Reconsidering Funds of Hedge Funds
Beschreibung:
A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.
Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.
Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.
- Covers recent advances in risk management, due diligence, tail risk, and allocation
- Presents an in-depth analysis of UCITs
- Balances academic and professional viewpoints
Chapter 1 After the Crisis: The Withering of the Funds of Hedge Funds Business? R. McFall Lamm, Jr.
Section 1: DUE DILIGENCE AND RISK MANAGEMENT
Chapter 2 Evaluating Trends in Fund of Hedge Fund Operational Due Diligence Jason Scharfman
Chapter 3 The Limits of UCITS for Fund of Hedge Funds Jeannine Daniel and François-Serge Lhabitant
Chapter 4 Due Diligence: Lessons from the Global Financial Crisis for Funds of Hedge Funds with Particular Emphasis on the Asia Pacific Region David Edmund Allen, Staley Roy Alford (Roy) Pearce and Robert John Powell
Chapter 5 The Use of Managed Accounts by Fund of Hedge Funds Marcus Müller and Daniel Dietrich
Chapter 6 Choice of Risk Measure in Evaluating UCITS Funds of Hedge Funds Alessandro Carretta and Gianluca Mattarocci
Section 2: UCITS PERFORMANCE
Chapter 7 UCITS Funds of Hedge funds - The New Panacea? Louis Zanolin
Chapter 8 The Return Potential of UCITS Fund of Hedge Funds: An Analysis of their Investment Universe Marcus Storr, Thomas Maier, Florian Haberfelner and Iliya Kutsarov
Chapter 9 How Geography, Flows and Size Affects the Risk-Adjusted Performance of UCITS III Fund of Hedge Funds Greg N. Gregoriou, Dieter Kaiser and Razvan Pascalau
Chapter 10 Funds of Hedge Funds vs. Do-It-Yourself Funds of UCITS Samuel Sender
Section 3: PERFORMANCE
Chapter 11 Predicting Funds of Hedge Funds Attrition Through Performance Diagnostics Philippe Cogneau, Philippe Debatty and Georges Hübner
Chapter 12 Does Fund of Hedge Fund Size Matter? Size vs. Performance Before, During and After the Crisis Jeannine Daniel and François-Serge Lhabitant
Chapter 13 Normalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis Laurent Bodson, Laurent Cavenaile and Alain Coën
Chapter 14 The Impact of the 2008 Financial Crisis on Fund of Hedge Funds Na Dai and Hany A. Shawky
Chapter 15 Forecasting Funds of Hedge Funds Performance: A Markov Regime-Switching Approach Szabolcs Blazsek
Chapter 16 A Panel Based Quantile Regression Analysis of Funds of Hedge Funds David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh
SECTION 4: FUND OF HEDGE FUND ALPHA
Chapter 17 Reward-to-Risk Ratios of Funds of Hedge Funds Yigit Atilgan, Turan G. Bali and K. Ozgur Demitras
Chapter 18 The Short-Run Performance Persistence in Funds of Hedge Funds David Ardia and Kris Boudt
Chapter 19 "Seeking Alpha": The Performance of Funds of Hedge Funds Raphaële Chappe, Christian Proaño and Willi Semmler
Chapter 20 Quantitative Insight into Management of Funds of Hedge Funds and Consequences on Fund Alpha Performance Justina Dambrauskaite, H. Haidar, Bernard Minsky and Qi Tang
Chapter 21 Selecting Top Funds of Hedge Funds Based on Alpha and Other Performance Measures Ying-Lin Hsu , Chung-Ming Kuan and Stéphane M. F. Yen
Chapter 22 Funds of Hedge Strategies and Implications for Asset Management: Is Diversification Enough? Simone Siragusa
SECTION 5: TAIL RISK
Chapter 23 The Intertemporal Relation between Tail Risk and Fund of Hedge Fund Returns Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Chapter 24 Tail Risk Protection for Funds of Hedge Funds Oliver A. Schwindler
Chapter 25 Autocorrelation, Bias and Fat Tails: An Analysis of Funds of Hedge Funds Martin Eling
Chapter 26 Crisis and Funds of Hedge Funds Tail Risk Monica Billio, Kaleab Mamo and Loriana Pelizzon
Chapter 27 Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles: Empirical Evidence from Growth and Financial Crisis Periods Wolfgang Bessler and Philipp Kurmann
Section 6: REGULATION
Chapter 28 Regulation: Threat or Opportunity for the Fund of Hedge Fund Industry? Serge Darolles and Mathieu Vaissie
Chapter 29 Funds of Hedge Funds and the Principles of Fiduciary Investing Following the Global Financial Crisis Paul U. Ali
Chapter 30 Understanding the Regulation Impact: US Fund of Hedge Funds after the Crisis David Edmund Allen, Robert John Powell and Abhay Kumar
Chapter 31 Canada and Australia: Do They Provide a Regulatory Model for Funds of Hedge Funds? David Edmund Allen, Raymond Robert Boffey and Robert John Powell
Chapter 32 South African Regulatory Reforms of Fund of Hedge Funds David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh