Insights in Performance
Measurement, Risk Analysis,
and Portfolio Allocation
GREG N. GREGORIOU
GEORGES HÜBNER
NICOLAS PAPA...
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Hedge Funds
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Founded in 1807, John Wiley & Sons is the oldest independent publishing
company in the United States. With offices in Nort...
Insights in Performance
Measurement, Risk Analysis,
and Portfolio Allocation
GREG N. GREGORIOU
GEORGES HÜBNER
NICOLAS PAPA...
Copyright © 2005 by Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou, and
Fabrice Rouah. All rights reserved. Chapt...
To my mother Evangelia and
in memory of my father Nicholas
—G.N.G.
To Fabienne, Hélène, and Philippe
—G.H.
To my wife Soiz...
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Preface xi
Acknowledgments xiii
PART ONE
Portfolio Allocation in Hedge Funds 1
CHAPTER 1
Integrating Hedge Funds into the ...
CHAPTER 7
Hedge Fund Selection: A Synthetic Desirability Index 151
Jean-Pierre Langevin
PART TWO
Hedge Fund Management 163...
CHAPTER 15
Performance in the Hedge Fund Industry:
An Analysis of Short- and Long-term Persistence 297
Sébastien Gyger, P....
CHAPTER 23
A Hedge Fund Investor’s Guide to Understanding Managed Futures 473
Hilary F. Till and Joseph Eagleeye
CHAPTER 2...
The idea for this book came about when we realized that our book on
Commodity Trading Advisors (CTAs) was so well received...
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xiii
The editors wish to thank Bill Fallon, senior finance editor, for his enthu-
siastic support and constructive comment...
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Greg N. Gregoriou is Associate Professor of Finance and coordinator of
faculty research in the School of Business and Econ...
Empirical Finance, the Journal of Futures Markets, and the Journal of
Banking and Finance. He was the recipient of the pre...
Carol Alexander is Professor of Risk Management and Director of Research
at the ISMA Centre. Among many industry links, sh...
ment, portfolio performance analysis, and active asset allocation, resulting in
numerous academic and practitioner article...
Pierre-Antoine Bares is currently Head of Quant at International Asset
Management Ltd, specialists in fund of hedge funds....
Singapore and Melbourne, in various investment and managerial capacities.
Upon retiring from J.P. Morgan, he started consu...
Dr. Dimitriu has been teaching in Finance MS programs for several years
and has also been involved in hedge fund consultan...
graduate degree from MIT and a PhD from State University of New York
at Stony Brook, both in Economics.
Mohamed Gaber is a...
Sébastien Gyger received his PhD in Physics from the Swiss Federal Institute
of Technology in Lausanne (EPFL) in April 200...
articles for a number of financial publications, including the Journal of the
Alternative Investment Management Associatio...
eral Manager at the Bank of Singapore (a unit of the OCBC Bank Group),
where he was responsible for private equity investm...
Edward Leung joined Standard & Poor’s Portfolio Services in 2003 as a
Director in the Portfolio Services Group. As a Quant...
Traded Funds: A Global Survey” and coauthored “Addressing Risks in Hedge
Fund Investments,” both published by Institutiona...
the Swedish National Debt Office. His area of interest involves issues con-
cerning corporate risk management, capital bud...
sity of Chicago’s Center for Research in Security Prices as a Senior Research
Analyst. He graduated from DePaul University...
quantitative analyst at Harvard Management Company in Boston, the
investment management company for Harvard University’s e...
Hedge Funds
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PART
One
Portfolio Allocation in
Hedge Funds
Chapter 1 shows how investors can neutralize the unwanted skewness and
kurtos...
approach that allows institutional investors to use such indexes to optimally
exploit the diversification properties of di...
CHAPTER 1
Integrating Hedge Funds into
the Traditional Portfolio
Harry M. Kat
This chapter shows how investors can neutral...
in the stock market, things also tend to go wrong for hedge funds, as a sig-
nificant drop in stock prices is typically ac...
cant negative skewness as well as substantial kurtosis. Put another way,
hedge fund returns may exhibit low standard devia...
Since individual hedge funds carry some idiosyncratic risk, combining
hedge funds into a basket, as is standard practice n...
7
TABLE1.2IndividualHedgeFundandHedgeFundPortfolioRisks
IndividualHedgeFundsPortfolioofHedgeFunds
StandardCorrelationStand...
The skewness effect goes far beyond what one might expect given the
hedge fund skewness results in Table 1.2. When things ...
with equity, skewness drops even further. The increase in negative skewness
will tend to offset the lower standard deviati...
their historical 10-year means, Table 1.4 shows the effect of using puts and
leverage in a portfolio of stocks, bonds, and...
Another important element of the analysis concerns the assumption
that the allocations to stocks and bonds are always equa...
There are three ways in which investors can get into managed futures.
1. They can buy shares in a public commodity (or fut...
substantially, while at the same time the return distribution’s kurtosis
increases. With managed futures, the picture is s...
age the portfolio volatility back to its initial level) could easily turn these
gains into losses.
In addition, although t...
kurtosis framework. Apart from underlining the existence of significant dif-
ferences in the return behavior of different ...
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CHAPTER 2
Hedge Funds from the
Institutional Investor’s
Perspective
Noël Amenc, Felix Goltz, Lionel Martellini
While an in...
Interest from institutional investors comes at a time when they are try-
ing to recover from dramatic affects of downturns...
achieved. These concerns are the focus of this chapter. We therefore
investigate how investors can benefit from including ...
ment strategies that consistently generate positive returns above the risk-
free rate, regardless of prevailing economic c...
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
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Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
Hedge funds insight in performance measurement, risk analysis, and portfolio allocation
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Hedge funds insight in performance measurement, risk analysis, and portfolio allocation

  1. 1. Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation GREG N. GREGORIOU GEORGES HÜBNER NICOLAS PAPAGEORGIOU FABRICE ROUAH John Wiley & Sons, Inc. Hedge Funds ffirs_gregoriou.qxd 6/23/05 2:55 PM Page iii
  2. 2. ffirs_gregoriou.qxd 6/23/05 2:55 PM Page vi
  3. 3. Hedge Funds ffirs_gregoriou.qxd 6/23/05 2:55 PM Page i
  4. 4. Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Aus- tralia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers’ professional and personal knowledge and understanding. The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their financial advisors. Book topics range from portfolio management to e-commerce, risk management, financial engineering, valuation and finan- cial instrument analysis, as well as much more. For a list of available titles, visit our Web site at www.WileyFinance.com. ffirs_gregoriou.qxd 6/23/05 2:55 PM Page ii
  5. 5. Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation GREG N. GREGORIOU GEORGES HÜBNER NICOLAS PAPAGEORGIOU FABRICE ROUAH John Wiley & Sons, Inc. Hedge Funds ffirs_gregoriou.qxd 6/23/05 2:55 PM Page iii
  6. 6. Copyright © 2005 by Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou, and Fabrice Rouah. All rights reserved. Chapter 1, “Integrating Hedge Funds into the Traditional Portfolio” by Harry Kat originally appeared in the Journal of Wealth Management (2003). This article is reprinted with permission from Institutional Investor, Inc. Chapter 6, “Revisit- ing the Role of Hedge Funds in Diversified Portfolios” by Jean Brunel originally appeared in the Journal of Wealth Management, Volume 7, Number 3 (2003), pp. 35–48. This article is reprinted with permission from Institutional Investor, Inc. Chapter 15, “Performance in the Hedge Funds Industry: An Analysis of Short- and Long-Term Persistence” by P.-A. Barès, R. Gibson, and S. Gyger originally appeared in the Journal of Alternative Investments, Volume 6, Number 3 (Winter 2003). This article is reprinted with permission from Institu- tional Investor, Inc. Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400, fax 978-646-8600, or on the Web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, 201-748-6011, fax 201-748-6008, or online at http://www.wiley com/go/permissions. Limit of Liability/Disclaimer of Warranty: While the publisher and the author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor the author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages. For general information about our other products and services, please contact our Customer Care Department within the United States at 800-762-2974, outside the United States at 317-572-3993 or fax 317-572-4002. Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books. For more information about Wiley prod- ucts, visit our Web site at www.wiley.com. Library of Congress Cataloging-in-Publication Data: ISBN-13 978-0-471-73743-8 ISBN-10 0-471-73743-7 Printed in the United States of America 10 9 8 7 6 5 4 3 2 1 ffirs_gregoriou.qxd 6/23/05 2:55 PM Page iv
  7. 7. To my mother Evangelia and in memory of my father Nicholas —G.N.G. To Fabienne, Hélène, and Philippe —G.H. To my wife Soizic, and to my Mom and Dad —N.P. To my parents Jacqueline and Jean, and in memory of my loving grandmother Fanny —F.R. ffirs_gregoriou.qxd 6/23/05 2:55 PM Page v
  8. 8. ffirs_gregoriou.qxd 6/23/05 2:55 PM Page vi
  9. 9. Preface xi Acknowledgments xiii PART ONE Portfolio Allocation in Hedge Funds 1 CHAPTER 1 Integrating Hedge Funds into the Traditional Portfolio 3 Harry M. Kat CHAPTER 2 Hedge Funds from the Institutional Investor’s Perspective 17 Noël Amenc, Felix Goltz, and Lionel Martellini CHAPTER 3 Funds of Hedge Funds versus Portfolios of Hedge Funds: A Comparative Analysis 51 Daniel Capocci and Valérie Nevolo CHAPTER 4 Analyzing Style Drift in Hedge Funds 83 Nolke Posthuma and Pieter Jelle Van der Sluis CHAPTER 5 Hedge Fund Allocation under Higher Moments and Illiquidity 105 Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg CHAPTER 6 Revisiting the Role of Hedge Funds in Diversified Portfolios 129 Jean Brunel Contents vii ftoc_gregoriou.qxd 6/23/05 2:59 PM Page vii
  10. 10. CHAPTER 7 Hedge Fund Selection: A Synthetic Desirability Index 151 Jean-Pierre Langevin PART TWO Hedge Fund Management 163 CHAPTER 8 Hedge Fund Index Tracking 165 Carol Alexander and Anca Dimitriu CHAPTER 9 Designing a Long-Term Wealth Maximization Strategy for Hedge Fund Managers 181 Keith H. Black CHAPTER 10 Profiles of Hedge Fund Indexes against Conventional Asset Style Indexes 197 Barry Feldman CHAPTER 11 Applying Securitization Technology to Hedge Funds 235 Paul U. Ali CHAPTER 12 Maximum Drawdown Distributions with Volatility Persistence 245 Kathyrn Wilkens, Carlos J. Morales, and Luis Roman PART THREE Risk and Performance Measurement 257 CHAPTER 13 A Literature Review of Hedge Fund Performance Studies 259 Fabrice Rouah CHAPTER 14 Investing in Hedge Funds through Multimanager Vehicles 273 Meredith A. Jones viii CONTENTS ftoc_gregoriou.qxd 6/23/05 2:59 PM Page viii
  11. 11. CHAPTER 15 Performance in the Hedge Fund Industry: An Analysis of Short- and Long-term Persistence 297 Sébastien Gyger, P.-A. Bares, and R. Gibson CHAPTER 16 Further Evidence on Hedge Fund Performance: A Calendar-Time Approach 323 Maher Kooli CHAPTER 17 Investing in Hedge Funds: Risks, Returns, and Performance Measurement 341 Francis C. C. Koh, Winston T. H. Koh, David K. C. Lee, Kok Fai Phoon CHAPTER 18 Efficiency of Funds of Hedge Funds: A Data Envelopment Analysis Approach 365 Greg N. Gregoriou and Kevin McCarthy CHAPTER 19 The Performance of Hedge Funds in the Presence of Errors in Variables 381 Alain Coën, Aurélie Desfleurs, Georges Hübner, and François-Éric Racicot CHAPTER 20 Alternative RAPMs for Alternative Investments 403 Milind Sharma PART FOUR Statistical Properties of Hedge Funds 435 CHAPTER 21 Volatility Regimes and Hedge Fund Management 437 Mark Anson, Ho Ho, and Kurt W. Silberstein CHAPTER 22 Does Extreme Risk Affect the Fund of Hedge Funds Composition? 453 Laurent Favre Contents ix ftoc_gregoriou.qxd 6/23/05 2:59 PM Page ix
  12. 12. CHAPTER 23 A Hedge Fund Investor’s Guide to Understanding Managed Futures 473 Hilary F. Till and Joseph Eagleeye CHAPTER 24 Fat-Tail Risk in Portfolios of Hedge Funds and Traditional Investments 491 Jean-François Bacmann and Gregor Gawron CHAPTER 25 Skewing Your Diversification 515 Mark S. Shore CHAPTER 26 Investa