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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.

Reviews

"Want to learn all about hedge funds and funds of hedge funds and sift out the truth from the misconceptions? Then read this comprehensive assessment of the field. It goes from A to Z in coverage and together all the papers provide a good course in this fast growing and controversial subject."
-- William T. Ziemba, Alumni Professor of Financial Modeling and Stochastic Optimization (Emeritus), Sauder School of Business, University of British Columbia

"Funds of hedge funds are fast emerging as one of the most popular alternative investment vehicles offering diversification, access to hedge funds that are closed for new investment, and due diligence. This great collection of research articles on funds of hedge funds will surely inform the readers about the pros and cons associated with investing in funds of hedge funds."
-- Vikas Agarwal, Assistant Professor of Finance, J. Mack Robinson College of Business, Georgia State University


"The international demand for hedge funds from institutional investors is gaining more and more momentum. As most of this growth can be attributed to funds of hedge funds, this excellent new edited book couldn’t be more timely. Again, the editor has done an outstanding job of gathering contributions of great academic and practical use from some of the leading authorities in this area often considered as opaque. Fund of Hedge Funds is the definitive source of information for industry professionals, institutional investors and academics alike. A more comprehensive analysis of the Performance, Application and Risk Management of fund of hedge funds is hard to come by."
-- Dieter G. Kaiser, Institutional Research, Benchmark Alternative Strategies GmbH

"According to TASS Tremont, the fraction of hedge funds that are funds of funds has doubled over the past five years, to 28 percent of all hedge funds as of September 2005. Attention must be paid. Academics have only just recently started to become interested in this business. This book of readings is one the first published collections of original scholarly papers on this subject. It is of great interest to many academics as well as of course to the many practitioners who are in the business today or who would very much like to enter the fund of funds business."
-- Stephen J. Brown, David Loeb Professor of Finance, NYU Stern School of Business

Feature

* 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

정보제공 :

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 Hubner
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-Francois 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 Hubner, Nicolas Papageorgiou, and Fabrice Rouah
9   Funds of funds of hedge funds: welcome to diworsification
Francois-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 Jerome Teiletche
18   Revisiting the Fama and French model:  An application to funds of funds using  
            nonlinear methods
Eric Dube, Clement Gignac and Francois Eric Racicot
19   Investor’s 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

정보제공 :