Hedging Equity Market Risk in Hedge Fund Investing: A New Approach

CFA Digest ◽  
2012 ◽  
Vol 42 (1) ◽  
pp. 9-11
Author(s):  
Keith Joseph MacIsaac
Keyword(s):  
Hedge Fund ◽  
Equity Market ◽  
Market Risk ◽  
New Approach

Hedging Equity Market Risk in Hedge FundInvesting: A New Approach

2011 ◽  
Vol 37 (4) ◽  
pp. 138-151 ◽  
Author(s):  
Daniel Hartmann ◽  
Dieter G. Kaiser
Keyword(s):  
Equity Market ◽  
Market Risk ◽  
New Approach

Hedge Fund Due Diligence at Leman Alternative Asset Management Company

2017 ◽  
pp. 1-15
Author(s):  
Pedro Matos
Keyword(s):  
Asset Management ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Equity Market ◽  
Return Volatility ◽  
Due Diligence ◽  
Case Discussion ◽  
Management Company ◽  
Track Record ◽  
Monthly Return

In early January 2008, a senior VP with LAAMCO, a fund of hedge funds known for alternative investments, was conducting due diligence on an equity market-neutral hedge fund. The hedge fund used an option strategy known as a collar (also known as a bull spread or split-strike conversion). The track record of the hedge fund had been stellar. The fund's performance had not only beaten that of the S&P 500 Index over the same period but had done so with much lower monthly return volatility. As part of the due diligence, it was necessary to backtest the collar strategy and try to quantify how much value the manager, BLM Investment Securities, LLC, (BLM) had added. The case is a disguised representation of an actual hedge fund—the true identity of BLM is revealed to students at the end of the case discussion.

scholarly journals Evolution of Equity Market Risk During the Crisis: Europe, Americas and Asia

2012 ◽  
Vol 5 (1) ◽  
pp. 25-40
Author(s):  
Patrizia Stucchi ◽  
Giorgio Dominese
Keyword(s):  
Equity Market ◽  
Market Risk

Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry

2011 ◽  
Vol 46 (4) ◽  
pp. 1073-1106 ◽  
Author(s):  
Yong Chen
Keyword(s):  
Risk Reduction ◽  
Risk Taking ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Market Risk ◽  
Risk Shifting ◽  
Large Sample ◽  
Event Risk ◽  
Market State ◽  
Fund Industry

AbstractThis paper examines the use of derivatives and its relation with risk taking in the hedge fund industry. In a large sample of hedge funds, 71% of the funds trade derivatives. After controlling for fund strategies and characteristics, derivatives users on average exhibit lower fund risks (e.g., market risk, downside risk, and event risk), such risk reduction is especially pronounced for directional-style funds. Further, derivatives users engage less in risk shifting and are less likely to liquidate in a poor market state. However, the flow-performance relation suggests that investors do not differentiate derivatives users when making investing decisions.

Hedge Fund Styles and their Contagion from the Equity Market

2017 ◽  
Vol 18 (1) ◽  
pp. 91-112
Author(s):  
Hee Soo Lee ◽  
Tae Yoon Kim
Keyword(s):  
Hedge Fund ◽  
Equity Market
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