Investment Strategies of Hedge Funds The Wiley Finance Series 1st Edition by Filippo Stefanini ISBN 0470026278 978-0470026274

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ISBN 10: 0470026278

ISBN 13: 978-0470026274 

Author: Filippo Stefanini 

One of the fastest growing investment sectors ever seen, hedge funds are considered by many to be exotic and inaccessible. This book provides an intensive learning experience, defining hedge funds, explaining hedge fund strategies while offering both qualitative and quantitative tools that investors need to access these types of funds. Topics not usually covered in discussions of hedge funds are included, such as a theoretical discussion of each hedge fund strategy followed by trading examples provided by successful hedge fund managers.

Table of contents:

1 A Few Initial Remarks
1.1 What is a hedge fund?
1.2 History of hedge funds
1.3 Proprietary trading
1.4 The growth of the hedge fund industry
1.5 Main characteristics of the current industry
1.6 Capacity
1.7 Commissions
1.8 Industry performance overview
1.9 The hedge fund manager
1.10 Alpha and beta
1.11 Investment strategies
1.12 Explorers and frontiers
1.13 SEC’s vigilance
1.14 Considerations on performance sustainability
1.15 Capacity and performance sustainability
1.16 Ability or chance?
1.17 The importance of avoiding losses
1.18 Decreasing returns with longer investment horizons
1.19 Business case: A hedge fund start-up

2 Arbitrage
2.1 The transaction costs barrier
2.2 ADR arbitrage
2.3 Arbitrage between off-the-run and on-the-run thirty-year Treasury Bonds

3 Short Selling
3.1 A brief history of short selling
3.2 What is short selling?
3.3 A simplified example of short selling on US markets
3.4 Who lends securities for short selling?
3.5 Regulations governing short selling
3.6 The risks of short selling
3.7 Short interest and short interest ratio
3.8 Wall Street’s alter ego
3.9 Stock picking in short selling
3.10 The art of contrary thinking
3.11 Measuring the strategy’s historical performance
3.12 Conclusions

4 Long/Short Equity
4.1 History of the first hedge fund
4.2 Market exposure
4.3 Management styles
4.4 Specialized long/short equity funds
4.4.1 Long/short equity technology-media-telecommunication (TMT)
4.4.2 Long/short equity biotech
4.4.3 Long/short equity gold
4.4.4 Long/short equity on emerging markets
4.5 Share class arbitrage
4.6 Pairs trading
4.7 Covered call and covered put options sale
4.8 Strategy’s historical performance analysis
4.9 Equity market neutral
4.9.1 Equity market neutral strategy’s historical performance analysis

5 Merger Arbitrage
5.1 A brief history of M&A
5.2 Strategy description
5.3 Risk associated with the outcome of an extraordinary corporate event
5.4 Types of mergers and acquisitions
5.4.1 Cash mergers or tender offers
5.4.2 Stock swap mergers or stock-for-stock mergers
5.4.3 Stock swap mergers with a collar
5.4.4 Multiple bidder situations
5.4.5 Leveraged buyouts and hostile takeovers
5.4.6 Spin-offs
5.5 Risk management
5.6 Strategy’s historical performance analysis
5.7 Conclusions

6 Convertible Bond Arbitrage
6.1 Why issue a convertible bond?
6.2 A brief history of convertible bonds
6.3 The convertible bond market
6.4 Definitions
6.5 Quantitative models to value convertible bonds
6.5.1 Analytical models
6.5.2 Numerical models
6.6 Implied volatility and historical volatility
6.6.1 Credit spreads, implied volatility and risk appetite
6.7 Convertible bond arbitrage
6.7.1 Cash-flow arbitrage
6.7.2 Volatility trading
6.7.3 Gamma trading
6.7.4 Credit arbitrage
6.7.5 Skewed arbitrage
6.7.6 Carry trade
6.7.7 Refinancing plays
6.7.8 Late stage restructuring plays
6.7.9 Multi-strategy
6.8 Mandatory convertibles
6.9 Strategy’s historical performance analysis
6.10 Risk control
6.11 Conclusions

7 Fixed Income Arbitrage
7.1 Issuance driven arbitrage or snap trade
7.2 Yield curve arbitrage
7.3 Intermarket spread trading
7.4 Futures basis trading or basis trading
7.5 Swap spread trading
7.6 Capital structure arbitrage
7.7 Long/short credit or credit pair trading
7.8 Carry trade
7.9 Break-even inflation trades
7.10 Cross-currency relative value trade
7.11 Treasuries over eurodollars (TED) spread or international credit spread
7.12 Leveraged loans
7.13 Strategy’s historical performance analysis
7.14 Conclusions

8 Strategies on CDOs
8.1 A brief history of CDOs
8.2 Hedge fund investment strategies
8.2.1 Carry trade
8.2.2 Long/short structured credit
8.2.3 Correlation trade
8.3 Conclusions

9 Mortgage-Backed Securities Arbitrage
9.1 A brief history of mortgage-backed securities
9.2 Originators of mortgage-backed securities
9.3 The industry of mortgage-backed securities
9.3.1 Pass-through securities
9.3.2 Collateralized mortgage obligations
9.3.3 “Interest Only” securities and “Principal Only” securities
9.4 The sensitivity of mortgage-backed securities to interest rates
9.5 Arbitrage on mortgage-backed securities
9.6 Risk factors
9.7 Strategy’s historical performance analysis
9.8 Conclusions

10 Distressed Securities
10.1 A brief history of distressed securities
10.2 The distressed debt market
10.3 Bankruptcy laws
10.4 Strategy description
10.4.1 Securities involved
10.4.2 Investment thesis
10.4.3 The valuation process
10.4.4 Hedging techniques
10.5 Risks
10.6 A brief consideration of the directional nature of distressed securities hedge funds
10.7 Trade claims
10.8 Strategy’s historical performance analysis
10.9 Conclusions

11 Event Driven or Special Situations
11.1 Activist investors
11.2 Strategy’s historical performance analysis

12 Multi-Strategy
12.1 Multi-strategy funds
12.2 Strategy’s historical performance analysis

13 Managed Futures
13.1 What is a futures contract?
13.2 A brief history of managed futures
13.3 Managed futures strategy
13.4 “Do storks deliver babies?” and the predictability of financial time series
13.5 Strategy’s historical performance analysis
13.6 Conclusions

14 Global Macro
14.1 A brief history of macro funds
14.2 Investment strategies adopted
14.3 The characteristics shared by great traders
14.4 The legs of a trade
14.5 The theory of reflexivity by George Soros
14.6 Debt emerging markets
14.7 Strategy’s historical performance
14.8 Conclusions

15 Other Strategies
15.1 Holding company arbitrage
15.2 Closed-end fund arbitrage
15.3 Statistical arbitrage
15.4 Index arbitrage
15.5 Volatility trading
15.5.1 Option trading
15.5.2 Delta hedging
15.5.3 Variance swaps
15.5.4 Other instruments
15.6 Split-strike conversion
15.7 Lending
15.8 PIPEs or Regulation D
15.9 Real estate
15.10 Natural resources
15.11 Energy trading
15.12 Natural events

16 Hedge Fund Performance Analysis
16.1 Risks inherent in hedge fund investments
16.2 Hedge fund strategies indices
16.2.1 Benchmarking
16.3 Statistical analysis of indices
16.4 Value at risk
16.5 Statistical analysis of data from the LIPPER TASS database

17 Conclusions

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Tags: Filippo Stefanini, Investment Strategies, Hedge Funds, Finance