Market Neutral Investing Long / Short Hedge Fund Strategies,9781576600375

Market Neutral Investing Long / Short Hedge Fund Strategies

by
Edition: 1st
ISBN13: 9781576600375
ISBN10: 1576600378
Format: Hardcover
Pub. Date: 2000-09-01
Publisher(s): Bloomberg Press
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Summary

This is a book that looks at market-neutral strategies head on, assessing those that have worked and some notable ones that have failed - and explaining why. Clear, insightful, and illustrated with numerous charts and graphs, Market-Neutral Investing is an essential resource for professional investors.

Author Biography

Joseph G. Nicholas, JD is founder and chairman of HFR Group, LLC, which includes HFR Asset Management, LLC, a fund-of-funds management company and Hedge Fund Research, Inc., a leading supplier of hedge fund data. Author of Investing in Hedge Funds and Hedge Fund of Funds Investing, he is a frequent lecturer and media expert on topics relating to alternative investments.

Table of Contents

Acknowledgments xvii
Foreword xix
Introduction 1(4)
Investing in Relationships
5(14)
What Is Market Neutral?
5(5)
Basic Concepts
10(2)
Relationship Investing
12(1)
Understanding Market-Neutral Approaches
13(6)
Developments in the Hedge Fund Industry
19(8)
Hedge Fund Industry Assets
20(2)
Hedge Fund Investors
22(2)
Hedge Fund Strategies
24(3)
Making an Investment in Market-Neutral Strategies
27(30)
Linear Analysis of Returns
28(7)
Reducing Exposure to Risk
35(5)
Market-Neutral and Hedged Strategies
40(12)
Convertible Arbitrage
40(2)
Fixed-Income Arbitrage
42(1)
Mortgage-Backed Securities Arbitrage
43(2)
Merger Arbitrage
45(1)
Equity Hedge
46(2)
Equity Market-Neutral and Statistical Arbitrage
48(3)
Relative Value Arbitrage
51(1)
Achieving Superior Risk-Adjusted Returns
52(1)
Assessing the Risks
52(2)
Transparency
54(1)
Focusing on the Underlying Strategies
55(2)
Convertible Arbitrage
57(32)
Convertible Bond Valuation
58(8)
Statistical Advantage
58(1)
Convertible Valuation Components
59(7)
Convertible Arbitrage Approaches
66(7)
Quantitative Screens
66(1)
Kinds of Hedges
66(1)
Setting Up a Market-Neutral Hedge
67(4)
Setting up a Bullish Hedge
71(1)
Setting up a Bearish Hedge
72(1)
Risks and Risk Control
73(6)
Fundamental Analysis
73(2)
Hedge Analysis
75(1)
Portfolio Construction
76(2)
Liquidity
78(1)
Leverage
78(1)
Source of Return
79(1)
Convertible Bond Market History
80(2)
Recent Growth and Developments in Convertible Arbitrage
82(1)
Performance in Adverse Market Conditions
82(2)
Historical Examples
84(5)
Fixed-Income Arbitrage
89(30)
Fixed-Income Arbitrage Approaches
91(10)
Basis Trades
91(2)
Asset Swaps
93(1)
TED Spreads
93(3)
Yield Curve Arbitrage
96(4)
Relative Value Trades
100(1)
Risks and Risk Control
101(6)
Risks
101(4)
Measuring and Controlling Interest Rate Risk
105(2)
Sources of Return
107(3)
Financing
108(1)
Repurchase Agreements
108(1)
Technology
108(1)
Liquidity
109(1)
Events
109(1)
Manager Skill and Hard Work
110(1)
Growth and Recent Developments in Fixed-Income Arbitrage
110(9)
Mortgage-Backed Securities Arbitrage
119(26)
Mortgage-Backed Structures or Sectors (Types of MBS Instruments)
121(11)
Mortgage-Backed Securities' Evolution
121(3)
Pass-Throughs
124(1)
Basic Collateralized Mortgage Obligations (CMOs)
125(3)
CMO Tranches
128(4)
Valuation Methods
132(1)
Option-Adjusted Spreads
132(1)
Information Systems
133(1)
Risks and Risk Control
133(4)
Duration
134(1)
Effective and Partial Duration
135(1)
Parallel and Rotational Shifts of the Yield Curve
136(1)
Convexity
136(1)
Prepayment Duration
136(1)
Leverage
136(1)
Pricing
137(1)
Source of Return
137(3)
Valuation Models
138(1)
Leverage
138(1)
Liquidity
139(1)
Financing
139(1)
Hedging Techniques
139(1)
Recent Developments in MBS Arbitrage
140(5)
Merger Arbitrage
145(32)
Merger Arbitrage Approaches
148(18)
Cash Mergers or Tender Offers
148(1)
Stock Swap Mergers
148(3)
Stock Swap Mergers with a Collar
151(6)
Multiple Bidder Situations
157(5)
Leveraged Buyouts and Hostile Takeovers
162(4)
Risks
166(3)
Event Risk
166(2)
Deal Flow
168(1)
Liquidity
168(1)
Risk Control
169(1)
Diversification
169(1)
Leverage
169(1)
Source of Return
169(1)
Growth and Recent Developments in Merger Arbitrage
170(6)
Deal Flow and Other Factors Affecting Volume
171(2)
Stress Period: The Third Quarter of 1998
173(3)
Returns
176(1)
Equity Hedge
177(26)
Investment Themes and Fundamental Analysis
178(3)
Investment Themes
179(1)
Fundamental Analysis
180(1)
Equity Hedge Approaches
181(11)
Quantitative vs. Qualitative Mix
181(1)
Universe of Stocks
182(1)
Style
182(6)
Liquidity
188(1)
Net Market Exposure
189(1)
Research
190(1)
Leverage
191(1)
Risks and Risk Control
192(4)
Stock-Picking Risk
192(1)
Market Risk
193(1)
Universe of Stocks
193(1)
Diversification
194(1)
Sell Disciplines
195(1)
Leverage
195(1)
Source of Return
196(1)
Recent Growth and Developments in Equity Hedge Investing
197(6)
Equity Market-Neutral and Statistical Arbitrage
203(28)
Equity Market-Neutral Approaches
205(12)
Initial Screen: Universe of Investable Stocks
205(3)
Stock Selection
208(5)
Mean Reversion-Based Approaches
213(4)
Risks and Risk Control
217(5)
Portfolio Construction and Optimization
217(4)
Manager Styles---Putting It All Together
221(1)
Source of Return
222(1)
Recent Growth and Developments in Equity Market-Neutral Investing
223(8)
Relative Value Arbitrage
231(16)
Relative Value Arbitrage Approaches
232(9)
Convertible Arbitrage
233(1)
Merger Arbitrage
234(2)
Equity Statistical Arbitrage
236(1)
Pairs Trading
237(1)
Fixed-Income Arbitrage
237(2)
Options and Warrants Trading
239(1)
Capital Structure Arbitrage
240(1)
Regulation D (Structured Discount Convertible) Arbitrage
241(1)
Risks and Risk Control
241(2)
Strategy Mix
242(1)
Strategy Weightings
242(1)
Source of Return
243(1)
Growth and Recent Developments in Relative Value Arbitrage
243(4)
Afterword 247(2)
Glossary 249(6)
Index 255

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