TAILIEUCHUNG - Hedge Funds: How They Serve Investors in U.S. and Global Markets

This chapter provides an overview of the classical measures of risk- adjusted portfolio performance. We first describe the general logic that lies behind all of the measures, and then define the individual mea- sures. We then discuss the theoretical properties of the measures in more detail. Finally, we look at empirical estimation of the measures on actual managed portfolios, and review the empirical evidence based on the classical measures. The main idea in most of the classical measures of investment perfor- mance is quite simple. The measures essentially compare the return of a managed portfolio over some evaluation period to the return of a benchmark portfolio. The benchmark portfolio. | Coalition of Private Investment Companies Hedge Funds How They Serve Investors in . and Global Markets The Coalition of Private Investment Companies CPIC is a group of private investment companies that are diverse in size and the investment strategies they pursue. Their clients include pension funds asset managers foundations other institutional investors and qualified wealthy individuals. 2009 Coalition of Private Investment Companies. All rights reserved. Writer James D. Spellman Special thanks to the primer s reviewers Todd Hartman Andrew Lowenthal Kirsten Johnson-Obey Lendell Porterfield and Jillien Williams Design Daniel Kohan Sensical Design and Communication Cover photo Image 100 Corbis August 2009 Introduction The year 2009 is proving to be a turning point for the hedge fund industry with performance rebounding from record losses last year 2008 . The pace of redemptions is slowing with many forecasting a net inflow to hedge funds for 2009 as investors reassess their allocations to alternative investment Institutional investors continue to see the value of diversifying their portfolios by including hedging strategies to manage risks and improve returns. Several surveys in early 2009 found that investors seek out hedge funds largely for their diversifled uncorrelated returns and most 81 percent say their original premise for investing in hedge funds is still Our responsibilities as managers of private investment pools have become greater in light of the global flnancial crisis and its aftermath. Investors are spending more time conducting due diligence and hence are demanding greater transparency and more clarity about valuation approaches. To maintain Hedge funds . . . are extremely important to the success of our investment program. Joseph A. Dear Chief Investment Officer CalPERS July 15 20093 The Way Forward CPIC s Proposal Principles to Guide a New Regime to Monitor Systemic Risk Financial regulation must be .

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