Home | Posts RSS | Comments RSS | Login

Hedge Funds: An Analytic Perspective


ISBN13: 9780691132945|Hardback|364 pages| ©2008|Price:NT$1250

Andrew W. Lo, MIT Sloan School

The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge fund investments.
Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge fund failure rates, and integrated investment processes for alternative investments. He concludes with a case study of quantitative equity strategies in August 2007, and presents a sobering outlook regarding the systemic risks posed by this industry.

Table of Contents ( Detail )
Chapter 1: Introduction
Chapter 2: Basic Properties of Hedge Fund Returns
Chapter 3: Serial Correlation, Smoothed Returns, and Illiquidity
Chapter 4: Optimal Liquidity
Chapter 5: Hedge Fund Beta Replication
Chapter 6: A New Measure of Active Investment Management
Chapter 7: Hedge Funds and Systemic Risk
Chapter 8: An Integrated Hedge Fund Investment Process
Chapter 9: Practical Considerations
Chapter 10: What Happened to the Quants in August 2007?
Appendix Significance of Aggregate Autocorrelations