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Funds of Hedge Funds: Performance, Assessment, Diversification, and Statistical Properties (Quantitative Finance)
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Product Description
With about $450 billion in assets, funds of hedge funds are the most recent darling of investors. While hedge funds carry high risk for the promise of high returns they are designed for the very rich and for large institutional investors such as pension funds. A Fund of Hedge Funds (FOF) spreads investments among a number of hedge funds to reduce risk and provide diversification, while maintaining the potential for higher than average returns. Odds are that some pension fund of yours is invested heavily in these products, and more recently these FOFs have been opened to more and more individual investors in offshore jurisdictions with lower minimum entry levels. Since this is a new and extremely fast-moving financial phenomenon, academic research has just begun in earnest, and this is the first book to present rigorous academic research by some of the leading lights in academic finance, carefully analyzing the broad array of issues involved in FOFs.
* With over $450 billion in assets, hedge funds of funds are the darling of investors
* First book to present rigorous academic research about funds of funds
* Leading lights in academic finance from around the world analyze the broad array of issues involved in funds of funds
Product Details
- Amazon Sales Rank: #587424 in Books
- Published on: 2006-08-01
- Original language: English
- Number of items: 1
- Binding: Hardcover
- 496 pages
Editorial Reviews
Review
"Want to learn all about hedge funds and funds of hedge funds and sift out the truth from the misconceptions? Then read this comprehensive assessment of the field. It goes from A to Z in coverage and together all the papers provide a good course in this fast growing and controversial subject."
-- William T. Ziemba, Alumni Professor of Financial Modeling and Stochastic Optimization (Emeritus), Sauder School of Business, University of British Columbia
"Funds of hedge funds are fast emerging as one of the most popular alternative investment vehicles offering diversification, access to hedge funds that are closed for new investment, and due diligence. This great collection of research articles on funds of hedge funds will surely inform the readers about the pros and cons associated with investing in funds of hedge funds."
-- Vikas Agarwal, Assistant Professor of Finance, J. Mack Robinson College of Business, Georgia State University
"The international demand for hedge funds from institutional investors is gaining more and more momentum. As most of this growth can be attributed to funds of hedge funds, this excellent new edited book couldn't be more timely. Again, the editor has done an outstanding job of gathering contributions of great academic and practical use from some of the leading authorities in this area often considered as opaque. Fund of Hedge Funds is the definitive source of information for industry professionals, institutional investors and academics alike. A more comprehensive analysis of the Performance, Application and Risk Management of fund of hedge funds is hard to come by."
-- Dieter G. Kaiser, Institutional Research, Benchmark Alternative Strategies GmbH
"According to TASS Tremont, the fraction of hedge funds that are funds of funds has doubled over the past five years, to 28 percent of all hedge funds as of September 2005. Attention must be paid. Academics have only just recently started to become interested in this business. This book of readings is one the first published collections of original scholarly papers on this subject. It is of great interest to many academics as well as of course to the many practitioners who are in the business today or who would very much like to enter the fund of funds business."
-- Stephen J. Brown, David Loeb Professor of Finance, NYU Stern School of Business
From the Back Cover
Business/Finance
Funds of Hedge Funds
Performance, Assessment, Diversification and Statistical Properties
Greg N. Gregoriou
"According to TASS Tremont, the fraction of hedge funds that are funds of funds has doubled over the past five years, to 28 percent of all hedge funds as of September 2005. Attention must be paid. Academics have only just recently started to become interested in this business. This book of readings is one the first published collections of original scholarly papers on this subject. It is of great interest to many academics as well as of course to the many practitioners who are in the business today or who would very much like to enter the fund of funds business."
- Stephen J. Brown, David Loeb Professor of Finance, NYU Stern School of Business
"Want to learn all about hedge funds and funds of hedge funds and sift out the truth from the misconceptions? Then read this comprehensive assessment of the field. It goes from A to Z in coverage and together all the papers provide a good course in this fast growing and controversial subject."
- William T. Ziemba, Alumni Professor of Financial Modeling and Stochastic Optimization (Emeritus), Sauder School of Business, University of British Columbia
"The international demand for hedge funds from institutional investors is gaining more and more momentum. As most of this growth can be attributed to funds of hedge funds, this excellent new book couldn't be more timely. Again, Gregoriou has done an outstanding job of gathering contributions of great academic and practical use from some of the leading authorities in this area often considered as opaque. Funds of Hedge Funds is the definitive source of information for industry professionals, institutional investors and academics alike. A more comprehensive analysis of the performance, application and risk management of fund of hedge funds is hard to come by."
- Dieter G. Kaiser, Institutional Research, Benchmark Alternative Strategies GmbH
With about $450 billion in assets, funds of hedge funds are the most recent darling of investors. While hedge funds are designed for the very rich and for large institutional investors such as exchanges and pension funds, and carry high risk for the promise of high returns, funds of hedge funds spread investment among a number of hedge funds and theoretically reduce risk and increase diversification, while maintaining the potential for higher than average returns.
As this is a new and extremely fast-moving financial phenomenon, academic research has just begun in earnest. Funds of Hedge Funds is the first book to present rigorous academic research by some of the leading lights in academic finance, carefully analyzing the broad array of issues involved in funds of hedge funds.
Greg N. Gregoriou is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at State University of New York (Plattsburgh).
About the Author
Greg Gregoriou is Professor of Finance in the School of Business and Economics at State University of New York at Plattsburgh. He obtained his Ph.D. (finance) from the University of Quebec at Montreal and is hedge fund editor for the peer-reviewed scientific journal Derivatives Use, Trading and Regulation and editorial board member for the Journal of Wealth Management and the Journal of Risk and Financial Institutions. He has authored over 50 articles on hedge funds, and managed futures in various U.S. and U.K. peer-reviewed publications, including the Journal of Portfolio Management, Journal of Derivatives Accounting, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, European Journal of Finance and Journal of Asset Management, etc. He has edited 18 books for Elsevier, Wiley, Palgrave-MacMillan and Risk and has co-authored one book for Wiley.
Customer Reviews
Stunning book. Excellent reference for Funds of Hedge Funds
The book is split into four parts: the first finds out the distinctiveness of performance for funds of hedge funds (alpha, persistence, factor decomposition, portfolio optimization). The second part deals with diversification, selection, allocation and hedge fund indices where correlations effects are analysed among different managing styles. Thirdly, some essays are devoted to construction, and statistical properties of funds of hedge funds, such as distributional characteristics, and higher-moment performance characteristics. Finally, the volume investigates specific items such as monitoring risk, due diligence and special classes of funds of funds, where one of the main problems is to implement quantitative methodologies to select the hedge funds. The book is a must-read for those who are looking for an edge in applying the more sophisticated approaches that have recently been developed in the hedge funds industry.
Giampaolo Gabbi, University of Siena and SDA Bocconi, Italy
The Best FOF Book
Working in the FOF industry I am constantly looking for new academic and practitioner research. This book has a good mix between the two. Most of the articles focus on a quantitative approach but there are also chapters that have a qualitative mix to them. I highly suggest it for anyone interested in the FOF industry from the experienced to newcomers. The articles are split into sections where some are appealing to investors performing due-diligence on prospective investments in a FOF, some on monitoring existing investments, and some on constructing FOF portfolios which will appeal to FOF managers. So there is something available for people who are looking to invest in FOFs and something for FOFs themselves to see how outsiders will conduct due-diligence on them, where they need to improve, and cutting edge portfolio construction techniques.
One of the few but certainly the best
Hedging has always tempted the investors and the boom of hedge funds on the market has cought us the academic world unprepared just like the era of Tatcher and Reagan that has created tatcharism and reaganomics. This study is one of the few in this sphere but certainly one of the best for giving knowledge in the area of hedge funds and funds of hedge funds. This can be a excellent handbook for lots of emerging market economies, where people has suffered from lots of financial robberies - first by the communist party and then by their pyramidal creations.
- Dr. Georgi Smatrakalev, Florida Atlantic Univeristy, USA
