Bibliothèque de L'IMIST/CNRST

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.

1 Rank alpha funds of hedge funds -- Carol Alexander and Anca Dimitriu -- 2 Funds of hedge funds: bias and persistence in returns -- Daniel Capocci and Georgers Hübner -- 3 Replication and evaluation of fund of funds returns 1994-2005 -- Harry M. Kat and Helder P. Palaro -- 4 Factor decomposition of fund of funds returns -- Jean-Fraṅois Bacmann, Pierre Jeanneret, and Stefan Scholz -- 5 Optimal fund of fund asset allocation: hedge funds, CTAs and REITs -- Nicolas Papageorgiou and Alain Elkaim -- 6 The changing performance and factor risks of fund of funds in the modern -- period -- Keith H. Black -- 7 Hedge fund indices: are they cost-effective alternatives to fund of funds? -- Kathryn Wilkens -- 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large cap funds -- Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou, and Fabrice Rouah -- 9 Funds of funds of hedge funds: welcome to diworsification -- Fraṅois-Serge Lhabitant and Nicolas Laporte -- 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift -- Andreas Oehler and Oliver A. Schwindler -- 11 Gains from adding funds of hedge funds to portfolios of traditional assets: An international perspective -- Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg -- 12 Tactical asset allocation for hedge fund indices at one- to six-month horizons -- Laurent Favre -- 13 Single strategy funds of hedge funds: how many funds? -- Ryan J. Davies, Harry M. Kat, and Sa Lu -- 14 The distributional characteristics of fund of hedge fund returns -- Elaine Hutson, Margaret Lynch and Max Stevenson -- 15 Funds of funds and diversification effect -- Maher Kooli -- 16 Higher-moment performance characteristics of funds of funds -- Zsolt Berenyi -- 17 The market risk of funds of hedge funds: a conditional approach -- Florent Pochon and J̌r̥me Te̐letche -- 18 Revisiting the Fama and French model: An application to funds of funds using -- nonlinear methods -- Eric Dub̌, Cľment Gignac and Fraṅois Eric Racicot -- 19 Investors choice: an investor-driven, forward-looking optimization approach to fund of hedge fund construction -- Clemens H. Glaffig -- 20 Moments analysis in risk and performance monitoring of funds of hedge funds -- David K.C. Lee, Kok Fai Phoon, and Choon Yuan Wong -- 21 An overview of funds of hedge funds -- Jean Brunel -- 22 Institutional investment due diligence on funds of hedge funds -- John E. Dunn, III -- 23 Synthetic CDO squares and the continuing evolution of funds of funds -- Paul Ali -- 24 Natural resources fund of funds: essays on active management, risk management, and due diligence -- 25 Identifying and monitoring risk in a fund of hedge funds portfolio -- Meredith A. Jones -- 26 The wizardry of analytics for funds of funds -- Mary Fjelstad and Leola Ross -- 27 Quantitative hedge fund selection for fund of funds -- Stephan Joehri and Markus Leippold.

Includes bibliographical references and index.

Description based on print version record.