CONTENTS -- Introduction -- Chapter 1 Working Papers: "Hedge" Funds Sanjiv Ranjan Das -- 1 Portfolio Impact -- 2 Strategies and Styles -- 3 Risk Measurement and Management -- 4 Performance and Fee Structures -- 5 Conclusion -- Notes -- References -- Chapter 2 Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations Mila Getmansky, Andrew W. Lo, and Shauna X. Mei -- 1 Introduction -- 2 Literature Review -- 3 The TASS Live and Graveyard Databases -- 4 Attrition Rates -- 5 Valuation and Illiquidity Risk -- 6 Conclusions -- Acknowledgments -- Appendix -- Notes -- References -- Chapter 3 The Dangers of Mechanical Investment Decision-Making: The Case of Hedge Funds Harry M. Kat -- 1 Introduction -- 2 Modern Portfolio Theory in Action -- 3 Hedge Fund Data -- 3.1 An unknown universe -- 3.2 No independent auditing -- 3.3 Backfill bias -- 3.4 Survivorship bias -- 3.5 Marking-to-market problems -- 3.6 Limited data -- 4 Hedge Fund Risk -- 5 Hedge Fund Sharpe Ratios -- 6 Hedge Fund Alphas -- 7 Hedge Fund Diversification -- 8 Hedge Funds and Equity -- 9 Hedge Funds and Mean-Variance Analysis -- 10 Conclusions -- References -- Chapter 4 Understanding Mutual Fund and Hedge Fund Styles Using Return-Based Style Analysis Arik Ben Dor, Ravi Jagannathan, and Iwan Meier -- 1 Introduction -- 2 Methodology -- 2.1 Linear factor models and return-based style analysis -- 2.2 Role of adjusted R2 measure in choosing style weights -- 2.3 An alternative: the Akaike information criterion -- 2.4 The effective style of a multi-manager portfolio -- 3 Return-Based Style Analysis in Practice -- 3.1 Data and asset class specifications -- 3.2 An example: Vanguard Windsor -- 3.3 Performance analysis -- 3.4 Growth and income funds -- 3.5 Active versus passive portfolio management -- 3.6 Comparison with portfolio-composition-based style analysis.

4 Choosing Style Benchmarks -- 4.1 Asset class misspecification -- 4.2 Number of asset classes -- 4.3 Sector indexes -- 4.4 Low R2 as an indicator of active management -- 4.5 Style consistency and changes in management -- 4.6 Manager universes and peer evaluation -- 5 Style Analysis of Hedge Funds -- 5.1 Additional asset classes for return-based style analysis of hedge funds -- 5.2 Characterizing the risk in two hedge fund strategies: merger arbitrage and market timing -- 5.3 Index choice and survivorship bias -- 5.4 Equity-oriented strategies -- 5.5 Stepwise regression to identify major exposures -- 6 Conclusions -- Acknowledgments -- Appendix A: Asset classes -- Appendix B: Growth and income funds--objective and investment strategy -- Appendix C: HFR hedge fund classes -- Notes -- References -- Chapter 5 Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds Bing Liang -- 1 Introduction -- 2 Data -- 3 Performance, Risk, and Fee Structures -- 3.1 Performance and risk -- 3.2 The asset class factor model -- 4 Performance Evaluation in a Portfolio Framework and under Different Market Environments -- 4.1 Non-linearities in fund returns -- 4.2 Correlations at the investment style level -- 4.3 Benefits of adding CTAs to other investment classes -- 5 Conclusion -- Acknowledgments -- Notes -- References -- Chapter 6 Managed Futures and Hedge Funds: A Match Made in Heaven Harry M. Kat -- 1 Introduction -- 2 Managed Futures -- 3 Data -- 4 Stocks, Bonds, Plus Hedge Funds or Managed Futures -- 5 Hedge Funds Plus Managed Futures -- 6 Stocks, Bonds, Hedge Funds, and Managed Futures -- 7 Skewness Reduction with Managed Futures -- 8 Conclusion -- Acknowledgments -- Notes -- References -- Chapter 7 Fees on Fees in Funds of Funds Stephen J. Brown, William N. Goetzmann, and Bing Liang -- 1 Introduction -- 2 Data.

3 Characteristics and Performance of Fund of Funds -- 4 An Example -- 5 Alternative Fee Structures -- 6 Conclusion -- Acknowledgments -- Notes -- References -- Chapter 8 Extracting Portable Alphas From Equity Long/Short Hedge Funds William Fung and David A. Hsieh -- 1 Introduction -- 2 Establishing the Risk Structure of Equity L/S Hedge Funds: Data and Methodology -- 2.1 Data -- 2.2 Identification of common risk factors -- 3 Creating an Alternative Alpha Series for Equity L/S Hedge Funds -- 4 Distributional Properties of Portable AAs -- 5 The Role of Portable Alternative Alphas in a Conventional Asset-Class Portfolio -- 6 Concluding Remarks -- Notes -- References -- Chapter 9 AIRAP-Alternative RAPMs for Alternative Investments Milind Sharma -- 1 Introduction -- 2 Survey of RAPMs -- 2.1 The risk of RAPM shortfall -- 3 Expected Utility Theory and AIRAP -- 3.1 Recommended Arrow-Pratt coefficient -- 4 Data and Analysis -- 5 Impact of Leverage -- 6 Hedge Fund Peer Percentile Rankings -- 7 Caveats and Conclusion -- Notes -- References.