Ce fichier reprend l\'index de la seconde édition du livre "Introduction aux Hedge Funds" de Daniel Capocci, paru chez Economica en avril 2010.

1. Index
A B
Accredited investor, 433 Bacon Louis, 69
Active trading, 132 Barclays Group, 76, 388, 465
Activisme, 156, 212, 213, 216, 220 Basis trading, 174
Administrateur, 92, 104 Benchmark, Voir Hurdle rate
AIM, 144, 239 Bermudes, 32, 453
Aircraft leasing, 282, 283 Biais, 389
Alpha, 157, 159 • de survie, 389, 390, 391, 392
Alternative Investment • d’histoire instantannée, 393
Management Association Black et Scholes, 196
(AIMA), 17, 137, 511 Board of directors, 92
American Depositary Receipts Brady bonds, 302
(ADR), 304 Brevan Howard, 72
American Exchange (AMEX), 239 Business Week, 70, 71, 72
Approche multi-série, 123, 124
Arbitrage, 154, 196 C
• de volatilité, 263, 264, 268
• d’options, 372, 373 Canada, 39
AsiaHedge, 53 Capital structure arbitrage, 204,
Asset backed, 190, 191, 192 254, 323
Asset based lending, 30, 97, 155, Carry trade, 340
156, 274, 275, 276, 277, 278, 279, CASAM CISDM, 76, 77, 78, 80,
281, 282, 283, 284, 285, 286, 290, 388
291, 292, 400, 416 Caxton, 70
Asset based securities, 185, 274 Center for International Securities
Auditeur, 92 and Derivatives Market, 18
Auto loans, 281, 282 Cerberus, 72
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2. 534 Introduction aux hedge funds
Chartered Alternative Investment Diversified, 156
Analyst Association (CAIA), Dollars neutral, 160
509, 511 Due diligence, 96, 271, 357, 360, 364
Closed-end fund arbitrage, 30, 156,
259, 260 E
Cohen Steve, 70
Effet de levier, 126
Collateralized mortgage
Égalisation, 122, 123
obligations, 186 Electricity trading, 370
Comité de Bâle, 102 Emerging markets, 29, 156, 300,
Commercial mortgage backed, 185 302, 306, 308, 309, 310, 312, 313,
Commission, 116 400, 416, 418, 496
• de gestion, 116, 117, 118, 119, Entertainment finance, 282, 283
121, 135 Equity hedge, 293, 295, 299, 300,
• de performance, 116, 117, 118, 404, 416, 421
120, 121, 122, 123, 135, 142 Equity market neutral, 29, 154, 155,
Commission Bancaire 156, 157, 158, 162, 163, 164, 170,
et Financière (CBF), 108 171, 172, 296, 400, 415, 416, 424
Commission de surveillance Equity non-hedge, 29, 295, 296, 331
du secteur financier, 440 Eurekahedge, 76, 77, 79, 80, 388,
Commodity Futures Trading 436, 512
Commission, 432, 452, 463 Europe, 40
Commodity trading advisors, 156, Event driven, 28, 29, 154, 156, 207,
344, 346, 347, 348, 349, 350, 351, 208, 209, 221, 222, 224, 227, 314,
412, 414 342, 412, 416, 421
Compliance, 104, 361, 495 Exposition
Consumer finance, 281 • brute, 127, 128, 130, 131
Contrarian, 347, 348 • nette, 127, 128, 130, 131
Convertible arbitrage, 29, 156, 193,
194, 196, 198, 199, 200, 203, 204, F
254, 373, 404, 424
Corporate direct, 279, 280 Faillite, 207, 231, 234, 240
CPPI, 146, 148 Falcone Philip, 486
Credit default swap, 174, 204, 327, Fannie Mae, 187, 488
330 Federal Home Loan Mortgage
Credit Suisse/Tremont, 76, 77, 80 Corporation (FHLMC), 184, 483
Federal National Mortgage
Curve trades, 174
Association (FNMA), 184, 187,
483, 488
D
Feinberg Stephen, 72
Date de liquidité, 112, 114 Financement d’assurance-vie, 280,
DAX, 264 281, 283, 289
Delta, 195, 384 Financement de croissance, 283
Developed markets, 156 Financement de stock, 278
Distressed securities, 29, 155, 156, Financement immobilier, 283, 287
208, 229, 231, 234, 236, 238, 416, Financial Service Authority (FSA),
424 108, 436
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3. Index 535
Fitch IBCA, 177 High watermark, 13, 119, 120, 121,
Fixed income, 29 122, 133
• arbitrage, 154, 156, 173, 174, High yield, 156, 322, 324
176, 178, 182, 254, 459 Holdback, 113, 114, 115, 359
• asset backed, 415, 416 Hong Kong, 49, 52, 53
• convertible arbitrage, 416 Howard Alan, 72
• relative value, 181 Hurdle rate, 119, 120, 121, 122
Fonds de fonds, 156, 354, 355, 356,
361, 362, 363, 364, 365, 366, 367, I
394, 416
Fortune, 13, 21, 22 Îles Caymans, 32, 446, 453, 454
FSA, 108, 436 Îles Vierges Britanniques, 446, 453,
Fusions et acquisitions, 207, 208, 455
222, 224, 227 Indices investissables, 148, 149, 150,
Futures, 20 151
Investisseurs institutionnels, 107,
G 108
Investisseurs types, 105
Gamma, 199, 202, 385 Investment manager exemption, 44
Gate, 112, 113, 114
General partnership, 22
J
Ginnie Mae, Voir Global National
Mortgage Association Jones Alfred W., 21, 64, 66, 293, 295
Global National Mortgage
Association (GNMA), 184
K
Greenwich Alternative, 77, 79, 80
Kovner Bruce, 70
H
Hedge fund(s), 19 L
• américains, 38 Lehman Brothers, 101
• asiatiques, 48 Leverage buyout, 211
• d’Amérique latine, 57 Leveraged Capital Holdings, 24
• d’Europe de l’Est, 55 Levier, 127, 133, 134, 186
• en Australie, 53 Levier financier, 20
• européens, 41 Limited liability company, 432
Hedge Fund Association, 18, 513 Limited partnership, 22, 23, 432,
Hedgefund.net, 77, 79, 80, 290, 512 433, 454
Hedge Fund Research, Inc., 18, 77, Lipper Tass, 513
80, 82, 150, 170, 180, 203, 205, Liquidity date, 113
221, 223, 228, 230, 236, 238, 251, Lock-up period, 111, 112, 113, 114,
253, 272, 291, 292, 300, 301, 308, 133
309, 311, 312, 318, 321, 325, 326, Long only (leveraged), 156
336, 337, 338, 344, 345, 352, 353, Long/short equity, 29, 155, 157, 158,
366, 367, 369, 383, 388, 397, 502, 159, 161, 174, 293, 294, 295, 296,
512 297, 301, 304, 306, 314, 332
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4. 536 Introduction aux hedge funds
Long Term Capital Fund, 177, 458 O
Long Term Capital Management
Obligations convertibles, 20
(LTCM), 13, 16, 108, 432, 434,
Obligations hypothécaires
457, 460, 461, 462, 463, 465, 466,
(mortgage backed securities),
467
182, 187
Loomis J. Carol, 22, 23
Obligations sur catastrophes, 206
Offshore, 32, 33, 58, 59, 88, 100, 111,
M
436, 446, 452, 453, 454, 456, 494
Mac Freddie, Voir Federal Home Onshore, 58, 59, 60, 88
Loan Mortgage Corporation Option arbitrage, 156
(FHLMC)
Macro, 28, 155, 156, 338, 339, 340, P
342, 343, 344, 412, 416
Pair trading, 254, 323
Maddoff Bernard, 489, 505
Paulson John, 68, 486
Mae Fannie, Voir Federal National
Paulson Advantage Plus, 68
Mortgage Association
Preferred return, Voir Hurdle rate
Malta Financial Service Authority,
Prêts aux entreprises, 283
45
Prime broker, 90, 91, 104, 124, 125,
Managed Funds Association, 513
443
Managed futures, 344
Private equity, 137, 138, 155, 212,
Market neutral, 412
274
Merger arbitrage, 222, 224, 228, 229,
Private Investment in Public
254, 416
Entities (PIPE), 30, 79, 97, 155,
Meriwether W., 460
156, 237, 239, 240, 241, 242, 243,
MLP, 30, 379
244, 246, 247, 248, 250, 251, 252,
Moody’s, 177, 380, 475
283
Moore Capital Management, 69
Private issue/regulation D, 416
Morgan Stanley Capital
International, 76
Q
Mortgage-backed securities, 156,
185, 186, 187 Qualified purchaser, 433
MSCI World, 472 Quantum, 28, 64, 343, 458
Multi-strategy, 154, 155, 156, 254,
268, 269, 271, 272, 274, 354, 361, R
416
Rabais, 239, 244, 248, 249
Real Estate Investment Trust
N
(REIT), 201, 317, 333, 379
NASDAQ, 239, 248 Regulation D, 155, 242, 253, 254
Neutralité, 159 Relative value, 156, 174, 233, 252,
Neutre en bêta, 159 254, 259, 327, 377, 404, 416
Neutre en dollars, 159, 165 Réplication, 144, 450
New York Post, 71 Rhô, 385
New York Stock Exchange, 239, 256 Risk arbitrage, 29, 155, 156, 208,
New York Times, 24, 68, 70 222, 225, 227, 228, 229
Niche, 156 Risque, 93
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5. Index 537
• de contrepartie, 100 Stratégies, 254
• de défaut, 101 • directionnelles, 38, 43, 156
• de gérant, 95 • intermédiaires, 38, 43
• de liquidité, 101 • non directionnelles, 38, 43, 156
• de modèle, 94 Stub trading, 206, 256
• de valorisation, 97 Subprime, 477, 478, 480, 482, 484,
• d’industrie, 95 485, 486, 488, 489
• d’infrastructure, 100 Swaps, 20
• d’investissement, 93 Swaptions, 20
• gouvernemental, 100 SwissHEDGE, 512
• opérationnel, 102, 103, 108
Robertson Julian, 28, 64, 65, 343, T
458 TASS, 388
Russell 2000, 350, 351 Taux de mortalité, 136, 412
Russell 3000, 350 Thêta, 385
Tiger Management, 28, 66, 343, 458
S Top-down, 338
SAC Capital Advisors, 70 Trade finance, 279, 283, 286, 287
Trading de corrélation, 327, 330
Sector, 29, 156, 314, 318, 319, 416
Tremont TASS, 79, 390
Securities and Exchange
Trend following, 346, 347, 348
Commission (SEC), 24, 25, 67,
Trend reversal, 347, 348
108, 133, 240, 323, 357, 432, 452,
Tudor Investment Corporation, 69
460, 495
Tudor Jones II Paul, 69
Short bias, 335, 336, 416
Two and twenty, 116
Short selling, 156, 330, 332, 335
Short term trader, 156, 349 V
Singapour, 49, 52, 53
Soros Georges, 28, 64, 343, 458 Van Hedge Fund Advisors, 25, 79,
S&P 500, 264, 270, 472, 502 133, 134
Special situations, 155, 156, 208, 211 VaR, 96, 97
Spread trades, 173 Véga, 385
Standard and Poor’s, 76, 177, 380, Vente à découvert, 124, 125, 126
475 Volatility arbitrage, 156, 263
Statistical arbitrage, 154, 155, 156,
162, 170, 254 W
Steinhardt Michael, 64, 67 Wall Street Journal, 13, 70
Stop loss, 71, 163, 198 Warrants, 20
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6. 3422_13_Index.indd 538 12/04/10 9:10:13