Hedge Funds: Quantitative Insights (The Wiley Finance Series) (Hardcover)

by François-Serge Lhabitant (Author) "While their mainstream popularity seems to be a new phenomenon, hedge funds have been around for more than 50 years..." (more)
Key Phrases: hedge fund indices, incentive fee accrual, published net asset value, Andor Technology, Monte Carlo, United States (more...)

Editorial Reviews

Product Description
This primer on the analysis of hedge funds offers investors a more quantitative understanding of this topic, providing a complete guide to portfolio techniques, asset allocation, performance measurement and product selection in the alternative investment world.

• Hedge funds are the fastest growing sector of the financial industry, and yet the least understood, by market professionals.
• Examines and popularises the results of several quantitative studies that have so far been confirmed within academic circles.
• Written by a highly regarded and impartial financial practitioner and academic, this will provide an excellent follow-on to Hedge Funds: Myths & Limits (Wiley 2002).
  

From the Inside Flap
Hedge funds are the fastest growing sector of the financial industry, and possibly the least understood. In this book, as a follow-on to Hedge Funds: Myths and Limits, the author provides a primer on the quantitative nature of these alternative investments.

Written by an author experienced as both a practitioner and academic, Hedge Funds: Quantitative Insights provides a step-by-step introduction on how quantitative tools can be applied to hedge fund investing. Divided into three parts, the book begins with coverage of the measurement of risk-adjusted returns for hedge funds. The focus is not on determining whether hedge funds outperform or under-perform traditional markets, but rather on understanding the real meaning of performance statistics used by hedge fund managers and quantitative analysts. The second part of the book examines the risk exposures of hedge funds, and subsequently, their return drivers. The final part of the book enters the field of portfolio construction and asset allocation.

Hedge Funds: Quantitative Insights is essential reading for finance practitioners, including portfolio managers, qualitative and quantitative analysts, consultants and investors - both institutional and private. It could also prove useful to students of finance who want a better understanding of what goes on in the hedge fund world.

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Product Details

• Hardcover: 354 pages
• Publisher: Wiley; 1 edition (July 23, 2004)
• Language: English
• ISBN-10: 047085667X
• ISBN-13: 978-0470856673
• Product Dimensions: 9.7 x 6.9 x 1.1 inches
• Shipping Weight: 1.8 pounds (View shipping rates and policies)
• Average Customer Review: 3.7 out of 5 stars See all reviews (3 customer reviews)
• Amazon.com Sales Rank: #33,902 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

4 of 4 people found the following review helpful:

4.0 out of 5 stars A solid quantitative starting point, April 28, 2008

By	P. McFawn (Orange County, CA) - See all my reviews (REAL NAME)

If you come from a background of very limited knowledge about hedge funds, this book is a great first step. I had to read and study this book for my CAIA Level-1 exam.

The book covers a lot of MBA-level finance concepts and applies them to the fairly new world of hedge funds. It begins with risk and return statistics and continues on with covariance, correlation, and regression analysis. It delves into databases, indexes, and benchmarks, which is a pretty new concept in alternative assets, as well as style and cluster classification. It also considers hedge funds from a diversified portfolio perspective and deals a lot with risk budgeting and risk management.

It's a solid book and it a good first step if you're interested in the quantitative side of funds. The quantitative insights aren't that new for a student of finance, but they are taught from the perspective of applying them to the management of a fund. I would recommend this book to those who aren't already well-versed in finance and are interested in the basics of hedge funds.

4.0 out of 5 stars Exhaustive and extensive, May 29, 2009

By	Ev Nucci "Ev Nucci" (Blue Bell, PA United States) - See all my reviews

Lhabitant positions this as an introduction to quantitative techniques. As Mark Anson notes in his foreword, it is a difficult, near impossible task to make this easy...and Francois does his best.

If you are outside the industry (a non-financial person trying to learn about hedge funds) I would suggest you start out with something easier like, Hedge Funds for Dummies, otherwise you'll be in way over your head. This is not a book that will give you the basics about hedge funds. This is a book for people who want to obtain their CAIA, finance MBAs, or people in the industry.

6 of 12 people found the following review helpful:

3.0 out of 5 stars A bit disappointing, October 15, 2006

By	A. Pamplona "statistically (un)significant" (Lisbon, PT Europe) - See all my reviews (REAL NAME)

Honestly I was surprised to see the book is founded on the mainstream economic theory when the hedge fund industry itself is an idealization of alternative thesis. There is no quantitative insight whatsoever into the hedge fund strategies there, even though the author does provide useful information for anyone interested in understanding the bits of this secretive industry. In my humble opinion, the book should have moved beyond those generic topics to how the quantitative models are derived and which fields of knowledge are assisting in that endeavour, ie quantum mechanics, chaos theory, etc. Instead of those interesting insights, I got a recap of what a MBA student learns in her first semester in finance class, coupled with some considerations about how to put upon the microsope the hedge fund historical data.

Notwithstanding all this, I am still confortable with 3 stars here because the area is still a black box and certainly is not easy to write a book on the topic without falling into the trap of vagueness since eventually all successful funds have tight non disclosure agreements with their R&D staff to prevent leaks. At the end, the public is only informed of those strategies and insights have lead to disaster in hedge fund collapse, ie LTCM in 98 while the sucessful quantitivative insights are kept secret at least until they prove unsuccessful.