Managing Risk in Alternative Investment Strategies:Successful Investing in Hedge Funds and Managed Futures

Reihe
Financial Times
Autor
Lars Jaeger
Verlag
FT Prentice Hall
Einband
Hardcover
Auflage
1
Sprache
Englisch
Seiten
306
Erschienen
Mai 2002
ISBN13
9780273656982
ISBN
0273656988


Produktdetail

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Description

Alternative Investment Strategies, such as hedge funds, can enhance returns and reduce risk of a global investment portfolio. However, managing their 'risk dimension' is critical to success.

Managing Risk in Alternative Investment Strategies

provides insight into the latest thinking about hedge funds and hedge fund risk management, elaborating on ways to approach some of the main problems and obstacles of this new investment class.

Table of Contents

 Chapter 1. Introduction

  • The evolution of hedge funds and managed futures
  • The traditional "black box" approach to hedge funds
  • Examples of investment disasters (eg LTCM)
  • Alternative investment strategies in the global portfolio
  • Increasing investor demand for transparency and liquidity
  • Fund of funds
  • The need for sophisticated risk management for AIS
 Chapter 2. The Universe of Alternative Investment Strategies
  • The universe ("map") of alternative investments
  • Hedge funds
  • Managed futures
  • Description of the individual strategy sectors (risk-return profiles)
  • The benefits of alternative investment strategies
  • The risks of alternative investment strategies
  • The risk premium in AIS
  • The Fund of Funds approach: asset allocation in a multi-manager fund
 Chapter 3. The Principles of Modern Risk Management in Financial Markets
  • Short history of risk management for financial markets
  • Market risk, credit risk, operational risk, and liquidity
  • How to measure risk
  • Analytical tools in risk management
  • Best practices in today's risk management
 Chapter 4. Risk from the Investor's Point of View
  • Process risk: selection of the right investment strategy
  • Transparency and liquidity
  • Data risk and performance measurement risk
  • The risks for the investor: underperformance, loss of capital, fraud
  • Qualitative and quantitative risk of AIS
 Chapter 5. The Risk Profiles of Different Strategy Sectors
  • Classification of strategy sectors in terms of inherent risk types
  • Quantification of risk for each strategy, "risk benchmarks"
  • Leverage
  • Transparency and liquidity
  • Correlations and diversification within fund of funds
 Chapter 6. Active Risk Management in a Multi-Manager Portfolio
  • The role of the fund of funds manager
  • The role of transparency and disclosure
  • Risk measurement versus risk management
  • Integrating risk management into asset allocation: the three dimensions of risk management in AIS portfolios
  • The sector allocation process: diversification as the key principle
  • Manager selection: the due diligence process, understanding the strategy
  • "Post investment risk management": monitoring, risk measuring and management
  • Current practices and developments in risk management of fund of funds
  • The role of technology in risk management
 Chapter 7. Risk Measurement/Management Systems in Practice
  • Tools available in the market (RiskMetrics, Algorithmics, etc)
 Chapter 8. Conclusion and Outlook     

Back Cover

"Lars Jaeger is to be congratulated for taking the mystique out of alternative investment strategies and putting sound risk management methodology into its place. I am convinced that this book will become the prime reference on AIS for many years to come."

Paul Embrechts, Professor of Insurance Mathematics, ETH Zurich

"More and more investment professionals see alternative investment strategies as a new paradigm in asset management. However, press coverage suggests that the hedge funds bubble has not yet burst. The hedge fund area has traditionally been shrouded in myth and misrepresentation. Managing Risk in Alternative Investment Strategies provides what is desperately needed: transparency."

Alexander M. Ineichen, CFA, Managing Director, UBS Warburg, London

"The hedge fund industry is attracting more and more interest after the disappointing performance of financial markets. Lars Jaeger's book clearly and concisely presents the issues and sheds much needed light on this industry. His rigorous description of the most advanced risk management techniques and their application to the hedge funds makes it an indispensable tool for professional investors who want to venture in this field."

Dr. Michel M. Dacorogna, Manager Financial Analysis and Risk Modeling, Converium Ltd

"Risk management and transparency have become key issues for portfolio managers and investors interested in alternative investment strategies. Lars Jaeger finally gives a much needed, clear and practical, treatment on risk management principles for hedge funds and managed futures. This book is a must read for anyone interested in this rapidly growing investment area"

Dr. Dan Rosen, VP Research and New Solutions, Algorithmics

 

Alternative Investment Strategies, such as hedge funds, can enhance returns and reduce risk of a global investment portfolio. However, managing their 'risk dimension' is critical to success.

Managing Risk in Alternative Investment Strategies

provides insight into the latest thinking about hedge funds and hedge fund risk management, elaborating on ways to approach some of the main problems and obstacles of this new investment class.

Author

Lars Jaeger

is a Partner of Partners Group, one of the largest European alternative asset managers, based in Zug, Switzerland. He was a Managing Director and Co-founder of saisGroup, a Swiss based specialist firm for multi-manager AIS portfolios, which merged with Partners Group in late 2001, and is now responsible for risk management of the diverse AIS investment products of Partners Group.

Lars Jaeger holds a PhD in theoretical physics from the Max-Planck Institute in Germany and worked as a researcher in different areas of theoretical physics (quantum field theory, atomic physics, and chaos theory).

Lars worked for two years at Olsen and Associates in Zurich as a quantitative researcher, where he designed econometric and mathematical models for financial markets (systematic trading models, portfolio and risk management).

He subsequently worked at Credit Suisse Asset Management, where he was responsible for risk management and quantitative analysis of Hedge Fund and Managed Futures strategies.

Reader Review(s)

"Lars Jaeger is to be congratulated for taking the mystique out of alternative investment strategies and putting sound risk management methodology into its place. I am convinced that this book will become the prime reference on AIS for many years to come."

Paul Embrechts, Professor of Insurance Mathematics, ETH Zurich

"More and more investment professionals see alternative investment strategies as a new paradigm in asset management. However, press coverage suggests that the hedge funds bubble has not yet burst. The hedge fund area has traditionally been shrouded in myth and misrepresentation. Managing Risk in Alternative Investment Strategies provides what is desperately needed: transparency."

Alexander M. Ineichen, CFA, Managing Director, UBS Warburg, London

"The hedge fund industry is attracting more and more interest after the disappointing performance of financial markets. Lars Jaeger's book clearly and concisely presents the issues and sheds much needed light on this industry. His rigorous description of the most advanced risk management techniques and their application to the hedge funds makes it an indispensable tool for professional investors who want to venture in this field."

Dr. Michel M. Dacorogna, Manager Financial Analysis and Risk Modeling, Converium Ltd

"Risk management and transparency have become key issues for portfolio managers and investors interested in alternative investment strategies. Lars Jaeger finally gives a much needed, clear and practical, treatment on risk management principles for hedge funds and managed futures. This book is a must read for anyone interested in this rapidly growing investment area"

Dr. Dan Rosen, VP Research and New Solutions, Algorithmics

"Mr. Jaeger has put a lot of time and thought into writing a primer onhedge funds that offers useful information for investors. "

P Barr, Hedgeworld.com