Hedge Funds

The hedge fund industry has grown dramatically over the years. Originally intended for the wealthy, these private investments have attracted a much broader following that includes pension funds and retail investors. This book addresses the pressing need for a systematic framework for managing hedge fund investments.

Andrew Lo's Hedge Funds is likely to be the high-water mark in the analysis of hedge funds for years to come. Focusing on hedge fund returns and trading strategies, risk characteristics, and potential for illiquidity, Lo brings to bear his always fresh and insightful thinking. -- Richard Bookstaber, author of "A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation" Lo offers a truly unique perspective. He examines the properties of returns and illiquidity in great detail and introduces an innovative concept of mean-variance-liquidity optimization, something that no other book on hedge funds has addressed. -- Narayan Y. Naik, London Business School This book provides a useful and very timely overview of key aspects of the hedge fund industry. It summarizes the basic properties of hedge fund returns, discusses why traditional performance measures may be misleading when analyzing hedge fund performance, and highlights important issues such as serial correlation, return smoothing, and illiquidity. -- Markus K. Brunnermeier, Princeton University

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