Lars Jaeger

Alternative Beta Strategies an

• Gebundenes Buch

Produktbeschreibung

"It was around early 2002 when Lars Jaeger and I started exchanging ideas about distinguishing between hedge fund alphas and hedge fund betas as different sources of performance. Hitherto, most hedge fund return models were rooted in performance attribution literature. The notion of a rule-based approach to investing into a portfolio of hedge fund strategies, such as investable hedge fund indices, was not much more than a germ of an idea. Lars' seven-year journey, from embracing the concept of alternative beta to persuading the investment community that this represents an efficient avenue for achieving hedge fund-like returns, is a tour de force. This book offers the reader valuable insight into the thinking behind this landmark development in hedge fund research."

Bill Fung, Visiting Research Professor of Finance, Hedge Fund Research Centre, London Business School.

Produktdetails

• Wiley Finance Series
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 272
• Erscheinungstermin: 27. Oktober 2008
• Englisch
• Abmessung: 250mm x 175mm x 19mm
• Gewicht: 680g
• ISBN-13: 9780470754467
• ISBN-10: 047075446X
• Artikelnr.: 24423514

Autorenporträt

Lars Jaeger holds a PhD degree in theoretical physics from the Max-Planck Institute for Physics of Complex Systems, Dresden. He studied physics and philosophy at the University of Bonn, Germany, and Ã?cole Polytechnique, Paris. After his post-doctorate studies in Dresden, Lars began his finance career as a quantitative researcher on econometric and mathematical modeling of financial markets at Olsen & Associates AG in Zurich. He subsequently joined the Hedge Fund group of Credit Suisse Asset management, where he was responsible for risk management and quantitative strategy analysis. Lars is a founding partner of saisGroup, an investment firm specializing on alternative investment strategies which in 2001 merged with Partners Group, where he is now a partner heading the group â Alternative Beta Strategesâ . Lars holds the CFA charter and is a certified Financial Risk Manager (FRM). He is the author of numerous research publications and the books Risk Management of Alternative Investment Strategies, published in 2002 with Financial Times Prentice Hall, The New Generation of Risk Management for Hedge Funds and Private Equity (ed.) published by Euromoney in 2003, and Through the Alpha Smokescreen: A guide to hedge fund return sources, published by Institutional Investors (2005). Lars lives with his wife and three children near Zurich, Switzerland.

Inhaltsangabe

Preface. I. Breaking The Black Box. II. What are hedge funds, where did
they come from, and where are they going?. III. The individual hedge fund
strategies' characteristics. IV. Empirical Return and Risk Properties of
Hedge Funds. V. The drivers of hedge fund returns. VI. A first approach to
hedge fund replication - Linear Factor Models and time series replication
models. VII. The distributional approach. VIII. Bottom up: Extraction of
alternative beta and "alternative beta strategies". IX. Hedge fund
portfolio management with alternative beta strategies. X. Replication and
the Future of Hedge Funds. Bibliography.