposures of varied hedge fund indices. it's going to distinguish itself from different books and magazine articles by means of focusing exclusively on hedge fund indices and emphasizing tail danger as a predictor of hedge fund index returns. the 3 chapters during this brief booklet haven't been formerly released.

  • Presents new insights concerning the investability and function size of an investor's ultimate portfolio
  • Uses such a lot lately constructed investable hedge fund indexes to revise past analyses of indexes
  • Focuses on 14 exact varieties of hedge fund indices with day-by-day information from January 1994 to December 2011

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Additional info for Investing in Hedge Funds. A Guide to Measuring Risk and Return Characteristics

Sample text

1 HEDGE FUND DATA BIASES ........................................................... 2 HEDGE FUND DATABASES AND INDICES..................................... 3 HEDGE FUND INDEX RETURN DISTRIBUTIONS ........................... 1 DJCS Hedge Fund Indices ........................................................... 2 HFR Hedge Fund Indices............................................................. 79 There are several commercial hedge fund databases that compile performance data from individual hedge funds and make these data available to the investment public through subscription services.

Swap-spread arbitrage is based on the spread between yields on Treasury securities and swaps and can be implemented by taking a long position in an interest rate swap and a short position in a Treasury security or vice versa depending on whether the fund managers expect the spread to widen or narrow. Futures basis trading seeks to exploit the arbitrage opportunities presented by the fact that the party who delivers the fixed income securities at the expiration date of a futures contract has the flexibility to choose the delivered security from a predetermined basket.

Long/short credit arbitrage strategy aims to take advantage of credit-related mispricings in fixed income securities and can be implemented via credit default swaps without trading in the Hedge Fund Strategies 41 underlying bonds. This strategy is different than the event-driven credit arbitrage strategy in the sense that the improvement or deterioration of the creditworthiness of a company is not dependent on an idiosyncratic corporate event. Carry trades are positions built by going long in bonds with higher yields and financing this purchase by short selling a lower yield instrument.

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