Hedgefunds : an analytic perspective / Andrew W. Lo.

Includes bibliographical references and index.

"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. In a new chapter, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis."--Provided by publisher

Print version record.

Note continued: 9.1. Risk Management as a Source of Alpha -- 9.2. Risk Preferences -- 9.3. Hedge Funds and the Efficient Markets Hypothesis -- 9.4. Regulating Hedge Funds -- 10. What Happened to the Quants in August 2007? -- 10.1. Terminology -- 10.2. Anatomy of a Long/Short Equity Strategy -- 10.3. What Happened in August 2007? -- 10.4. Comparing August 2007 with August 1998 -- 10.5. Total Assets, Expected Returns, and Leverage -- 10.6. Unwind Hypothesis -- 10.7. Illiquidity Exposure -- 10.8. Network View of the Hedge Fund Industry -- 10.9. Did Quant Fail? -- 10.10. Qualifications and Extensions -- 10.11. Current Outlook -- 11. Jumping the Gates -- 11.1. Linear Risk Models -- 11.2. Beta Overlays -- 11.3. Hedging Long/Short Equity Managers -- 11.4. Dynamic Implementations of Beta Overlays -- 11.5. Conclusion -- Appendix -- A.1. Lipper TASS Category Definitions -- A.2. CS/Tremont Category Definitions -- A.3. Matlab Loeb Function tloeb -- A.4. GMM Estimators for the AP Decomposition -- A.5. Constrained Optimization -- A.6. Contrarian Trading Strategy -- A.7. Statistical Significance of Aggregate Autocorrelations -- A.8. Beta-Blocker and Beta-Repositioning Strategies -- A.9. Tracking Error.

English.

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