Evaluating Hedge Fund Performance by VinhÿQ. Tran

Evaluating Hedge Fund Performance by VinhÿQ. Tran
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Evaluating Hedge Fund Performance

by VinhÿQ. Tran, Thomas Schneeweis (Foreword by)


Adobe E-Book

April 2006

A comprehensive look at hedge fund performance issues In Evaluating Hedge Fund Performance, Dr. Vinh Tran gives readers the information they need to construct an efficient hedge fund portfolio based on their own level of knowledge. From evaluating hedge funds to picking the winners, Dr. Tran covers some of the most important issues related to this flexible investment vehicle. Evaluating Hedge Fund Performance takes the standard hedge fund book to a new level by detailing how to manage the risk of hedge funds and offering the best methods to evaluate and monitor hedge funds. With strategy based on interviews and data from experts in the field, this book is a must-read for any investor or manager who is investing in hedge funds.


Dr. Vinh Q. Tran is a Senior Vice President in Global Wealth and Investment Management at Bank of America. He has over twenty years of experience in managing fixed income, relative value, global macro, and long/short equity strategies. he has advised institutional investors, funds of hedge funds, and high-net-worth individual investors in hedge fund investing and asset allocation strategies. Dr. Tran has also taught portfolio theory and quantitative methods as an adjunct professor of finance at New York University's Stern School of Business and Fairfield University. Author of Foreign Exchange Management in Multinational Firms, Dr. Tan has a PhD and an MBA in finance from the George Washington University, and a BA in accounting and a BS in political science from the University of Dalat in Vietnam.


Foreword by Thomas Schneeweis. Acknowledgments.

Introduction by David Brown.


Chapter 1. The Market Goes up Forever? Or The Paradox of Long-Term Investing.

The Flaws of Long-Term Investing.

The Wealth Reducing Effects of Volatility.

¡°Pure¡± Equity Risk is Unacceptable.

Diversification to Reduce Risks.

Long-Term Investing with Low Correlated 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.


Chapter 4. The Skewed Statistics of Hedge Fund Retur.

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.

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 ¨C The Good and the Poor.

Chapter 6. Picking the Winners.

Sourcing Hedge Funds.

Preliminary Screening.

Strategy Alpha.

Alpha Generation and Manager Talent.

Due Diligence.

The Risk and Performance Matrix.

Chapter 7. Constructing a Hedge Fund Portfolio.

Effective Diversification to Reduce Risks.

How Much in Hedge Funds?

How Many Hedge Funds?

Know Your Objectives.

Hedge Fund Portfolios in Practice: Case Examples.

Quantify Your Judgment.


Chapter 8. Evaluating The Performance of Your Hedge Funds.

How Well is Your Hedge Fund Portfolio?

Basic Concepts of Performance Measurement.

Issues Directly Related to Hedge Funds.

Market and Hedge Fund Indices.

Know Your Managers or Key Drivers of Returns.

Performance Benchmarks in Practice.

Evaluating Performance: A Heuristic Process.

Chapter 9. Buyers Beware: Evaluating and Managing the Many Facets of the Risks of Hedge Funds.

The Many Facets of Hedge Funds¡¯ Risks.

Investment Risks: Ongoing Focus.

Evaluating the Risks of Your Hedge Funds.

¡°Fat Tail¡± Risks and Other Quantities.

Ongoing Risk Management: The Risk and Performance Matrix.

Chapter 10. Instant Diversification: Funds of Funds.

Diversification Benefits of Funds of Funds.

Fees and the Price of Access.

Reduced Liquidity.

Reduced Transparency.

Generating Alpha: Portfolio Re-Balancing.

Types of Funds of Funds.

Performance of Funds of Funds.

Investing with Funds of Funds.

Chapter 11. A Practical Guide to Investing in Hedge Funds.