Managing Hedge Fund Managers: Quantitative & Qualitative Performance Measures | by E. J. Stavetski | 2009 | ISBN: 9780470197592. Investment Books. Hedge Fund Investing. Risk in Hedge Funds. Hedge Fund Manager Due Diligence Questionnaire. Guidelines for Selection of Equity Investments
Managing Hedge Fund Managers: Quantitative & Qualitative Performance Measures
by E. J. Stavetski
2009 (258 pages)
ISBN:9780470197592
Offering readers detailed case studies of hedge funds, as well as a road map to monitor their investments, this book provides the quantitative and qualitative measures and analysis needed to allocate and monitor client’s assets properly.
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Managing Hedge Fund Managers—Quantitative & Qualitative Performance Measures
Preface
Overview
Highlights of the Book
The Art and Science of Hedge Fund Investing—Are You Precisely Wrong or Approximately Correct?
The Explosion of Hedge Funds
What Are Hedge Funds?
Finding a Comfort Zone
A Look beneath the (Book) Covers
As You Begin
Madoff
Notes
Chapter 1 – Asset Allocation and Fiduciary Duty
Overview
Determinants of Portfolio Performance
Why Alternate Investments?
A Closer Look at Hedge Fund Structures
The Rise of Socially Responsible Investing
Fiduciary Responsibility
Where Do I Start?
Chapter 2 – Large versus Small Funds
Overview
Research Confirms Small Fund Advantage
Performance of New Small Funds
Attrition Rates
Drivers of Outperformance
Invested Interests
Aligned Interests
Point of Diminishing Returns
Master of Trend line Analysis
Chapter 3 – The Search for an Honest Man
Overview
Prime Brokers
Conferences and Industry Events
Industry Publications
Incubators and Platforms
Industry Web Sites and Databases
Building Your Own Database
Unconventional Sources
Six Steps to Kevin Bacon
Sizing up the Flock
What’s in the DDQ?
Summary
Chapter 4 – Performance Analysis
Overview
The First Step: Understand What Is Being Measured
Two Sides to Hedge Fund Performance: Long and Short
Performance Standards
Check the Entry
Finding a Benchmark
Peer Analysis
Confusion from the Best and the Brightest?
A Practitioner’s View
Examine the Bad
Examine the Good
Expect the Improbable
I Surrender
Chapter 5 – Risk in Hedge Funds
Overview
Major Risk Categories
Liquidity Risk
High Watermark Risk
Concentration Risk
Operational Risk
Liquidity Mismatch Risk
Transparency Risk
Risk Process
Leverage Risk
Short Selling Risk
Reputation Risk
Submerged Risk
Counterparty Risk
Market Risk
Credit Risk
Model Risk
Complexity Risk
Key Person Risk
Sensitivity to Assumptions Risk
NAV Instability Risk
Derivatives Risk
Summary
Notes
Chapter 6 – You Only Find Out Who Is Swimming Naked When the Tide Goes Out
Filling out the DDQ
Form ADV Part II
Fund Brochures and Documents
Planning the On-Site Visit
Summary
Chapter 7 – Let the Games Begin
Overview
The Process
Examining the Organization
Preparing for the On-Site Visit
Preparing the Final Evaluation
In Conclusion
Chapter 8 – Getting Ready Is the Secret of Success
Overview
Top-Down Strategy Analysis
Bottom-Up Manager Analysis
Test or Model the Portfolio
Portfolio Optimization
Summary
Chapter 9 – Navigating Buyers’ Remorse
Overview
Long Term Capital Management: Poor Diversification and High Leverage Are a Dangerous Combination
Bayou Group, LLC: Due Diligence Is a Must
Wood River Capital Management: A Lack of Experience and Auditing
MotherRock: The Liquidity Squeeze in a Small Market Will End Badly When Volatility Increases
Amaranth: Liquidity and Concentrated Portfolios Can Drag a Fund Down as the Trend of Any Trade Eventually Reverses
Recent Events: Ospraie Fund
Your Final Exam
Applying Your Education
The Importance of Second Acts
Chapter 10 – Monitoring Your Flock
Overview
Everyone’s Favorite Metric: Performance
Portfolio Exposures
Performance Trends
Peer Group Analysis
Strategy Reviews
Fund Size and Performance Impact
Management and Personnel Reviews
Third-Party Vendors
Regulatory and Legal Risk
Business Continuity Risk
A Final Word on Monitoring
Appendix A – Sample Investment Policy Statement
I. Statement of Investment Objectives
II. Asset Allocation and Rebalancing
III. Guidelines for the Selection of Fixed-Income Securities
IV. Guidelines for Selection of Equity Investments
V. Standards of Performance
VI. Selection of Managers
VII. Responsibilities of Managers
Notes
Appendix B – Sample ADV Part II with ADV Schedule F
Overview
Notes
Appendix C – Hedge Fund Manager Due Diligence Questionnaire
Overview
I. Background
II. Investment Process, Strategy, and Philosophy
III. Business Plans
IV. Manager Selection and Research
V.??ManagerMonitoringandRiskManagement
VI. Performance and Fees
VII. Compliance and Client Reporting
VIII. Personnel
IX. Operations and Administration
X. Taxes
XI. Performance (See Appendix 6)
Attachments
Appendix D – U.S. Equity Long/Short Managers
A. Organization
B. Investment Professionals (Product Specific)
C. Investment Philosophy and Process
D. Trading Process and Systems
E. Performance
F. Composite/Product Information
References
Bibliography
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