Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.com/ HEDGE FUND ALPHA A Framework for Generating and Understanding Investment Performance Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.indd 1 2/23/09 2:29:39 PM This page intentionally left blank Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.com/ HEDGE FUND ALPHA A Framework for Generating and Understanding Investment Performance Editor John M Longo Rutgers University, USA World Scientific Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.com/ N E W J E R S E Y • L O N D O N • S I N G A P O R E • B E I J I N G • S H A N G H A I • H O N G K O N G • TA I P E I • C H E N N A I 7012 tp.indd 2 2/23/09 2:29:40 PM A-PDF Merger DEMO : Purchase from www.com to remove the watermark Published by World Scientific Publishing Co. 5 Toh Tuck Link, Singapore 596224 USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. HEDGE FUND ALPHA A Framework for Generating and Understanding Investment Performance Copyright © 2009 by World Scientific Publishing Co. All rights reserved.
This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the Publisher. For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from the publisher. ISBN-13 978-981-283-465-2 ISBN-10 981-283-465-6 Printed in Singapore.
Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.com/ Shujuan - Hedge Fund Alpha.pmd 1 2/17/2009, 2:57 PM To my son Tyler, the highlight of my life. Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.com/ PREFACE Ten years ago, there were relatively few books about the hedge fund industry. The dearth of prior material may be related to the notoriously secretive nature of hedge funds and to a much smaller asset base relative to the roughly $2 trillion that they control today. At present, there are quite a few good books on hedge funds, but they appear to be clustered around a handful of subtopics.
The topics mostly include interviews with successful hedge fund managers, general discussions of hedge fund strategies, and “how to start a hedge fund” books primarily intended for aspiring hedge funds managers. As someone who works in the hedge fund / investment management business and teaches an MBA class on the topic, I perceived a significant gap within the literature. Few books created a framework for generating superior risk adjusted returns, or alpha, and for growing the hedge fund management company in an intelligent manner. These topics are what most hedge fund professionals care greatly about.
The following questions came to my mind as I began to formulate the material for this book: – How does hedge fund research differ from traditional “long only” research despite their common goal of achieving alpha? – What is the best way of executing various hedge fund strategies in order to turn expected returns into real profits? – What hedge fund strategies are best suited to earning alpha in emerging markets, arguably the most fertile investment frontier for the decades ahead? – What is the typical lifecycle of a hedge fund strategy? vii : https://tracnghiemforex.com/ Trắc nghiệm kiến thức Forex tại viii Preface – What is an intelligent method for evolving from a single strategy fund to a multistrategy fund (or series of funds)? – What is a rigorous approach for conducting due diligence on a hedge fund? – Can understanding the psychological aspects of hedge fund managers help explain their actions and performance? – “Hedge fund risk management” seems to be somewhat an oxymoron given many recent high profile failures, but is there any value that can be added to this topic? – Is there a systematic approach for managing a successful fund of fund? – What are the current trends and future outlook for the hedge fund industry? These and other questions served as the basis for the chapters in this book. Although some of the topics may appear somewhat disjointed and the flow is not as smooth as I would like it to be, they all coalesce around two points: (a framework for) generating and understanding alpha. Hence the title of this book. I felt I had the outline for a strong book, but faced a problem.
How could I credibly talk about generating alpha in China, for example, if I could not read or speak (Mandarin) Chinese? I have been to China more than a dozen times in the past decade, totaling nearly six months of time, but felt that someone who knew the culture intimately and was fluent in Chinese could do a better job than me alone. That is when I decided to find outside authors and co-authors to write portions of this book. I found additional inspiration in one of the best books, in my opinion, ever written on hedge funds entitled, Hedge Funds: Investment and Portfolio Strategies for the Institutional Investor by Lederman and Klein. Their book also utilized outside experts for selected chapters.
One reviewer on Amazon.com said of the Lederman and Klein book: “The list of books written on hedge funds is a short one, and this book is certainly the finest on the subject. The professionals who contributed their specialized knowledge are of the highest caliber, and better yet, many of them can Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.com/ Preface ix be reached for counsel… I found all of the information to be useable and valuable information with absolutely no filler.” Similarly, my goal also is to produce a high quality and practical book with no filler. The primary target audience of this book is those working in the (broadly defined) hedge fund industry, and those contemplating the launch of their own hedge fund. Others, such as securities analysts, regulators, academics, students, and investors, may also find significant value in the material.
The chapters are largely self- contained, resulting in some repetition, but also increased convenience for those readers only interested in particular topics. First, I would like to thank my co-authors of this book, Jorge Barreiro, Erman Civelek, Mitchell Eichen, Jeffrey Glattfelder, Ali Jaffery, Sanjeev Khullar, Yaxuan Qi, Saad Rathore, Irina Samoylova, Wei-Kang Shih, Ben Sopranzetti, and Stephen Spence. Without them this book would not be possible. Second, I would like to thank my colleagues at Rutgers Business School, The MDE Group, and DealMaven / FactSet for their support.
DealMaven, acquired by FactSet in January 2008, provided a grant to Rutgers Business School in partial support of this work. I would also like to thank Sheshang Patel, Rahat Azim, and Lim Shujuan for valuable research and editing assistance. Special thanks to Lorraine Fedor for contributing the artwork used for the book cover. Last, but not least, I would like to thank my entire family for their love and support.
Longo, PhD, CFA Rutgers Business School Department of Finance & Economics New Brunswick, NJ Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.com/ CONTENTS Preface v Author Biographical Sketches xiii Part I: Generating Performance 1. Hedge Fund Research vs. Traditional Research 17 John M. Achieving Hedge Fund Alpha in Brazil 33 Jorge Barreiro and John M.
Achieving Hedge Fund Alpha in Russia 51 Irina Samoylova and John M. Achieving Hedge Fund Alpha in India 67 Ali Jaffery and John M. Achieving Hedge Fund Alpha in China 85 John M. Longo, Wei-Kang Shih and Ben Sopranzetti 7.
Using Derivatives to Create Alpha 103 Sanjeev Khullar 8. Best Execution of Hedge Fund Strategies 119 Saad Rathore xi : https://tracnghiemforex.com/ Trắc nghiệm kiến thức Forex tại xii Contents 9. Growth of the Hedge Fund Management Company: Evolving from a Single Strategy Hedge Fund to a Multistrategy Hedge Fund or Multiple Funds 137 John M. Fund of Hedge Funds 153 Jeffrey Glattfelder, John Longo and Stephen Spence Part II: Understanding Performance 11.
The Psychology of Hedge Fund Managers 179 John M. Risk Management for Hedge Funds 193 Saad Rathore 13. Hedge Fund Due Diligence 221 Erman Civelek 14. From Birth to Death: The Lifecycle of a Hedge Fund Investment Strategy 249 John M.
Longo and Yaxuan Qi 15. The Future of Hedge Funds: Seven Emerging Trends 265 Mitchell D. Eichen and John M. Longo Appendices 1: Internet Sites for Hedge Fund Managers 283 2: Reading List for Hedge Fund Managers 293 3: Sample Manager Background Report 299 Index 313 Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.com/ AUTHOR BIOGRAPHICAL SKETCHES Jorge Barreiro Jorge is an analyst in the CFC Strategic Finance Group at Duff & Phelps, a financial advisory and investment banking firm.
A graduate of Rutgers Business School, with double majors in Finance and Economics, he was a member of the winning team in the 2008 New York Society of Securities Analysts (NYSSA) Investment Research Challenge. Jorge is fluent in the Portuguese language. Erman Civelek, CFA, CFP® Erman is a Vice President and Investment Strategist at The MDE Group, Inc. The MDE Group has been ranked as the fourth best independent registered investment advisor (RIA) in the U.
by Barron’s in 2006 and 2007. He is responsible for performing fundamental and technical analysis on investment managers and the financial markets. In his role he has developed his abilities in the areas of manager evaluation, performance/risk analysis, and asset allocation. Erman’s expertise is focused on alternative asset class strategies and is applied through the development and maintenance of MDE’s quantitative and qualitative manager due diligence process for evaluating investment managers.
Erman graduated summa cum laude with a BA in Economics from Rutgers College where he was a member of Phi Beta Kappa, beginning in his junior year. xiii : https://tracnghiemforex.com/ Trắc nghiệm kiến thức Forex tại xiv Author Biographical Sketches Mitchell Eichen, J. Mitch is the founder and CEO of The MDE Group, Inc. and he is responsible for the firm’s strategic vision.
The MDE Group has been ranked the fourth best independent registered investment advisor (RIA) in the U. by Barron’s in 2006 and 2007. As Chief Wealth Strategist, Mitch also focuses his unique interdisciplinary knowledge of financial planning, income tax and estate tax law, and investments to develop innovative and creative ideas for clients. Mitch enjoys writing and lecturing on a variety of financial topics.
He is also a member of the Financial Advisory Board to the Rutgers Graduate School of Business. Mitch has an LL. in Taxation from the New York University School of Law (Graduate Division) and a J. from Georgetown University Law Center.
He graduated magna cum laude with a B. in economics from Rutgers College where he was a member of Phi Beta Kappa. Jeffrey Glattfelder, CFA, CAIA Jeff is currently a product manager for Citigroup’s Global Wealth Management unit, focusing on funds of hedge funds. Jeff has over 20 years of experience in the financial services industry, including product development, quantitative research, portfolio management and institutional client service roles.
Jeff is a Chartered Financial Analyst, Chartered Alternative Investment Analyst, and a member of the Alternative Investment Committee of the New York Society of Security Analysts. Ali Jaffery Ali is an analyst with Aeneas Capital Advisors, an emerging markets hedge fund. Prior to Aeneas, Ali worked as a commercial banker. He has spent several years in the Middle East and Pakistan and now resides in New York.
Ali has a Bachelor of Science degree in Economics from the Lahore University of Management Sciences in Pakistan and an MBA from Rutgers Business School. Trắc nghiệm kiến thức Forex tại : https://tracnghiemforex.