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Alternative Investments
Hedge Funds: Quantitative Insights

Authors: François-Serge Lhabitant
Editions: Wiley
Pages: 354 pages
Date: May 2004
 
 
 
Summary
This primer on the analysis of hedge funds offers investors a more quantitative understanding of this topic, providing a complete guide to portfolio techniques, asset allocation, performance measurement and product selection in the alternative investment world.

Hedge funds are the fastest growing sector of the financial industry, and yet the least understood, by market professionals.

This book examines and popularises the results of several quantitative studies that have so far been confirmed within academic circles.

It provides a step-by-step introduction on how quantitative tools can be applied to hedge fund investing.

Divided into three parts, the book begins with coverage of the measurement of risk-adjusted returns for hedge funds. The focus is not on determining whether hedge funds outperform or under-perform traditional markets, but rather on understanding the real meaning of performance statistics used by hedge fund managers and quantitative analysts.

The second part of the book examines the risk exposures of hedge funds, and subsequently, their return drivers.

The final part of the book enters the field of portfolio construction and asset allocation.

Written by a highly regarded and impartial financial practitioner and academic, it provides an excellent follow-on to Hedge Funds: Myths & Limits (Wiley 2002).

About the Author:

François-Serge Lhabitant, PhD, has substantial experience in risk management and alternative investments, as both a practitioner and academic. Formerly, he was a Director at UBS/Global Asset Management and a Member of Senior Management at Union Bancaire Privée, in charge of the quantitative analysis and the management of dedicated hedge fund portfolios. He is currently a professor of Finance at the EDHEC Business School (France) and at the University of Lausanne (Switzerland), and a senior advisor to Kedge Capital Partners.