Hedge Funds

The key focus areas of this chapter will be the features of hedge funds. The chapter will also do a comparison between mutual funds and hedge funds. Biases that are often prevalent in hedge funds’ databases will be studied. We…

More Details
Performing Due Diligence on Specific Managers and Funds

In this chapter, we will first apply the term due diligence to explain the evaluation and analysis processes followed by an investor or plan sponsor to evaluate a manager. Afterward, we will look at the due diligence process, which is…

More Details
Risk Monitoring and Performance Measurement

A risk is a form of uncertainty that represents the ‘shadow price’ behind expected profits. The presence of the cost-benefit process is assured in the event that someone is willing to incur losses just to generate profits. For a return…

More Details
VaR and Risk Budgeting in Investment Management

This chapter focuses on risk budgeting in the investment management industry, a practice that is somewhat new. The learner will be asked to identify the investment process and understand policy mix risk and active management risk. Funding risk and sponsor…

More Details
Portfolio Risk: Analytical Methods

In this chapter, the role of correlation in portfolio risk will be explained. The chapter further expounds on the challenges of measuring VaR when increasing the size of the portfolio. The concept of marginal VaR will then be applied. Portfolio…

More Details
Portfolio Performance Evaluation

The objective of this chapter is to provide the difference between a portfolio’s time-weighted returns and its dollar-weighted returns. The chapter will also give a description of the appropriate application of the time- and dollar-weighted returns. Furthermore, risk-adjusted performance measures…

More Details
Portfolio Construction

The efficient translation of research into portfolios is known as implementation. Both portfolio construction and trading are included in the implementation. In this chapter, we take the given investment constraints of a manager and construct the best possible portfolio subject…

More Details
Illiquid Assets

The aim of this chapter is to undertake an evaluation of the features of illiquid markets. The relationship between illiquidity and market imperfections will be examined. The chapter further goes ahead to conduct an assessment of the effect of biases…

More Details
Alpha (and the Low-Risk Anatomy)

From alpha, we learn more about the set of factors applicable to the construction of a benchmark as compared to the skills involved in beating it. Under one set of factors, there is the possibility of a positive turning negative….

More Details
Factors

The aim of this chapter is first to describe the process of value investing and provide an explanation of the reasons for the existence of value premium. The different macroeconomic risk factors will also be explained and this will include…

More Details
X