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Hedge Funds: An Analytic Perspective (Advances in Financial Engineering)
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Binding: Hardcover
Dewey Decimal Number: 332.64524
EAN: 9780691132945
ISBN: 0691132941
Label: Princeton University Press
Manufacturer: Princeton University Press
Number Of Items: 1
Number Of Pages: 364
Publication Date: May 18, 2008
Publisher: Princeton University Press
Studio: Princeton University Press
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Editorial Review: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.
Customer Reviews
Average Rating: 
Rating: - Interesting and informative
For those readers such as this reviewer who are strong advocates of complete automation of trading in the financial markets, chapter 8 of this book should be of great interest. It gives in the author's words a tentative explanation for some of the peculiar events that were happening last year at this time in some of the "quant funds", particularly those that deployed what have been called `statistical arbitrage strategies." What is valuable about the author's discussion in this chapter is that he ... Read More
Rating: - real analysis on hedge funds - no fluff
This is a thorough analysis of a number of different hedge fund strategies and a preview of the topics likely to be heavily discussed by hedge fund managers, pension plans as they move into the space, consultants advising plans, and fund of funds players.
Puts alot of meat on the bones of many issues those in the hedge fund business are currently discussing and grappling with in order to refine their business processes.
Very well researched and well written. Good analysis ... Read More
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