资源描述：
《risk management in a fund of funds》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、CHAPTER26RISKMANAGEMENTINAFUNDOFFUNDS∗S.LukeEllisForthefund-of-fundsmanager,managingriskinaportfolioofhedgefundsrequires,first,recognizingthatthereturndistributionofhedgefundsisnotnormaland,second,takingintoaccountthemarketcrisiseventsthatshouldhappenrarelybutthat,infact,occureverytwotothreeyears.F
2、ortunately,valueatriskmethodol-ogycanbeadaptedformeasuringthenormalriskinthefundportfolioand,withsomemodification,canbeappliedtoestimatehowmuchtheportfoliomightloseinacrisis.Inaddition,modelingcrisesascoherenteventsallowsonetoestimatethelikelyamountoflossrequiringahedge,eventhoughtheparticularnatur
3、eofafuturecrisismaybeunknown.Themostimportantpointaboutmanagingriskinafundoffundsistorecognizethatitiscompletelydifferentfrommanagingriskinanunderlyingportfolio.Themanagerofanindi-vidualportfoliocaneasilyadjustrisk.Afund-of-fundsmanager,however,allocatesmoneyouttoothermanagers.Althoughafund-of-fun
4、dsmanagercanmanageriskattheoverallportfoliolevel,thefundamentalpieceofriskmanagementthatoccursatthesecuritylevelisoutsidethedirectcontrolofafund-of-fundsmanagerbecauseitis,inessence,outsourced.Consequently,ahugepartofriskmanagementforthefund-of-fundsmanagerisaboutpick-ingwhogetsthemoney.Thus,manag
5、ingriskatthesecuritylevelisaboutmonitoring.Giventhelimitationsonsecurity-levelriskmanagementthatafund-of-fundsmanagerfaces,overallhigh-levelriskmanagementbecomesthatmuchmoreimportant.Riskmanage-mentinaworldoffundsoffundsinvolvestwoareas.First,thefund-of-fundsmanagerdoesnotwantfundsthatblowup.Ofcou
6、rse,themanagerwantsfundsthatprovidealpha,butintermsofriskmanagement,thebestwaytocontrolriskistoavoidfundsthatwillblowup.Thisaspectiswherebusinessandoperationalreviewsareimportant.Second,themanager∗ReprintedfromCFAInstituteConferenceProceedings:ChallengesandInnovationinHedgeFundManagement(August200
7、4):3139.379CH026.indd3798/28/108:37:26PM380PartIII:ManagingRisk—AlternativeInvestmentsmustunderstandtheriskswithinafund-of-fundsportfolioanddefineasolidoverallriskmanagementprocess.Thefocusofmydiscussionwillcenter
