[UseMoney=10]Contents
4 I L L I Q U I D I T Y 4 7
Planning in Case of Crisis ............................................................................................. 47
The Size Factor............................................................................................................. 49
Elements in an Escape Plan ........................................................................................... 49
The Cost of Illiquid Redemption Policies........................................................................... 51
Choosing among Alternatives........................................................................................... 52
Calculating the Opportunity Cost of Illiquidity .............................................................. 52
P a r t T w o
Market Risk Management
5 M E A S U R I N G R I S K 5 9
Sell-Side Heritage.......................................................................................................... 59
Normal Market Behavior ............................................................................................... 60
Will History Repeat? .......................................................................................................... 61
Risk Measures Based on Actual Fund Returns ................................................................ 63
Risk Measures Based on Simulated Fund Returns.......................................................... 64
Crisis Market Behavior .................................................................................................. 68
6 U N D E R S T A N D I N G T H E S O U R C E O F R I S K 7 1
Slicing and Dicing or Bucketing ..................................................................................... 71
Index-Based Benchmarks ............................................................................................... 72
Value at Risk (VaR) ..................................................................................................... 73
Risk-Factor Framework .................................................................................................. 74
Marginal Risk Measures................................................................................................ 79
7 R I S K V I S U A L I Z A T I O N A N D A R T I C U L A T I O N 8 3
Comparative Statistics ................................................................................................... 83
Risk Visualization Techniques ........................................................................................ 85
Communicating Risk in 揌edge-Speak?........................................................................... 88
8 R I S K C U L T U R E 9 1
Integrating Risk Management into All Hedge Fund Processes .............................................. 92
Style Drift versus Nimbleness .......................................................................................... 93
Personality Risks .......................................................................................................... 96
Status Issues .................................................................................................................96
Environment Issues ......................................................................................................96
P a r t T h r e e
Other Risk Processes
9 N O N - M A R K E T R I S K M A N A G E M E N T 1 0 1
Systems and Procedures ............................................................................................... 104
Organizational Issues ................................................................................................. 105
Disciplined Processes ................................................................................................... 107
1 0 C O N S T R U C T I N G A F U N D 1 0 9
Value Creation Levers ................................................................................................. 111
Shorting .................................................................................................................... 113
Hedging........................................................................................................................... 113
Overvalued Positions ....................................................................................................... 113
Relative Misvaluations ..................................................................................................... 115
Illiquid Securities ....................................................................................................... 116
Leverage.................................................................................................................... 117
Convexity .................................................................................................................. 118
Nimbleness ................................................................................................................ 119
Establishing a Basis in which to View the Construction .................................................... 120
Balancing Risk and Return ......................................................................................... 121
1 1 P E R F O R M A N C E A T T R I B U T I O N 1 2 3
Assessing Primary Sources of Returns............................................................................. 123
Other Factors in Performance Attribution ....................................................................... 125
1 2 R I S K B U D G E T I N G 1 2 7
Risk Budgeting Self-Assessment ..................................................................................... 127
Definition of Risk Budgeting ........................................................................................ 128
Formal Risk Budgeting ................................................................................................ 128
A Management Process, Not a Back-Office Tool .......................................................... 129
A Common Language ..................................................................................................... 131
Managing Complex Causal Relationships ..................................................................... 133
A Comprehensive and Integrated Approach ................................................................ 134
Integrated Systems Support the Process ........................................................................ 136
How Formal Should Your Risk Management Be?............................................................. 136
P a r t F o u r
Risk from the Investor抯 Viewpoint
1 3 N A V / R E T U R N R E P O R T I N G 1 4 3
Lack of Documentation ............................................................................................... 143
Inefficiencies .............................................................................................................. 146
Incomplete Reporting................................................................................................... 147
Lack of Precision ........................................................................................................ 147
Misleading Measures .................................................................................................. 149
Masking Risk ............................................................................................................ 150
Dressing Up Returns ................................................................................................... 150
1 4 C O N S T R U C T I N G A P O R T F O L I O O F F U N D S 1 5 1
Integrating Asset Allocation, Manager Selection, and Portfolio Construction ....................... 152
Understand Manager Risks .......................................................................................154
Understand Your Objective ......................................................................................154
Adopt a Prospective Outlook....................................................................................155
Focus on Marginal Risk and Return Measures.........................................................155
Construct the Portfolio Incrementally .....................................................................155
Minimize Exposure to the Underlying Market ........................................................156
Manage Secondary Risk Exposures ..........................................................................156
Maximize Idiosyncratic Risks ....................................................................................156
Limit Offsetting Exposures .......................................................................................157
Diversify the Portfolio ...............................................................................................157
Plan for the Worst .....................................................................................................158
Consider Using Optimizers.......................................................................................158
1 5 R I S K D U E D I L I G E N C E 1 5 9
Analyzing Previous Portfolios ....................................................................................... 160
Determining Transparency and Risk Culture .................................................................. 162
1 6 T R A N S P A R E N C Y 1 6 7
Changing Investor Requirements................................................................................... 167
The Political Environment ........................................................................................... 170
The Pros and Cons of Position Disclosure ....................................................................... 175
Current Practices ........................................................................................................ 175
P a r t F i v e
The Solution
1 7 I N D U S T R Y S T A N D A R D S O L U T I O N 1 7 9
Reporting Standards桝 Common Language ................................................................. 181
The Case for Standardization ....................................................................................... 181
1 8 T H E R I S K F U N D A M E N T A L S ?S O L U T I O N 1 8 5
Overview of the Service ................................................................................................ 185
NAV/Return Reporting .................................................................................................. 186
The Risk Fundamentals System ...................................................................................... 187
The Risk Fundamentals Statistics ................................................................................... 188
Distributed Solution ........................................................................................................ 191
Standardization with Flexibility ...................................................................................... 192
Risk Budgeting Support .................................................................................................. 194
Effective Risk Communication ....................................................................................... 195
Interpreting Risk Management Reporting ....................................................................... 197
Concentrations ................................................................................................................ 199
Leverage ........................................................................................................................... 209
Liquidity ........................................................................................................................... 211
Risk Factors ...................................................................................................................... 217
Historical Simulation....................................................................................................... 224
Stress Tests ....................................................................................................................... 228
Convexity......................................................................................................................... 230
Risk-Return Analyses ....................................................................................................... 231
Constructing a Fund........................................................................................................ 232
Constructing a Portfolio of Funds.................................................................................. 238
Performance Attribution................................................................................................. 244
1 9 S U M M A R Y 2 4 9
A P P E N D I X 2 5 3
Glossary ............................................................................................................................ 261
Index............................................................................................................................... 269[/UseMoney]

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