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The Risks of Portfolios of Hedge Funds对冲基金的投资组合的风险.ppt
The Risks of Portfolios of Hedge Funds Drago Indjic Fauchier Partners Hedge fund industry Investment strategies Investor’s perspective Data, Transparency and Estimation Risks Hedge fund risk Portfolios of Hedge funds(Any HF investors or FoHF in the audience?) Unregulated private placements (e.g.) A pooled investment vehicle that is privately organised, administered by professional investment managers, and not widely available to the public “Extralegality” (de Soto) = Frontier Creativity Less restrictive liquidity, borrowing, derivatives … (taxation) Creative investment strategies – efficient capital utilisation Perpetual innovation ? inefficiencies Consider only hedged (off-shore) funds The most dynamic sector of asset management today Decreasing sell side research coverage; Higher servicing profitability Regulators “lagging” SEC: May 14/15 – “raising bar”? Sustained growth Highly creative and talented manager’s end game: “personal” styles Owner/Manager mentality Self-Regulation by adapting capacity, liquidity, fees Tass Asset Flows Report? 4Q2002 3493 total -1337 “dead”=2156 “live” funds HFR 2002 Industry Report: 4598 funds (exc. FoF) (AUM most probably underestimated) Contra: HF are “alternative investment strategies”: too heterogeneous, dynamic, evolving, with no brands Pro: Absolute returns paradigm, Ineichen (2002) Specific liquidity (“mark-to-market”) and drawdown preferences Very different sources of α, uncorrelated, –ve β, better ? … ran by non-consensus thinkers in small enterprises Hedge Fund (HF) “Indexes” Composites of actively managed portfolio returns Over a dozen commercial indices Investible? Transparent? Capacity? No independent verification Enforcing “relative” rather than “absolute” return viewpoint Evolving strategies E.g. Quantitative credit arb, macro equilibrium models Many styles within strategy (inc. different fund of funds styles) “Strategy drift” detection AIMA S
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