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| Acknowledgments | |
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| Foreword | |
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| Introduction | |
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| Investing in Relationships | |
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| What Is Market Neutral? | |
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| Basic Concepts | |
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| Relationship Investing | |
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| Understanding Market-Neutral Approaches | |
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| Developments in the Hedge Fund Industry | |
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| Hedge Fund Industry Assets | |
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| Hedge Fund Investors | |
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| Hedge Fund Strategies | |
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| Making an Investment in Market-Neutral Strategies | |
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| Linear Analysis of Returns | |
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| Reducing Exposure to Risk | |
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| Market-Neutral and Hedged Strategies | |
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| Convertible Arbitrage | |
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| Fixed-Income Arbitrage | |
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| Mortgage-Backed Securities Arbitrage | |
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| Merger Arbitrage | |
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| Equity Hedge | |
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| Equity Market-Neutral and Statistical Arbitrage | |
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| Relative Value Arbitrage | |
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| Achieving Superior Risk-Adjusted Returns | |
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| Assessing the Risks | |
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| Transparency | |
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| Focusing on the Underlying Strategies | |
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| Convertible Arbitrage | |
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| Convertible Bond Valuation | |
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| Statistical Advantage | |
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| Convertible Valuation Components | |
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| Convertible Arbitrage Approaches | |
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| Quantitative Screens | |
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| Kinds of Hedges | |
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| Setting Up a Market-Neutral Hedge | |
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| Setting up a Bullish Hedge | |
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| Setting up a Bearish Hedge | |
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| Risks and Risk Control | |
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| Fundamental Analysis | |
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| Hedge Analysis | |
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| Portfolio Construction | |
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| Liquidity | |
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| Leverage | |
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| Source of Return | |
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| Convertible Bond Market History | |
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| Recent Growth and Developments in Convertible Arbitrage | |
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| Performance in Adverse Market Conditions | |
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| Historical Examples | |
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| Fixed-Income Arbitrage | |
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| Fixed-Income Arbitrage Approaches | |
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| Basis Trades | |
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| Asset Swaps | |
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| TED Spreads | |
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| Yield Curve Arbitrage | |
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| Relative Value Trades | |
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| Risks and Risk Control | |
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| Risks | |
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| Measuring and Controlling Interest Rate Risk | |
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| Sources of Return | |
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| Financing | |
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| Repurchase Agreements | |
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| Technology | |
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| Liquidity | |
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| Events | |
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| Manager Skill and Hard Work | |
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| Growth and Recent Developments in Fixed-Income Arbitrage | |
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| Mortgage-Backed Securities Arbitrage | |
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| Mortgage-Backed Structures or Sectors (Types of MBS Instruments) | |
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| Mortgage-Backed Securities' Evolution | |
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| Pass-Throughs | |
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| Basic Collateralized Mortgage Obligations (CMOs) | |
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| CMO Tranches | |
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| Valuation Methods | |
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| Option-Adjusted Spreads | |
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| Information Systems | |
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| Risks and Risk Control | |
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| Duration | |
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| Effective and Partial Duration | |
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| Parallel and Rotational Shifts of the Yield Curve | |
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| Convexity | |
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| Prepayment Duration | |
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| Leverage | |
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| Pricing | |
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| Source of Return | |
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| Valuation Models | |
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| Leverage | |
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| Liquidity | |
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| Financing | |
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| Hedging Techniques | |
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| Recent Developments in MBS Arbitrage | |
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| Merger Arbitrage | |
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| Merger Arbitrage Approaches | |
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| Cash Mergers or Tender Offers | |
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| Stock Swap Mergers | |
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| Stock Swap Mergers with a Collar | |
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| Multiple Bidder Situations | |
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| Leveraged Buyouts and Hostile Takeovers | |
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| Risks | |
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| Event Risk | |
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| Deal Flow | |
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| Liquidity | |
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| Risk Control | |
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| Diversification | |
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| Leverage | |
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| Source of Return | |
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| Growth and Recent Developments in Merger Arbitrage | |
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| Deal Flow and Other Factors Affecting Volume | |
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| Stress Period: The Third Quarter of 1998 | |
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| Returns | |
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| Equity Hedge | |
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| Investment Themes and Fundamental Analysis | |
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| Investment Themes | |
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| Fundamental Analysis | |
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| Equity Hedge Approaches | |
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| Quantitative vs. Qualitative Mix | |
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| Universe of Stocks | |
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| Style | |
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| Liquidity | |
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| Net Market Exposure | |
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| Research | |
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| Leverage | |
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| Risks and Risk Control | |
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| Stock-Picking Risk | |
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| Market Risk | |
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| Universe of Stocks | |
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| Diversification | |
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| Sell Disciplines | |
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| Leverage | |
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| Source of Return | |
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| Recent Growth and Developments in Equity Hedge Investing | |
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| Equity Market-Neutral and Statistical Arbitrage | |
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| Equity Market-Neutral Approaches | |
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| Initial Screen: Universe of Investable Stocks | |
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| Stock Selection | |
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| Mean Reversion-Based Approaches | |
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| Risks and Risk Control | |
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| Portfolio Construction and Optimization | |
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| Manager Styles--Putting It All Together | |
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| Source of Return | |
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| Recent Growth and Developments in Equity Market-Neutral Investing | |
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| Relative Value Arbitrage | |
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| Relative Value Arbitrage Approaches | |
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| Convertible Arbitrage | |
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| Merger Arbitrage | |
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| Equity Statistical Arbitrage | |
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| Pairs Trading | |
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| Fixed-Income Arbitrage | |
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| Options and Warrants Trading | |
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| Capital Structure Arbitrage | |
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| Regulation D (Structured Discount Convertible) Arbitrage | |
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| Risks and Risk Control | |
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| Strategy Mix | |
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| Strategy Weightings | |
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| Source of Return | |
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| Growth and Recent Developments in Relative Value Arbitrage | |
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| Afterword | |
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| Glossary | |
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| Index | |