EDHEC-Risk - Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation

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	Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation Authors: Edited by Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou and Fabrice Rouah Editions: Wiley Finance Pages: 653 pages Date: September 2005 Purchase this book

Summary

Over the last few years, hedge funds have become even more attractive to institutional and individual investors. Their performance in both bull and bear markets are second to none, and their risk/reward profiles make sense in today's dynamic financial environment.

Whether you're working with hedge funds or thinking about investing in them, you must have a firm understanding of this unique investment vehicle in order to achieve maximum success. In Hedge Funds, editors Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou and Fabrice Rouah bring together over thirty of the top practitioners and academics in the hedge fund industry to provide you with the latest findings in this field.

Several members of EDHEC-Risk Institute contributed chapters to the book: Noël Amenc, Felix Goltz, Lionel Martellini, Laurent Favre, Daniel Capocci and Hilary Till.

Divided into five comprehensive parts, this guide reveals some of the most important issues encountered by today's academics and practitioners as they work with hedge funds. Their individual analysis deals with a variety of topics, from new methods of hedge fund performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, including econometric and statistical models, an understanding and applicability of the results as well as theoretical developments are stressed.

Topics discussed include:

Integrating hedge funds into the traditional portfolio
Hedge fund allocation under higher moments and illiquidity
Applying securitization technology to hedge funds
Common factor strategies for hedge funds
Analysis of risk-adjusted performance of global assets
Fat tail risk in portfolios of hedge funds
Hedge funds and the stale pricing issue

Filled with in-depth insight and expert advice, Hedge Funds can help you - whether you're an institutional investor or high-net-worth individual - make the most of this flexible investment vehicle.

About the Editors:

Greg N. Gregoriou is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at the State University of New York, Plattsburgh. He received his BA in economics from Concordia University and his MBA and PhD in finance from the University of Quebec in Montreal. He is an associate with the Peritus Group in Montreal and the hedge fund editor and an editorial board member for Derivatives Use, Trading and Regulation (London). Gregoriou has published over forty articles on hedge funds and CTAs, and is coauthor and coeditor of four books. He has since become Research Associate at EDHEC-Risk Institute.

Georges Hübner is the Deloitte Professor of Financial Management at HEC, Business School of the University of Liège. He is also Associate Professor of Finance at the University of Maastricht and Affiliate Professor of Finance at EDHEC Business School. He is an accomplished author of two books on financial management, as well as several peer-reviewed research articles about hedge funds and derivatives. Hübner holds a PhD in management from INSEAD.

Nicolas Papageorgiou completed his PhD at the ISMA Centre, The University of Reading, UK, in 2002 and has since held the position of Assistant Professor in the Department of Finance at HEC Montreal. His doctoral research focused on the modeling of corporate credit risk, and the empirical evaluation of models for pricing corporate liabilities and credit derivatives. Papageorgiou is also interested in alternative fund management, specifically hedge funds and CTAs, and has written several papers and book chapters on performance measurements of these funds.

Fabrice Rouah is an Institut de Finance Mathématique de Montréal (IFM2) Scholar, and a PhD candidate in finance at McGill University. He is a former faculty lecturer and consulting statistician and he specializes in the statistical and stochastic modeling of hedge funds, managed futures, and CTAs.

FTSE EDHEC-Risk Efficient Indexes: January 2012

United States	4.27%
United Kingdom	2.78%
Eurobloc	5.66%
Developed Europe	5.17%
Dev. Europe ex. UK	5.58%
Japan	2.20%
Dev. Asia ex. Jap.	7.51%
Asia-Pac. ex. Jap.	8.66%
Asia-Pacific	6.63%
Developed	4.65%
Emerging	10.25%
All World ex. US	6.10%
All World ex. UK	5.36%
All World	5.28%

EDHEC-Risk Alternative Indexes: December 2011

Conv. Arb.	0.29%
CTA Global	0.34%
Dist. Sec.	0.50%
Emg. Mkts	-1.81%
Eq. Mkt Neut.	0.06%
Event Driven	-0.34%
Fix. Inc. Arb.	0.45%
Global Macro	-0.22%
L/S Equity	-0.56%
Merger Arb.	0.56%
Rel. Value	0.12%
Short Selling	0.41%
FoF	-0.54%

EDHEC-Risk IEIF Commercial Property: December 2011

Price (FR)	2.11%
Total Return (FR)	2.11%