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Click
here for a book review.
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G.
Gregoriou and Joe
Zhu, Evaluating Hedge Funds and CTA Performance: Data Envelopment
Analysis Approach
John Wiley & Sons,
New York, 2005,
ISBN 0-471-68185-7
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Alternative
investment strategies used by hedge funds often perform well on an
absolute return basis in any market. As a result, institutional
investors who are disappointed with the performance of traditional
asset classes are now looking to hedge funds to provide
diversification, and extra returns on a risk-adjusted basis, to their
overall portfolios. However, the critical question in selecting a hedge
fund, or fund of funds, is how to measure and monitor their
performance, particularly when comparing non-traditional investment
strategies against traditional stock/bond performance benchmarks is a
bit like comparing apples to oranges. In this book, data envelopment
analysis is introduced as a superior quantitative approach to selecting
a hedge fund, or a fund of funds, to complement more traditional
investment portfolios.
The CD-ROM
contains the DEAFrontier software created by Joe Zhu and is an
integral part of the book. This powerful software Microsoft
Excel Add-In (for versions 97 and later) allows professionals
to analyze hedge funds and CTAs on their own.
This version of software does not work
under Excel 2007.
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