Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence

How will the funds of hedge funds (FoHF) business have to change to survive in the wake of the 2008-2012 financial crisis? This new research provides valuable insight. Reconsidering Funds of Hedge Funds presents the first comprehensive views of UCITS as well as recent trends in due diligence, risk management, and hedge fund deaths and survivors. The book contains original chapters by 22 academics and 16 hedge fund professionals, and includes two sections on performance: one that looks at UCITS FoHF and one that deals with traditional FoHF performance. Most chapters examine aspects of the 2008-2012 financial crisis, and almost every chapter addresses fund of hedge funds' management process before, during, and after the crisis. Covers recent advances in risk management, due diligence, tail risk, and allocationPresents an in-depth analysis of UCITs Balances academic and professional viewpoints INDICE: INTRODUCTION Chapter 1 After the Crisis: The Withering of the Funds of Hedge Funds Business?  R. McFall Lamm, Jr. Section 1: DUE DILIGENCE AND RISK MANAGEMENT Chapter 2 Evaluating Trends in Fund of Hedge Fund Operational Due Diligence  Jason Scharfman Chapter 3 The Limits of UCITS for Fund of Hedge Funds  Jeannine Daniel and François-Serge Lhabitant Chapter 4 Due Diligence: Lessons from the Global Financial Crisis for Funds of Hedge Funds with Particular Emphasis on the Asia Pacific Region  David Edmund Allen, Staley Roy Alford (Roy) Pearce and Robert John Powell Chapter 5  The Use of Managed Accounts by Fund of Hedge Funds  Marcus Müller and Daniel Dietrich Chapter 6  Choice of Risk Measure in Evaluating UCITS Funds of Hedge Funds  Alessandro Carretta and Gianluca Mattarocci Section 2: UCITS PERFORMANCE Chapter 7  UCITS Funds of Hedge funds - The New Panacea?  Louis Zanolin Chapter 8  The Return Potential of UCITS Fund of Hedge Funds: An Analysis of their Investment Universe  Marcus Storr, Thomas Maier, Florian Haberfelner and Iliya Kutsarov Chapter 9  How Geography, Flows and Size Affects the Risk-Adjusted Performance of UCITS III Fund of Hedge Funds  Greg N. Gregoriou, Dieter Kaiser and Razvan Pascalau Chapter 10  Funds of Hedge Funds vs. Do-It-Yourself Funds of UCITS  Samuel Sender Section 3: PERFORMANCE Chapter 11  Predicting Funds of Hedge Funds Attrition Through Performance Diagnostics  Philippe Cogneau, Philippe Debatty and Georges Hübner Chapter 12  Does Fund of Hedge Fund Size Matter? Size vs. Performance Before, During and After the Crisis  Jeannine Daniel and François-Serge Lhabitant Chapter 13  Normalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis  Laurent Bodson, Laurent Cavenaile and Alain Coën Chapter 14  The Impact of the 2008 Financial Crisis on Fund of Hedge Funds  Na Dai and Hany A. Shawky Chapter 15  Forecasting Funds of Hedge Funds Performance: A Markov Regime-Switching Approach  Szabolcs Blazsek  Chapter 16  A Panel Based Quantile Regression Analysis of Funds of Hedge Funds  David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh SECTION 4: FUND OF HEDGE FUND ALPHA Chapter 17  Reward-to-Risk Ratios of Funds of Hedge Funds   Yigit Atilgan, Turan G. Bali and K. Ozgur Demitras Chapter 18  The Short-Run Performance Persistence in Funds of Hedge Funds  David Ardia and Kris Boudt Chapter 19  Seeking Alpha: The Performance of Funds of Hedge Funds  Raphaële Chappe, Christian Proaño and Willi Semmler Chapter 20  Quantitative Insight into Management of Funds of Hedge Funds and Consequences on Fund  Alpha Performance  Justina Dambrauskaite, H. Haidar, Bernard Minsky and Qi Tang Chapter 21  Selecting Top Funds of Hedge Funds Based on Alpha and Other Performance Measures  Ying-Lin Hsu , Chung-Ming Kuan and Stéphane M. F. Yen Chapter 22  Funds of Hedge Strategies and Implications for Asset Management: Is Diversification Enough?   Simone Siragusa SECTION 5: TAIL RISK Chapter 23  The Intertemporal Relation between Tail Risk and Fund of Hedge Fund Returns  Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas Chapter 24  Tail Risk Protection for Funds of Hedge Funds  Oliver A. Schwindler Chapter 25  Autocorrelation, Bias and Fat Tails: An Analysis of Funds of Hedge Funds  Martin Eling Chapter 26  Crisis and Funds of Hedge Funds Tail Risk  Monica Billio, Kaleab Mamo and Loriana Pelizzon Chapter 27  Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles: Empirical Evidence from Growth and Financial Crisis Periods  Wolfgang Bessler and Philipp Kurmann Section 6: REGULATION Chapter 28  Regulation: Threat or Opportunity for the Fund of Hedge Fund Industry?  Serge Darolles and Mathieu Vaissie Chapter 29  Funds of Hedge Funds and the Principles of Fiduciary Investing Following the Global Financial Crisis  Paul U. Ali Chapter 30  Understanding the Regulation Impact: US Fund of Hedge Funds after the Crisis  David Edmund Allen, Robert John Powell and Abhay Kumar Chapter 31  Canada and Australia: Do They Provide a Regulatory Model for Funds of Hedge Funds?  David Edmund Allen, Raymond Robert Boffey and Robert John Powell Chapter 32  South African Regulatory Reforms of Fund of Hedge Funds  David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh

• ISBN: 978-0-12-401699-6
• Editorial: Academic Press
• Encuadernacion: Cartoné
• Páginas: 592
• Fecha Publicación: 02/03/2013
• Nº Volúmenes: 1
• Idioma: Inglés