对冲基金组合：投资策略与风险管理

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"funds of hedge funds" 是关于对冲基金投资组合的一种特殊形式，通常称为基金中的基金（FOF）。这些投资工具旨在通过投资多个对冲基金来提供多元化、风险管理和潜在收益。该主题涵盖了从对冲基金的业绩评估、资产配置策略到风险管理的多个方面。在对冲基金行业中，FOF的性能和风险是核心关注点。描述中提到的"Rank alpha funds of hedge funds"探讨了如何根据阿尔法（Alpha）排名来选择最佳的FOF。"Funds of hedge funds: bias and persistence in returns"研究了FOF回报的偏误和持续性，这关系到投资者能否长期获得稳定回报。"Replication and evaluation of funds of hedge funds returns"则关注于复制FOF的回报并进行绩效评估，以寻找成本效益高的替代方案。 "Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs"强调了在FOF中如何最优地分配资产，包括对冲基金、商品交易顾问（CTAs）和房地产投资信托（REITs）等不同投资类别。"The changing performance and risks of funds of funds in the modern period"讨论了现代市场环境中FOF表现和风险的变化趋势。 "Simple hedge fund strategies as an alternative to funds of funds"比较了大型对冲基金策略与FOF之间的差异，提出了一种更简单的替代方案。"Funds of funds of hedge funds: welcome to diworsification"揭示了多层FOF结构可能带来的非预期风险，即所谓的“反多元化”效应。风格分析、多策略基金数量的确定、对冲基金回报的分布特性、风险的识别和监控，以及使用条件方法分析的市场风险，这些都是评估FOF性能和风险的重要工具。此外，对Fama和French模型的重新审视，以及投资者驱动的FOF构建优化方法，都体现了在理解和提升FOF投资效果上的研究进展。 "Quantitative hedge fund selection for funds of funds"突显了量化方法在FOF投资决策中的重要性，通过数学模型和统计分析来优化基金组合。这一系列书籍的目标是提升金融市场参与者，包括经纪人、交易员、咨询师、资产管理者、监管机构等的专业知识，帮助他们在风险管理和绩效监控中应用定量技术，以提高投资组合的表现。

About the editor

Greg N. Gregoriou is an associate professor of finance and coordinator of faculty

research in the School of Business and Economics at the State University of New

York (Plattsburgh). He obtained his PhD (finance) from the University of

Quebec at Montreal and is hedge fund editor for the peer-reviewed scientific

journal Derivatives Use, Trading and Regulation, published by Henry Stewart

publications (United Kingdom). He has authored over 50 articles on hedge funds

and managed futures in various U.S. and U.K. peer-reviewed publications,

including the Journal of Portfolio Management, Journal of Futures Markets,

European Journal of Finance, Journal of Asset Management, European Journal

of Operational Research, Annals of Operations Research, among others. He

has three edited books and one authored book with John Wiley & Sons. This

is his third edited book with Elsevier.

GregoriouChapt_FM.qxd 5/27/06 4:24 PM Page xv

List of contributors

Rian Akey is vice president and chief operating officer of Cole Partners based in

Chicago, Illinois. Mr. Akey is responsible for overseeing the firm’s research and

operations. He is a principal of the organization. Mr. Akey was hired in 1999 as

the firm’s director of research. In that capacity, he has guided the firm’s analysis

and due diligence of investment managers, industry research, and development

of proprietary alternative investment curriculum. In 2003 his role was expanded

to include business development and operational oversight responsibilities.

Mr. Akey is a registered member of the NASD and the NFA and a member of the

Managed Funds Association. He received a BA cum laude from the University of

Notre Dame.

Carol Alexander is a professor of risk management and director of research at the

ISMA Centre located in Reading, U.K. Among many industry links, she is chair

of the Academic Advisory Council of the Professional Risk Managers Inter-

national Association (PRMIA). Prior to serving at the ISMA Centre, she was a

director and head of market risk modeling at Nikko Bank, academic director of

algorithmics, and, for many years, lecturer in mathematics at Sussex University.

She obtained a PhD (in algebraic number theory) from Sussex, an MSc (in mathe-

matical economics and econometrics) from LSE, and a BSc (in mathematics with

experimental psychology) from Sussex. Carol is the author of a best-selling text-

book, Market Models (Wiley, 2001) and editor of 14 books on mathematics and

finance. With Elizabeth Sheedy (of MacQuarie University, Sydney) she has

recently edited the three-volume Professional Risk Managers Handbook. Carol is

now well known for her research in two areas of finance: quantitative strate-

gies for fund management and volatility analysis. Her most recent publications

include papers in the Journal of Portfolio Management, the Journal of Banking

and Finance, the Journal of Applied Econometrics, and the Journal of Financial

Econometrics. She consults as an expert witness and designs commercial software

for hedge funds, operational risk, and high-frequency pricing.

Dr. Paul U. Ali is an associate professor in the Faculty of Law, University of

Melbourne, Australia. Paul was previously a finance lawyer in Sydney. Paul has

published several books and journal articles on finance and investment law,

including, most recently, Opportunities in Credit Derivatives and Synthetic

Securitisation (London, 2005) and articles in Derivatives Use, Trading and

Regulation, the Journal of Alternative Investments, the Journal of Banking

Regulation, and the Journal of International Banking Law and Regulation. He is

currently coediting a book on corporate governance.

GregoriouChapt_FM.qxd 5/27/06 4:24 PM Page xvii

Jean-François Bacmann is a member of the quantitative analysis group of RMF

Investment Management, based in Pfäffikon, Switzerland. Within the group he

heads the research and implementation of tools team, whose key responsibili-

ties are the development of innovative solutions in the context of alternative

investments and the implementation of the quantitative in-house software tools.

Prior to joining RMF Investment Management in 2002, he spent five years as

a research professional in finance at the Entreprise Institute at the University of

Neuchâtel, Switzerland. Mr. Bacmann received his engineering degree in computer

science and applied mathematics from the ENSIMAG, France, a master’s degree

in finance from the University of Grenoble, France, and a PhD in finance from

the University of Neuchâtel. He has published several articles in professional

and academic financial journals.

Zsolt Berenyi holds an MSc in economics from the University of Economic

Sciences in Budapest and a PhD in finance from the University of Munich. His

main interest lies in the risk and performance evaluation of alternative invest-

ments: hedge funds, CTAs, and credit funds. After working for Deutsche Bank

as well as KPMG at various locations for numerous years throughout Europe,

Zsolt leads his independent consultancy in Budapest, Hungary.

Keith H. Black is an assistant professor in the Stuart Graduate School of Business

at the Illinois Institute of Technology in Chicago. He teaches courses in global

market economics, equity valuation, investments, mutual funds, hedge funds,

and global investment strategy. Mr. Black’s interest in hedge funds inspired him

to write the book Managing a Hedge Fund, published by McGraw-Hill in 2004.

He has earned the designations of Chartered Financial Analyst and Chartered

Alternative Investment Analyst, as well as an MBA from Carnegie Mellon Univer-

sity. His professional experience includes commodities derivatives trading at First

Chicago Capital Markets, stock options research and CBOE market-making for

Hull Trading Company, and building stock selection models for mutual funds

and hedge funds for Chicago Investment Analytics. He contributes regularly to

the CFA Digest, and Journal of Global Financial Markets and comments on

markets for television and radio financial news shows.

Jean Brunel is the managing principal of Brunel Associates, a firm offering wealth

management consulting services to ultra-affluent individuals with head office in

Bonita Springs, Florida. He spent the bulk of his career in the investment man-

agement group of J.P. Morgan, where he worked in the United States and abroad

from 1976 until his retirement in the spring of 1999. In 1990, he assumed the

position of chief investment officer of J.P. Morgan’s global private bank, where

he focused on the issues of special concern to individual investors, such as tax

efficiency and downside risk protection. Prior to that, he had served in New York,

Tokyo, Hong Kong, Singapore, and Melbourne in various investment and man-

agerial capacities. Upon retiring from J.P. Morgan, he started consulting for wealthy

individuals and the institutions that serve them. Thus, he consulted for and then

xviii List of contributors

GregoriouChapt_FM.qxd 5/27/06 4:24 PM Page xviii

served as chief investment officer of Private Asset Management, at U.S. Bancorp,

a position he held until June 2001, when he left to found Brunel Associates. Jean

is the editor of the Journal of Wealth Management, published by Institutional

Investor Journals, is a trustee of the Research Foundation of the CFA Institute, and

a director of Culp, Inc., a NYSE-listed textile company. Further, he authored

Integrated Wealth Management: The New Direction for Portfolio Managers (a

book published in 2002 by Institutional Investors and Euromoney Books) and

a number of peer-reviewed articles. A graduate of École des Hautes Études

Commerciales in France, Jean holds an MBA from the Kellogg Graduate School

of Management at Northwestern University and is a chartered financial analyst.

Daniel Capocci, a PhD candidate at the University of Liège in Belgium, has

published extensively on hedge funds in various professional and academic

journals, such as the Journal of Empirical Finance, the European Journal of

Finance, as well as several hedge funds and CTA readers. He has also published

a book on the subject entitled Introduction aux Hedge Funds and is Fund of

Hedge Funds manager at Kredietbank Luxembourg in Luxembourg.

Ryan J. Davies is an assistant professor and the holder of the Lyle Howland

Term Chair in Finance at Babson College, Babson Park, Massachusetts. Prior

to joining Babson College, Dr. Davies taught at the ISMA Centre, University of

Reading, in England, from 2001 to 2004. He has also taught on the Inter-

national Capital Market Association’s International Fixed Income and Deriva-

tives (IFID) program. His current research interests include European securities

market regulation, Canada–U.S. interlisted stocks, stock price manipulation by

mutual fund managers, hedge fund portfolio allocation, and portfolio return

cross-autocorrelation patterns. His research has been published in the Journal

of Financial Markets, the Journal of Futures Markets, and Economics Letters.

Dr. Davies received a PhD in economics from Queen’s University (Kingston).

Anca Dimitriu is a Visiting Research Fellow at the ISMA Centre in Reading U.K.

She holds a PhD in finance from the University of Reading and an MSc in finance

from the Doctoral School of Finance and Banking, Bucharest. Her research

interests include portfolio optimization, indexing and long-short equity strate-

gies, hedge fund performance, and funds of hedge funds portfolio management.

She has published many papers in top international academic journals, and she

is an active speaker at conferences in many countries. Ms Dimitriu has been

teaching in finance MSc programs for several years and has also been involved

in hedge fund consultancy projects.

Eric Dubé is a financial economist with National Bank Financial’s economics

and strategy group, headed by Clément Gignac. His responsibilities include eco-

nomic and financial analysis and forecasting of North American and international

developments. In this regard he acts as manager of all econometric modeling

within the economist team. Among his fields of interest are the application of chaos

models to options theory and to the study of psychological factors influencing

List of contributors xix

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