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Hedge Funds: Structure, Strategies, and Performance

H. Kent Baker and Greg Filbeck

Abstract

This book provides an objective look into the complicated and rapidly changing world of hedge funds. The book does not attempt to promote hedge funds as an asset class but instead provides a synthesis of the theoretical and empirical literature on hedge funds. By providing objective evidence, the book dispels some common misconceptions about hedge funds involving their volatility and use of derivatives and leverage. The book examines hedge funds and provides important insights about such topics as their structure and how they work, hedge fund strategies, performance and measurement, and trends ... More

Keywords: hedge fund, hedge fund structure, hedge fund strategy, hedge fund performance, leverage

Bibliographic Information

Print publication date: 2017 Print ISBN-13: 9780190607371
Published to Oxford Scholarship Online: August 2017 DOI:10.1093/oso/9780190607371.001.0001

Authors

Affiliations are at time of print publication.

H. Kent Baker, editor
University Professor of Finance, Kogod School of Business, American University, Washington, DC

Greg Filbeck, editor
Samuel P. Black III Professor of Finance and Risk Management and Associate Director, Black School of Business, Pennsylvania State-Erie

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Contents

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Part One Introduction

1 Hedge Funds Fundamentals

H. Kent Baker and Greg Filbeck

2 The Economics of Hedge Funds

Shantanu Dutta, Arup Ganguly and Lin Ge

3 The Life Cycle of Hedge Funds

Mila Getmansky Sherman and Rachel (Kyungyeon) Koh

4 Characteristics of Successful Hedge Fund Managers

Ashrafee T. Hossain, Samir Saadi and Maxim Treff

Part Two The Structure of Hedge Funds

5 Hedge Fund Organization

Douglas Cumming, Na Dai and Sofia Johan

6 Hedge Fund Governance

Lamia Chourou, Ashrafee T. Hossain and Samir Saadi

7 Activist Hedge Funds

Tony Calenda, Christopher Milliken and Andrew C. Spieler

8 The Tax Framework of Hedge Funds

François-Serge Lhabitant and Michel Brocard

9 Compensation and Incentives in Hedge Funds

Garrett C. C. Smith and Gaurav Gupta

10 Offshore Hedge Funds

Roberto J. Santillán-Salgado and Juan José García-Santos

Part Three Investment Strategies of Hedge Funds

11 Directional Equity Strategies of Hedge Funds

Oreste Auleta and Filippo Stefanini

12 Event-Driven Hedge Fund Strategies

Caroline Farrelly and François-Serge Lhabitant

13 Global Derivatives Hedge Fund Strategies

Christopher J. Barnes, Ehsan Nikbakht and Andrew C. Spieler

14 Relative Value Hedge Fund Strategies

George Dikanarov, Joseph McBride and Andrew C. Spieler

15 Multistrategy Hedge Funds

Paul-Henri Bayart-De-Germont and Daniel Capocci

Part Four Risks and Regulation

17 Hedge Funds and Systemic Risk

Wulf A. Kaal and Timothy A. Krause

18 Operational Risk Management for Hedge Funds

Claus Huber and Daniel Imfeld

19 Hedge Fund Due Diligence

Jason Scharfman

20 Hedge Fund Regulation

Wulf A. Kaal and Dale A. Oesterle

Part Five Hedge Fund Performance

21 Issues in Hedge Fund Research

Thuy Bui and Abhishek Ganguly

22 Hedge Fund Pricing

David Hampton

24 Financial Crises and Evaporating Diversification Benefits of Hedge Funds

Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon

25 Hedge Fund Replication

Mikhail Tupitsyn and Paul Lajbcygier

27 Benchmarking and Bias in Hedge Funds

Jeffrey S. Smith, Kenneth Small and Phillip Njoroge

28 Style Analysis and Consistency

William R. McCumber and Jyotsaana Parajuli

Part Six Issues, Trends, and Future Prospects of Hedge Funds