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Alternative Investments
Intelligent Hedge Fund Investing

Authors: Editor: Barry Schachter
Editions: Risk Books
Pages: 470 pages
Date: March 2004
Intelligent Hedge Fund Investing provides a broad coverage of investing, risk management and portfolio allocation and an in-depth analysis on a variety of topics including VaR estimation, illiquidity and dynamic investment strategies.

The text explores the important differences between approaches to hedge funds and standard investment choices. It shows how to apply the proper analytical tools to evaluate hedge fund investments and details the pros and cons of the various risk management strategies.

It thus helps investors adequately measure and weigh hedge fund investment risk against benefits and assists them in making better risk allocation and risk management decisions.

Technical material is presented in appendices and explained in detail in the text, making Intelligent Hedge Fund Investing an ideal reference for readers with only moderate technical knowledge.

This publication features contributions from over 20 industry experts from leading financial institutions, consultancies and business schools.

EDHEC Business School professors Noël Amenc, François-Serge Lhabitant, and Lionel Martellini, and EDHEC-Risk research associates Barry Schachter, Hilary Till, and Mathieu Vaissié, contributed chapters to this reference text.

Foreword by Tanya Styblo Beder, Managing Director, Caxton Associates LLC

"How exciting to read a book that is so timely and practical! Over the last few years, a great deal has been written about the growth of hedge funds. Fuelling the expectations for even faster growth is the increased desire by institutional investors to access, and participate in, this important investment arena. The implications are significant; not only is there unprecedented interest in how to think about hedge fund invesments as a permanent sector in asset allocation, but there is also a huge need to evaluate - and re-evaluate - the tools we use to do so.

This book offers fresh perspectives to investors and potential investors in the hedge fund arena as well as to managers of hedge funds, traders, risk managers, regulators and hedge fund counterparties. The strengths and weaknesses of traditional performance and risk measures, as applied to hedge funds, are supported for their strengths or challenged for their weaknesses. And, important to the reader, new thoughts or alternatives are offered to address the measures that fail.

I am pleased that the authors chose to share these ideas with investors and managers of hedge funds, regulators and the increasing portion of the academic universe focused on this rapidly growing field. I hope that this book will continue to advance the study of hedge funds and asset allocation, for both academics and hedge fund practitioners, as the institutionalisation of the hedge fund arena evolves."

Complete list of contributors

Emmanuel Acar, Bank of America; Noël Amenc, EDHEC-Risk Institute; Boris Arabadjiev, Credit Suisse Asset Management; Jean-François Bacmann, RMF Investment Management; Turan G. Bali, Zicklin School of Business; Tanya Beder, Caxton Associates, LLC; Michael Christensen, Aarhus School of Business; Claus Bang Christiansen, Aarhus School of Business; Suleyman Gokcan, Citigroup Alternative Investments; Niclas Hagelin, Stockholm University School of Business and the Swedish National Debt Office; Harry M. Kat, City University, London; Bernard Lee, Imperial College; Youngju Lee, Allianz Hedge Fund Partners; Francois-Serge Lhabitant, EDHEC Business School; Peter Brink Madsen, Aarhus School of Business; Lionel Martellini, EDHEC-Risk Institute; Amy Middleton, Bank of America; John Okunev, Principal Global Investors; Sébastien Pache, Ernst and Young; Nolke Posthuma, ABP Investments; Bengt Prambourg, Stockholm University School of Business; Leola B. Ross, Russell Investment Group; Barry Schachter, SAC Capital Advisors, LLC and Research Associate, EDHEC-Risk Institute; Milind Sharma, Merrill Lynch Investment Managers; Hilary Till, Premia Risk Consultancy, Inc and Research Associate, EDHEC-Risk Institute; Mathieu Vaissié, Research Associate, EDHEC-Risk Institute; Pieter Jelle van der Sluis, Free University Amsterdam and ABP Investments; Derek White, Principal Global Investors.