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Absolute Returns: The Risk and Opportunities of Hedge Fund Investing
Alexander M. Ineichen
ISBN: 978-0-471-25120-0
Hardcover
528 pages
A practical guide to strategies of hedge fund investing.
Hedge fund expert Alexander Ineichen outlines strategies that hedge fund managers use to achieve superior investment performance, particularly in bear markets, when traditional investment strategies do not perform so well, and shows readers how hedge funds might be added to traditional investment portfolios to achieve superior returns. Nontechnical yet sophisticated, Absolute Returns shows investors how to make educated decisions about hedge fund investment--thoroughly explaining the risks as well as the rewards.
Introduction.
Acknowledgements.
1. Investment Strategy.
What is strategy?.
What is investment strategy?.
Planning to achieve the objective.
1. Real and artificial liabilities.
2. Mapping the liability cashflows.
3. Total funding.
4. The escalator factor.
5. Putting it together.
Conclusions.
Summary.
2. Multi Asset Class Investing.
The asset allocation background.
Potential problems in moving to a Multi Asset Class approach.
The Yale Model.
Higher returns as a goal, not peer group benchmarking.
Liquidity.
Diversification.
Long-term returns.
The Yale Model and MAC investing.
Bonds.
Quoted equities.
How much should be allocated to each asset class?.
How is the Yale Model currently allocated?.
What does one look for in selecting an asset class?.
Is there a sufficiently robust benchmark available for the asset class?.
Based on the benchmark, does it exhibit an acceptable level of return risk?.
Based on the benchmark, does it exhibit an acceptable level of capital risk?.
Based on the benchmark, does it exhibit an acceptable level of correlation with domestic quoted equities?.
Conclusions.
Summary.
3. Risk.
Introduction.
The atheist cathedral.
Risk and the capital asset pricing model.
How ‘risk’ is used in practice.
Arithmetical problems with beta.
Conceptual problems with beta.
Why beta and the CAPM are irrelevant.
Summary.
4. How to Define Risk.
Risk and uncertainty.
Risk and diversification in the artificial world.
Risk in the real world: uncertainty and materiality.
Towards a new definition of risk.
Return risk.
Capital risk.
Summary.
5. How to Calculate Risk.
Phi calculations.
Phi and beta.
Compound return-based modelling.
The future of risk analysis.
Direct comparison of different asset classes.
Other types of risk.
Summary.
6. Quoted Equity.
Active versus passive equities management.
Which indices will we examine?.
What correlation is there between quoted markets?.
Correlation and the dollar investor.
Correlation and the sterling investor.
Return risk of quoted equities.
How to improve quoted equity returns.
Summary.
7. Hedge Funds.
What is a hedge fund?.
Hedge fund investment strategies.
What benchmarks are available and which should we use?.
How do the various hedge fund strategies compare?.
What return risk is present in hedge funds?.
Does the index properly show potential portfolio returns?.
Hedge funds within the Yale portfolio.
What capital risk is present in hedge funds as an asset class?.
How are hedge fund returns correlated with those for quoted equity?.
Summary.
8. Private Equity.
Venture capital.
Stage.
Sector.
Geography.
Vintage year versus annual returns.
Further complexities of private equity returns.
What return risk is present in private equity?.
What capital risk is present in private equity?.
What degree of correlation does it exhibit with quoted equity markets?.
How does one address the slow capital take-up issue?.
Summary.
9. Property.
Investing in property.
Investing in property (real estate) directly.
Geography.
Sector.
Investing in property indirectly.
Quoted property companies.
Specialist quoted vehicles.
Private institutional funds (limited partnerships).
What performance benchmarks should we use?.
What level of correlation exists with quoted equity returns?.
What levels of return risk and capital risk does UK property exhibit?.
How have returns varied by sector?.
Can property returns be improved by leverage?.
Analysing the possible effect of leverage on a property portfolio.
Summary.
10. LDI and Portable Alpha: Rival Strategies?.
LIABILITY DRIVEN INVESTMENT.
What is ‘liability driven investment’?.
The differing positions of the pension plan and the employer.
How does liability matching help?.
Why liability matching does not work.
The pension plan as creditor.
The strategic dilemma.
Summary of LDI.
PORTABLE ALPHA.
The concept.
Problem 1: The traditional risk model.
Problem 2: Pure alpha.
Problem 3: Exactly what is being suggested?.
Problem 4: Alpha returns.
Summary of portable alpha.
Rival strategies?.
11. Liquidity.
Creating artificial liquidity.
Why do institutional investors need liquidity, and how much.
liquidity do they need?.
Are so-called alternative assets really illiquid? And, if so, just how illiquid?.
Hedge funds: Liquidity considerations.
Private equity: Liquidity issues.
Property: Liquidity issues.
Liquidity of so-called alternative assets.
Irrationality of liquidity concerns.
Summary.
12. Portfolio Performance.
Cost-adjusted performance.
What returns will we use?.
Parameters of the model.
Relative performance.
What about rebalancing?.
Are private equity returns modelled realistically?.
Conclusions.
Appendix 1: Tables of Performance Figures.
Appendix 2: Investment Strategies for DC Schemes and Mature Pension Plans.
Index.
ALEXANDER M. INEICHEN, CFA, is Managing Director and Head of Equity Derivatives Research at UBS Warburg in London. In October 2000, Ineichen authored In Search of Alpha: Investing in Hedge Funds, which has become the most often printed research publication in the documented history of UBS Warburg. He has also published several papers in peer-refereed financial journals, contributed numerous articles and chapters to financial newspapers, magazines, and books, and regularly speaks about hedge funds and risk at industry conferences.
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