Asset Valuation Allocation Models

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9. We shall revisit operational risks with hedge funds in Part III of this book, which will examine the fund of (hedge) funds industry. 10 summarizes the categorization of hedge funds. In any portfolio optimization process there is some merit in viewing hedge funds as a separate asset class, because the performance characteristics differ from those of traditional assets. , one of the satellites). In evaluating hedge funds there are many risk aspects where the only reasonable approach is bottom-up fundamental company research and due diligence.

INVESTMENT PHILOSOPHY OF ABSOLUTE RETURN MANAGERS Introduction An absolute return manager is essentially an asset manager without a benchmark or with a benchmark that is the return on the risk-free asset. Benchmarking can be viewed as a method of restricting investment managers so as to limit the potential for surprises, either positive or negative. By defining a market benchmark and a tracking error band, the plan sponsor gives the manager a risk budget in which the manager is expected to operate.

The absolute return manager could argue that the first four columns have nothing to do with asset management or risk management. Absolute return managers want to make profits not only when the wind is at their backs but also when it changes and becomes a headwind. Absolute return managers will therefore use risk management and hedging techniques—this is where the asymmetrical return profile discussed earlier comes from. From the point of view of absolute return managers, relative return managers do not use risk management,* and do not manage assets as they follow benchmarks.

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