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| List of Tables | |
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| List of Figures | |
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| List of Color Plates | |
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| Acknowledgments | |
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| Introduction | |
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| Tail Risk | |
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| Nonlinear Risks | |
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| Illiquidity and Serial Correlation | |
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| Literature Review | |
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| Basic Properties of Hedge Fund Returns | |
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| CS/Tremont Indexes | |
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| Lipper TASS Data | |
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| Attrition Rates | |
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| Serial Correlation, Smoothed Returns, and Illiquidity | |
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| An Econometric Model of Smoothed Returns | |
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| Implications for Performance Statistics | |
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| Estimation of Smoothing Profiles | |
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| Smoothing-Adjusted Sharpe Ratios | |
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| Empirical Analysis of Smoothing and Illiquidity | |
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| Optimal Liquidity | |
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| Liquidity Metrics | |
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| Liquidity-Optimized Portfolios | |
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| Empirical Examples | |
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| Summary and Extensions | |
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| Hedge Fund Beta Replication | |
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| Literature Review | |
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| Two Examples | |
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| Linear Regression Analysis | |
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| Linear Clones | |
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| Summary and Extensions | |
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| A New Measure of Active Investment Management | |
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| Literature Review | |
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| The AP Decomposition | |
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| Some Analytical Examples | |
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| Implementing the AP Decomposition | |
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| An Empirical Application | |
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| Summary and Extensions | |
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| Hedge Funds and Systemic Risk | |
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| Measuring Illiquidity Risk | |
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| Hedge Fund Liquidations | |
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| Regime-Switching Models | |
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| The Current Outlook | |
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| An Integrated Hedge Fund Investment Process | |
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| Define Asset Classes by Strategy | |
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| Set Portfolio Target Expected Returns | |
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| Set Asset-Class Target Expected Returns and Risks | |
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| Estimate Asset-Class Covariance Matrix | |
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| Compute Minimum-Variance Asset Allocations | |
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| Determine Manager Allocations within Each Asset Class | |
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| Monitor Performance and Risk Budgets | |
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| The Final Specification | |
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| Risk Limits and Risk Capital | |
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| Summary and Extensions | |
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| Practical Considerations | |
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| Risk Management as a Source of Alpha | |
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| Risk Preferences | |
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| Hedge Funds and the Efficient Markets Hypothesis | |
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| Regulating Hedge Funds | |
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| What Happened to the Quants in August 2007? | |
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| Terminology | |
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| Anatomy of a Long/Short Equity Strategy | |
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| What Happened in August 2007? | |
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| Comparing August 2007 with August 1998 | |
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| Total Assets, Expected Returns, and Leverage | |
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| The Unwind Hypothesis | |
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| Illiquidity Exposure | |
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| A Network View of the Hedge Fund Industry | |
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| Did Quant Fail? | |
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| Qualifications and Extensions | |
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| The Current Outlook | |
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| Jumping the Gates | |
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| Linear Risk Models | |
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| Beta Overlays | |
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| Hedging Long/Short Equity Managers | |
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| Dynamic Implementations of Beta Overlays | |
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| Conclusion | |
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| Appendix | |
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| Lipper TASS Category Definitions | |
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| CS/Tremont Category Definitions | |
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| Matlab Loeb Function tloeb | |
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| GMM Estimators for the AP Decomposition | |
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| Constrained Optimization | |
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| A Contrarian Trading Strategy | |
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| Statistical Significance of Aggregate Autocorrelations | |
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| Beta-Blocker and Beta-Repositioning Strategies | |
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| Tracking Error | |
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| References | |
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| Index | |