Evaluating Hedge Fund Performance

Contents

Foreword by Thomas Schneeweis

Acknowledgments

Introduction by David Brown

PART ONE: A Primer on Hedge Funds

CHAPTER 1: The Market Goes Up Forever?: The Paradox of Long-Term Investing

Flaws of Long-Term Investing

Wealth-Reducing Effects of Volatility

Diversification to Reduce Risks

Long-Term Investing with Low-Correlations Assets and Downside Protection

CHAPTER 2: It's the Risk, Not the Return: Using Hedge Funds to Reduce Portfolio Risks

Not Necessarily Higher Returns

Consistency of Returns

Low Correlation with the Stock Market

Portfolio Effects of Hedge Funds

Alternative Investments in Uncertain Markets

Wealth Preservation

Prospective Long-Term Returns and Risks of Stocks

CHAPTER 3: Going for the Gold: Growth and Strategies of Hedge Funds

Size of the Hedge Fund Industry

Investors in Hedge Funds

What Are Hedge Funds?

Hedge Fund Strategies

Performance of Hedge Funds

PART TWO: Evaluating and Selecting Hedge Funds

CHAPTER 4: The Skewed Statistics of Hedge Fund Returns: Past Results Are Not Necessarily Indicative of Future Performances

Perception of Risks: Numbers and Reality

Gaming the Sharpe Ratio

Alpha: Holy Grail or Wizard of Oz?

Returns of Hedge Funds Revisited

Benefits of Hedge Funds Revisited

Conclusion

CHAPTER 5: Evaluating Hedge Fund Strategies

Which Strategies?

Is It Uncorrelated, Really?

How Neutral Is Market Neutrality?

Market Risks of Hedge Fund Strategies

Leverage and Hedge Fund Returns

Low Correlations: The Good and the Poor

Conclusion

CHAPTER 6: Picking the ...