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This book will present a comprehensive view of the risk characteristics, risk-adjusted performances, and risk exposures of various hedge fund indices. It will distinguish itself fr… Read more
LIMITED OFFER
Immediately download your ebook while waiting for your print delivery. No promo code needed.
This book will present a comprehensive view of the risk characteristics, risk-adjusted performances, and risk exposures of various hedge fund indices. It will distinguish itself from other books and journal articles by focusing solely on hedge fund indices and emphasizing tail risk as a predictor of hedge fund index returns. The three chapters in this short book have not been previously published.
Chapter 1. Introduction
1.1 What Are Hedge Funds?
1.2 The History and the Future
1.3 Academic Perspective
1.4 The Aim of the Book
Chapter 2. Hedge Fund Strategies
2.1 Event-Driven Strategies
2.2 Equity Hedge Strategies
2.3 Relative Value Strategies
2.4 Global Macro Strategies
2.5 Other Strategies
2.6 Funds of Hedge Funds
Chapter 3. Hedge Fund Databases, Biases, and Indices
3.1 Hedge Fund Data Biases
3.2 Hedge Fund Databases and Indices
3.3 Hedge Fund Index Return Distributions
Chapter 4. Risk-Adjusted Performances of Hedge Fund Indices
4.1 Sharpe Ratio
4.2 Sortino Ratio
4.3 Return to VaR Ratio
4.4 Calmar Ratio
Chapter 5. Determinants of Hedge Fund Index Returns
5.1 Predictability of Hedge Fund Index Returns by Moments of the Return Distribution
5.2 Predictability of Hedge Fund Index Returns by Exposures to Macroeconomic Risk Factors
References
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