【超清晰】Handbook of hedge fund [François-Serge_Lhabitant]

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Handbook of hedge fund      

[François-Serge_Lhabitant]

1 Introduction 1
PART I HEDGE FUND OVERVIEW
2 History Revisited 7
2.1 The very early years: The 1930s 7
2.2 The formative years (1949–1968) 8
2.3 The dark ages (1969–1974) 11
2.4 The renaissance (1975–1997) 12
2.5 The Asian and Russian crises (1997–1998) 15
2.6 The equity bubble years 18
2.7 Hedge funds today 19
2.8 The key characteristics of modern hedge funds 24
2.9 The future 35
3 Legal Environment 37
3.1 The situation in the US 39
3.2 The situation in Europe 59
3.3 The situation in Asia 81
3.4 Internet and the global village 81
4 Operational and Organizational Structures 85
4.1 Legal structures for stand-alone funds 85
4.2 A network of service providers 90
4.3 Specific investment structures 108
4.4 Disclosure and documents 118

5 Understanding the Tools Used by Hedge Funds 121
5.1 Buying and selling using a cash account 121
5.2 Buying on margin 122
5.3 Short selling and securities lending 126
5.4 Derivatives 142
5.5 Leverage 151

PART II HEDGE FUND STRATEGIES AND TRADE EXAMPLES
6 Introduction 159
7 Long/Short Equity Strategies 163
7.1 The mechanics of long/short equity investing 163
7.2 Investment approaches 170
7.3 Historical performance 181
8 Dedicated Short 187
8.1 The pros and cons of dedicated short selling 187
8.2 Typical target companies and reactions 188
8.3 Historical performance 193
9 Equity Market Neutral 197
9.1 Definitions of market neutrality 197
9.2 Examples of equity market neutral strategies and trades 203
9.3 Historical performance 211
10 Distressed Securities 215
10.1 Distressed securities markets 215
10.2 Distressed securities investing 226
10.3 Examples of distressed trades 233
10.4 Historical performance 239
11 Merger Arbitrage 243
11.1 Mergers and acquisitions: a historical perspective 243
11.2 Implementing merger arbitrage: basic principles 246
11.3 The risks inherent in merger arbitrage 254
11.4 Historical performance 263
12 Convertible Arbitrage 269
12.1 The terminology of convertible bonds 269
12.2 Valuation of convertible bonds 272
12.3 Convertible arbitrage: the basic delta hedge strategy 279
12.4 Convertible Arbitrage in practice: stripping and swapping 285
12.5 The strategy evolution 287
12.6 Historical performance 293
13 Fixed Income Arbitrage 297
13.1 The basic tools of fixed income arbitrage 297
13.2 Examples of sub-strategies 299
13.3 Historical performance 306
14 Emerging Markets 311
14.1 The case for emerging market hedge funds 311
14.2 Examples of strategies 314
14.3 Historical performance 323
15 Global Macro 327
15.1 Global macro investment approaches 327
15.2 Examples of global macro trades 328
15.3 Historical performance 346
16 Managed Futures and Commodity Trading Advisors (CTAs) 351
16.1 The various styles of managed futures 352
16.2 Examples of systematic trading rules 355
16.3 Historical Performance 366
16.4 The future of managed futures 370
17 A Smorgasbord of Other Strategies 373
17.1 Capital structure arbitrage and credit strategies 373
17.2 Weather derivatives, weather insurance and catastrophe bonds 381
17.3 Mutual Fund Arbitrage 382
17.4 Arbitraging between NAVs and quoted price: Altin AG 388
17.5 Split strike conversion 390
17.6 Event-Driven Special Situations 392
17.7 Cross-listing and dual-listing arbitrage 393
17.8 From public to private equity 395
17.9 Regulation D and PIPEs funds 397
17.10 IPO Lock-up Expirations 398

PART III MEASURING RETURNS, RISKS AND PERFORMANCE

18 Measuring Net Asset Values and Returns 403
18.1 The difficulties of obtaining information 404
18.2 Equalization, crystallization and multiple share classes 406
18.3 The inequitable allocation of incentive fees 406
18.4 The free-ride syndrome 407
18.5 Onshore versus Offshore Funds 408
18.6 The multiple share approach 409
18.7 The equalization factor/depreciation deposit approach 410
18.8 Simple Equalization 414
18.9 Consequences for performance calculation 414
18.10 The holding period return 415
18.11 Annualizing 417
18.12 Multiple hedge fund aggregation 418
18.13 Continuous compounding 419
19 Return Statistics and Risk 423
19.1 Calculating return statistics 423
19.2 Measuring risk 429
19.3 Downside risk measures 439
19.4 Benchmark-related statistics 447
20 Risk-Adjusted Performance Measures 451
20.1 The Sharpe ratio 455
20.2 The Treynor ratio and Jensen alpha 460
20.3 M2, M3 and Graham–Harvey 468
20.4 Performance measures based on downside risk 472
20.5 Conclusions 476
21 Databases, Indices and Benchmarks 479
21.1 Hedge fund databases 479
21.2 The various biases in hedge fund databases 479
21.3 From databases to indices 487
21.4 From indices to benchmarks 508

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关键词：hedge fund Lhabitant handbook SERGE Habit situation equity future

PART IV INVESTING IN HEDGE FUNDS

22 Introduction 515
23 Revisiting the Benefits and Risks of Hedge Fund Investing 517
23.1 The benefits of hedge funds 518
23.2 The benefits of individual hedge fund strategies 527
23.3 Caveats of hedge fund investing 534
24 Asset Allocation and Hedge Funds 537
24.1 Diversification and portfolio construction: an overview 537
24.2 Strategic asset allocation without hedge funds 543
24.3 Introducing hedge funds in the asset allocation 547
24.4 How much should be allocated to hedge funds? 551
24.5 Hedge funds as portable alpha overlays 561
24.6 Hedge funds as sources of alternative risk exposure 564
24.7 Risk budgeting and the separation of alpha from beta 565
25 Hedge Fund Selection: A Route Through the Maze 569
25.1 Stating objectives 569
25.2 Filtering the universe 570
25.3 Quantitative Analysis 571
25.4 Qualitative Analysis 572
25.5 Due Diligence: between art and science 573
25.6 Ongoing monitoring 576
25.7 Common mistakes in the selection process 577
26 Funds of Hedge Funds 579
26.1 What are funds of hedge funds? 579
26.2 Advantages of funds of funds 579
26.3 The dark side of funds of funds 584
26.4 Selecting a fund of funds 587
26.5 Fund allocation: A look inside the “black box” 588
26.6 The future of funds of funds 589
27 Structured Products on Hedge Funds 591
27.1 Total return swaps linked to hedge funds 591
27.2 Call options on hedge funds 592
27.3 Basic notes and certificates 593
27.4 Capital protected notes 594
27.5 The second generation: The option-based approach 598
27.6 The third generation: the dynamic trading approach 602
27.7 The fourth generation: options on CPPI 608
27.8 The flies in the ointment 608
27.9 The future of capital guaranteed products 610
27.10 Collateralized hedge fund obligations 610
28 Conclusions 615

Bibliography 617
Index 625

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