Hedgefunds : an analytic perspective

Hedgefunds An analytic perspective

Andrew W. Lo

Book - 2008

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Subjects
Hedge funds.
Published
Princeton, N.J. : Princeton University Press [2008]
Language
English
Main Author
Andrew W. Lo (-)
Physical Description
xxiv, 337 pages, 8 unnumbered pages of plates : illustrations (some color) ; 24 cm
Bibliography
Includes bibliographical references (pages [317]-330) and index.
ISBN
9780691132945
  • List of Tables
  • List of Figures
  • List of Color Plates
  • Acknowledgments
  • 1. Introduction
  • 1.1. Tail Risk
  • 1.2. Nonlinear Risks
  • 1.3. Illiquidity and Serial Correlation
  • 1.4. Literature Review
  • 2. Basic Properties of Hedge Fund Returns
  • 2.1. CS/Tremont Indexes
  • 2.2. Lipper TASS Data
  • 2.3. Attrition Rates
  • 3. Serial Correlation, Smoothed Returns, and Illiquidity
  • 3.1. An Econometric Model of Smoothed Returns
  • 3.2. Implications for Performance Statistics
  • 3.3. Estimation of Smoothing Profiles
  • 3.4. Smoothing-Adjusted Sharpe Ratios
  • 3.5. Empirical Analysis of Smoothing and Illiquidity
  • 4. Optimal Liquidity
  • 4.1. Liquidity Metrics
  • 4.2. Liquidity-Optimized Portfolios
  • 4.3. Empirical Examples
  • 4.4. Summary and Extensions
  • 5. Hedge Fund Beta Replication
  • 5.1. Literature Review
  • 5.2. Two Examples
  • 5.3. Linear Regression Analysis
  • 5.4. Linear Clones
  • 5.5. Summary and Extensions
  • 6. A New Measure of Active Investment Management
  • 6.1. Literature Review
  • 6.2. The AP Decomposition
  • 6.3. Some Analytical Examples
  • 6.4. Implementing the AP Decomposition
  • 6.5. An Empirical Application
  • 6.6. Summary and Extensions
  • 7. Hedge Funds and Systemic Risk
  • 7.1. Measuring Illiquidity Risk
  • 7.2. Hedge Fund Liquidations
  • 7.3. Regime-Switching Models
  • 7.4. The Current Outlook
  • 8. An Integrated Hedge Fund Investment Process
  • 8.1. Define Asset Classes by Strategy
  • 8.2. Set Portfolio Target Expected Returns
  • 8.3. Set Asset-Class Target Expected Returns and Risks
  • 8.4. Estimate Asset-Class Covariance Matrix
  • 8.5. Compute Minimum-Variance Asset Allocations
  • 8.6. Determine Manager Allocations within Each Asset Class
  • 8.7. Monitor Performance and Risk Budgets
  • 8.8. The Final Specification
  • 8.9. Risk Limits and Risk Capital
  • 8.10. Summary and Extensions
  • 9. Practical Considerations
  • 9.1. Risk Management as a Source of Alpha
  • 9.2. Risk Preferences
  • 9.3. Hedge Funds and the Efficient Markets Hypothesis
  • 9.4. Regulating Hedge Funds
  • 10. What Happened to the Quants in August 2007?
  • 10.1. Terminology
  • 10.2. Anatomy of a Long/Short Equity Strategy
  • 10.3. What Happened in August 2007
  • 10.4. Comparing August 2007 with August 1998
  • 10.5. Total Assets, Expected Returns, and Leverage
  • 10.6. The Unwind Hypothesis
  • 10.7. Illiquidity Exposure
  • 10.8. A Network View of the Hedge Fund Industry
  • 10.9. Did Quant Fail?
  • 10.10. Qualifications and Extensions
  • 10.11. The Current Outlook
  • Appendix
  • A.1. Lipper TASS Category Definitions
  • A.2. CS/Tremont Category Definitions
  • A.3. Matlab Loeb Function tloeb
  • A.4. GMM Estimators for the AP Decomposition
  • A.5. Constrained Optimization
  • A.6. A Contrarian Trading Strategy
  • A.7. Statistical Significance of Aggregate Autocorrelations
  • References
  • Index

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