THE RECENT TREND OF HEDGE FUND STRATEGIES -- THE RECENT TREND OF HEDGE FUND STRATEGIES -- CONTENTS -- PREFACE -- Expert Commentary THE 2008-2009 FINANCIAL CRISIS: RISK MODEL TRANSPARENCY AND INCENTIVES -- 1. Introduction -- 2. Incentives and Risk Models -- 3. Meaning of Transparency -- 4. Transparency and Market Stress -- 5. Discussion -- References -- *Author Bios: -- Chapter1FUNDOFHEDGEFUNDSPORTFOLIOSELECTION:AROBUSTNON-PARAMETRICMULTI-MOMENTAPPROACH -- Abstract -- 1.Introduction -- 2.TrimmedL-MomentsDefinitions -- 2.1.PopulationTrimmedL-Moments -- 2.2.SampleTrimmedL-Moments -- 3.PortfolioSelectionwithHigher-orderTrimmedL-Moments -- 3.1.NotationsandHypotheses -- 3.2.TheShortageFunctionandtheTL-Mean-Variance-Skewness-KurtosisEfficientFrontier -- 4.EmpiricalApplicationtoHedgeFunds -- 5.Conclusion -- Acknowledgements -- Appendix1 -- References -- Chapter2HedgeFundReplication -- Abstract -- 1.Introduction -- 2.EmpiricalCharacteristicsofHedgeFundReturns -- 3.EmergenceofHedgeFundReplicationProductsandtheApproaches -- 4.Rule-BasedApproach -- 5.Factor-BasedApproach -- 6.DistributionReplicatingApproach -- 7.Conclusion -- Acknowledgements -- References -- Chapter 3HEDGE FUND STYLE ANALYSISWITH THE GAP STATISTIC -- Abstract -- 1. Introduction -- 2. Data and Methodology -- 3. Results -- A. Full Sample -- B. Survivors Only -- C. Fund Behaviour Based on Gap Statistic Style Classifications -- 4. Validation of Gap Statistic Hedge Fund Styles -- A. Evaluation of Funds and Associated Styles -- B. Correlation between Style Index Portfolio Returns -- C. Explanatory Power of Style Index Portfolio Returns -- D. Evaluation of Style Consistency -- 5. Passive Replication of Style Portfolio Returns -- A. Style 1: Quasi-Long-Equity -- B. Style 2: Non-Directional -- C. Style 3: Directional -- 6. Conclusion -- Technical Appendix -- References.

Chapter 4 STYLE ANALYSIS FOR HEDGE FUNDS: THE ESTIMATION FOR THE ABILITY OF GENERATING ALPHA OF FUND OF HEDGE FUNDS BY APPLICATION OF MARKOV-SWITCHING MODEL -- Abstract -- 1. Introduction -- 1.1. Disappointment of Hedge Fund Investors -- 1.2. Appropriate Evaluation for Hedge Funds -- 2. Issues Concerning Hedge Fund Analyses -- 2.1. Biases in Hedge Fund Indices -- 2.2. Using FOHF Indices -- 3. Return Sources for Hedge Funds -- 3.1. Selection of Appropriate Factors for Each Strategy -- 3.2. Factors in Tested This Research -- 4. Style Analysis by Multi-Regression Model -- 4.1.Outcome of Analysis for Hedge Fund Indices -- 5. Style Analysis by Markov-Switching Model -- 5.1. Markov-Switching Model -- 5.2. Formulation of Markov-Switching Model in Analysis -- 5.3. The Result of Applying Markov-Switching Model to Fung and Hsieh (2004) -- 5.3. Summary of Analysis by Markov-Switching Model -- 6. FOHF Managers' Ability to Generate Alpha -- 6.1. FOHF Managers' Ability to Select Managers -- 6.2. FOHF Managers' Strategy-Allocation Capabilities -- 7. Conclusion -- References -- Chapter 5HEDGE FUNDS: ATTRITION, BIASESAND THE SURVIVOR PREMIUM -- Abstract -- 1. Introduction -- 2. Related Literature -- 3. Data -- 4. Results -- 4.A. Attrition Rates -- 4.B. Survivorship Bias -- 4.C. Backfilling (or Instant History Bias) Bias -- 4.D. Multiperiod Sampling Bias -- 4e. Survivor Premium -- 5. Conclusion -- References -- Chapter 6 STYLE ANALYSES OF DESIRABLE HEDGE FUND STRATEGIES FOR ACTUAL INVESTORS -- Abstract -- Model -- Selection Criterion -- Data Analysis -- Market Neutral Equity -- Macro -- Fixed Income (Non-arbitrage) -- Long/Short Equity -- Concluding Remarks -- Appendix -- Acknowledgement -- References -- INDEX -- Blank Page.