Hedge Fund Readings

Bibliography

Anson, M., 2002, "Funds of Funds vs Individual Hedge Funds", in: Capital Market Risk Advisors (ed) and AIMA Research, A Guide to Fund of Hedge Funds Management and Investment, October, pp. 10-15.

Asness, C., R. Krail, J. Liew and AQR Capital Management, LLC, 2000, "Do Hedge Funds Hedge?", December, (http://manager.hedgeworld.com/research/download/ssrn_id252810_code001208510.pdf) .

Bacon, L. M., 2000, "Can Institutions Afford to Ignore Hedge Funds?", Keynote speech at the 2000 Hedge Fund Symposium, April, London.

Bain, W. G., 1996, Investment Performance Measurement (Cambridge: Woodhead Publishing Limited).

Barham, S., 2001, Starting a Hedge Fund - a US Perspective (Bermuda: ISI Publications Limited).

Barham, S., and I. Hallsworth, 2002, Starting a Hedge Fund - a European Perspective (Bermuda: ISI Publications).

Barra Strategic Consulting Group, 2001, "Fund of Hedge Funds - Rethinking Resource Requirements"

Beder, T. S., 1995, "Guidelines for a Brave New Pension World", Derivatives Strategy, November, pp. 58-62.

Beder, T. S., 1994, "Learning from Fund Losses in Derivatives", Treasury & Risk Management November/December, pp. 52-3.

Beeman, D., 2002, "Portfolio Construction", in: Capital Market Risk Advisors (ed) and AIMA Research, A Guide to Fund of Hedge Funds Management and Investment, October pp. 38-43.

Bekier, M., 1996, "Marketing Hedge Funds - A Key Strategic Variable in Defining Possible Roles of an Emerging Investment Force" (Berne: Peter Lang AG, European Academic Publishers).

Bernstein, J., 1992, Strategic Futures Trading: Contemporary Trading Systems to Maximize Profits (Chicago: Dearnborn Trade Publishing).

Bernstein, P. L., 1996, Against the Gods: The Remarkable Story of Risk (New York: John Wiley & Sons).

Bernstein, P. L., 1992, Capital Ideas - The Improbable Origins of Modern Wall Street (New York: The Free Press).

Bogle, J. C., 1991, "Investing in the 1990s: Remembering of Things Past and Things Yet to Come", The Journal of Portfolio Management, Spring, pp. 5-14.

Bogle, J. C., 1998, "The Implication of Style Analysis for Mutual Fund Performance Evaluation", The Journal of Portfolio Management, Summer, pp. 34-42.

Boucher, M., 1999, The Hedge Fund Edge: Maximum Profit/Minimum Risk Global Trend Trading Strategies (New York: John Wiley & Sons).

Bousbib, G., 2000, "The Infrastructure Challenge: Empowering the Stakeholder through the Successful Deployment of Technology and Data", in: Risk Budgeting: A New Approach to Investing, L. Rahl (ed), (London: Risk Books) pp. 249-80.

Boyle, P. P., and F. Boyle, 2001, Derivatives: The Tools that Changed Finance (London: Risk Books).

Brittain, B., and Lyster Watson & Company, 2001, "Hedge Funds and the Institutional Investor", Journal of International Financial Management & Accounting, Summer, 12(2).

Brorsen, B. W., 2002, "Performance Persistence for Managed Futures", Institutional Investor Journal, Spring, 4(4), pp. 57-61.

Brown, S. J., W. N. Goetzmann and R. G. Ibbotson, 1997, "Offshore Hedge Funds: Survival and Performance, 1989-1995", National Bureau of Economic Research Working Paper Series.

Brown, S. J., W. N. Goetzmann, R. G. Ibbotson and S. A Ross, 1992 , "Survivorship Bias in Performance Studies", Review of Financial Studies, 5(4), pp. 553-80.

Brown, S. J., W. N. Goetzmann and J. Park, 1997, "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs", Working Paper, Yale/SOM, November (papers.ssrn.com/sol3/papers.cfm?abstract_id=58477).

Brown, S. J., W. N. Goetzmann and J. Park, 2000, "Hedge Funds and the Asian Currency Crisis", The Journal of Portfolio Management, 26(4), pp. 95-101.

Burghardt, G., and S. Kirshner, 1997, Treasury Options for Institutional Investors, Chicago Board of Trade, Market Data Corporation, (Chicago Board of Trade).

Burghardt, G., T. Belton, M. Lane and R. McVey, 1991, Eurodollar Futures and Options: Controlling Money Market Risk (Chicago: Probus Publishing Co.).

Burghardt, G., T. Belton, M. Lane and J. Papa, 1993, The Treasury Bond Basis (Chicago: Probus Publishing).

Butler,D., 2001, "Equalisation - Is itWorth the Heartache? (Part II)", AIMA Newsletter, pp. 7-12.

Capital Market Risk Advisors, 1996a, "Bank of England Survey Regarding Option Valuation Models".

Capital Market Risk Advisors, 1996b, "Marshall and Siegel Study - Value at Risk: Implementing a Risk Measurement Standard".

Capital Market Risk Advisors, 2000, "Transparent to Opaque and Everything In Between", AIMA Newsletter, January/February, (www.cmra.com/dload.php?pdf=benign.pdf).

Capital Market Risk Advisors, 2002a, "How to Select a Buy-Side Risk Management System Comparison Matrix" (www.cmra.com/dload.php?pdf=Systems.pdf).

Capital Market Risk Advisors, 2002b, "Haircuts: Going to the Collateral Barber", (www.cmra.com/dload.php?pdf=haircuts.pdf).

Capital Market Risk Advisors, 2002c, "Merger Arbitrage Fund, Do They Deliver What They Promise?" (www.cmra.com/dload.php?pdf=MergerArb.pdf).

Capital Market Risk Advisors, 2002d, "Hedge Fund Survey Overview", (www.cmra.com/dload.php?pdf=HF.pdf).

Capital Market Risk Advisors, 2002e, "NAV/Fair Value Practices Survey Overview", (www.cmra.com/dload.php?pdf=NAV.pdf).

Capital Market Risk Advisors, 2002f, "Risk Budgeting: The Next Step of the Risk Management Journey", in: L. Rahl (ed), Risk Budgeting: A New Approach to Investing, (London: Risk Books) pp. 3-25, (www.cmra.com/dload.php?pdf=riskbud.pdf).

Capital Market Risk Advisors, 2002g, "Risk Insights, Lessons Learned"
(www.cmra.com/dload.php?pdf=Lessons.pdf).

Capital Market Risk Advisors, 2002h, "Risk Insights, September 11, 2001"
(www.cmra.com/dload.php?pdf=September11.pdf).

Capital Market Risk Advisors, 2002i, "Risk Standard for Institutional Investment Managers and Institutional Investors", (www.cmra.com/dload.php?pdf=InstInv.pdf).

Capital Market Risk Advisors, 2002j, "Risk Standards Overview", (www.cmra.com/dload.php?pdf=Standards.pdf).

Capital Market Risk Advisors, 2002k, "Survival After the Blaze", (www.cmra.com/dload.php?pdf=survival.pdf).

Capital Market Risk Advisors, 2002l, "Overview and Highlights of Survey", in: A Guide to Fund of Hedge Funds Management and Investment, Capital Market Risk Advisors (ed) and AIMA Research, October, pp. 4-9.

Capital Market Risk Advisors (ed) and AIMA, 2002, A Guide to Fund of Hedge Funds Management and Investment, October (AIMA Research).

Caslin, J., 2001, "Hedge Funds", presented to the Society of Actuaries in Ireland, October 9.

Cass, D., 2000, "French Connection", Risk, April, p. 100.

Chance, D. M., and R. R. Trippi, 1995, Advances in Futures and Options Research, pp. 251-65 (New York: JAI Press).

Chande, T., 1999, "Controlling Risk and Managing Investor Expectations by Modeling the Dynamics of Losses in Hedge Funds and Alternative Strategies", Derivatives Quarterly, 5(3),Spring, pp 52-8.

Chandler, B., 1998, Investing with the Hedge Fund Giants - Profits Whether Markets Rise or Fall (London: Financial Times Pitman Publishing).

Chandler, B., 1994, Managed Futures: An Investor's Guide (New York: John Wiley & Sons).

Chopra, N., J. Lakonishok and J. Ritter, 1992, "Measuring Abnormal Performance", Journal of Financial Economics, pp. 235-68.

Chung, S. Y., 2000, "The Risks and Rewards of Investing in Commodity-Based Indices", The Journal of Alternative Investments, 3(1), Summer, pp. 21-31.

Coleman, T. S., 2000, "Compensating Fund Managers for Risk-Adjusted Performance", AIMA Newsletter.

Coleman, T. S., 2002, "Funds of Funds and Fees", in: A Guide to Fund of Hedge Funds Management and Investment, Capital Market Risk Advisors (ed) and AIMA Research, October, pp. 62-3.

Connors, L. A., and B. E., Hayward, 1995, Investment Secrets: Hedge Fund Manager, (New York: McGraw-Hill Trade).

Cottier, P., 1997, Hedge Funds and Managed Futures: Performance, Risks, Strategies and Use in Investment Portfolios (Bern: Verlag Paul Haupt).

Cowles, A., July 1933, "Can Stock Market Forecasters Forecast?", Econometrica, 1, pp. 309-24.

Crapple, G., 1999, "Are All Alternative Assets Hedge Funds?", The Journal of Alternative Investments, 1(4), pp. 79-84.

Crerend, W. J., 1998, Fundamentals of Hedge Fund Investing - A Professional Investor's Guide (New York: McGraw-Hill).

Cullen, I., 1999a, "Managed Futures Funds in Europe", AIMA Special Report.

Cullen, I., 1999b, "Marketing Hedge Funds", AIMA Special Report.

Cullen, I., and H. Parry, 2000, Hedge Funds: Law and Regulation, Special Report (London: Sweet & Maxwell).

Culp, C. L., R., Mensink and A. M. P. Neves, 2000, "Value-at-Risk for Asset Managers", in: Risk Budgeting: A New Approach to Investing, L. Rahl (ed), (London: Risk Books) pp. 83-102.

Daniel, K., M. Grinblatt, S. Titmanand and R. Wermers , 1997, "Measuring Mutual Fund
Performance with Characteristic-Based Benchmarks", The Journal of Finance, 52(3), pp. 1035-58.

De Bever, L., W. Kozun and B. Zvan, 2000, "Risk Budgeting in a Pension Fund", in: Risk Budgeting: A New Approach to Investing, L. Rahl (ed), (London: Risk Books) pp. 283-97.

De Marco, M., and T. E. Petzel, 2000, "Risk Budgeting with Conditional Risk Tolerance", in: Risk Budgeting: A New Approach to Investing, L. Rahl (ed), (London: Risk Books) pp. 299-329.

DeRosa, D., 1996, Managing Foreign Exchange Risk (Ontario: Irwin Professional Publishing).

Deutsche Bank, 2000, "The Capital Guide to Alternative Investments", UK, ISI Publications.

Diz, F., 1999, "CTA Survivor and Nonsurvivor: An Analysis of Relative Performance", The Journal of Alternative Investments, 2(1), Summer, pp. 57-71.

Dunbar, N., 2000, Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It (New York: John Wiley & Sons).

Dunlevy, J., 1999, "An Overview of Basic Mortgage (MBS) Structures", Beacon Hill Asset Management, March.

Edwards, F. R., 1999, "Do Hedge Funds Have a Future?", The Journal of Alternative Investments, 2(2), Fall, pp. 63-8.

Edwards, F. R., 1999, "Hedge Funds and the Collapse of Long Term Capital Management", Journal of Economic Perspectives, 13(2), Spring, pp. 189-210.

Edwards, F. R., and J. Liew, 1999, "Hedge Funds versus Managed Futures as Asset Classes", The Journal of Derivatives, 6(4), Summer, pp 45-64.

Edwards, F. R., and J. Park, 1995, "Do Managed Futures Make Good Investments", The Journal of Futures Markets, Graduate School of Business, Columbia University, Papers No. 95-32.

Eichengreen, B., 1998, "Hedge Funds and Financial Market Dynamics", Occasional Paper, International Monetary Fund.

Eichengreen, B., and D. Mathieson, 1999, "Hedge Funds: What Do We Really Know?", IMF, Economic Issues, 19.

Elton, E., and M. Gruber, 1991, Modern Portfolio Theory and Investment Analysis (New York: John Wiley & Sons).

Elton, E., M. Gruber and C. Blake, 1996, "The Persistence of Risk-Adjusted Mutual Fund Performance", Journal of Business, 69(2), pp. 133-57.

Epstein, C. B., 1992, Managed Futures in the Institutional Portfolio (New York: John Wiley & Sons).

Fama, E. F., 1970, "Efficient Capital Markets: A Review of Theory and Empirical Work", The Journal of Finance, 25, pp. 383-417.

Fama, E. F., 1998, "Market Efficiency, Long-Term Returns, and Behavioral Finance", Journal of Financial Economics, 49(3), pp. 283-306.

Farrell, J. L. , 1997, Portfolio Management Theory & Application (New York: McGraw-Hill).

Favre, L., J. A. Galeano, June 2000, "Portfolio Allocation with Hedge Funds: Case Study of a Swiss Institutional Investor".

Fortune, 1966 , "Personal Investing - Those Fantastic 'Hedge Funds'" April, pp. 15-20.
Fothergill, M., and C. Coke, 2000, "Deutsche Bank Report on Funds of Hedge Funds",
November.

Fox-Andrews, M., and N. Meaden, 1992, Futures Fund Management (New Jersey: Prentice Hall Trade).

Fox-Andrews, M., and N. Meaden, 1995, Derivatives Markets and Investment Management (New Jersey: Prentice Hall/Woodhead-Faulkner).

Froot, K., 1995, "Hedging Portfolios with Real Assets," The Journal of Portfolio Management, Summer, pp.60-77.

Fung, W., and D. A. Hsieh, 1997, "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds", The Review of Financial Studies, 10(2), pp. 275-302.

Fung, W., and D. A. Hsieh, 1999, "A Primer on Hedge Funds", Working Paper, Fuqua School of Business, Duke University.

Fung, W., and D. A. Hsieh, 2000, "Measuring The Market Impact of Hedge Funds", Working Paper, Journal of Empirical Finance, 7 (2001), pp. 1-36.

Fung, W., and D. A. Hsieh, 1998, "Pricing Trend Following Trading Strategies: Theory and Empirical Evidence," Final Report to The Foundation For Managed Derivatives Research, September.

Gitlin, A. W. and C. C. Peters, 1993, Strategic Currency Investing (Chicago: Probus Professional Publications).

Goetzmann, W. N., J. Ingersoll and S. A. Ross, 1998, "High Water Marks", Yale School of Management Working Paper, January.

Goldman, Sachs & Co. and Financial Risk Management Ltd., 1998, "Hedge Funds Demystified - Their Potential Risk in Institutional Portfolios", July.

Goldman Sachs & Co. and Financial Risk Management Ltd., 2000, "Hedge Funds Revisited", Pension & Endowment Forum.

Greer, R., 1994, "Methods for Institutional Investment in Commodity Futures", The Journal of Derivatives, Winter, pp. 28-36.

Grinblatt, M., and S. Titman, 1989, "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings", Journal of Business, 62, pp. 393-416.

Grinhold, R., and R. Kahn, 2000, "The Efficiency Gains of Long-Short Investing," Financial Analysts Journal, November/December, pp. 40-53.

Grossman, S., 1976, "On the Efficiency of Competitive Stock Markets Where Traders have Diverse Information", The Journal of Finance, 31, pp. 573-85.

Hale, T., 2001, "Old Principles - New Focus", Albion Strategic Consulting.

Hammer, D., 1991, Dynamic Asset Allocation: Strategies for the Stock, Bond, and Money Markets (New York: John Wiley & Sons).

Haugen, R. A., and Jorion, P., 1996, "The January Effect: Still There after All These Years", Financial Analyst Journal, 52 (1), pp. 27-31.

HedgeWorld, 2001, Annual Compendium 2001: The Definitive Hedge Fund Reference Guide.

Hedgeworld, 2002, Annual Compendium 2002: The Definitive Hedge Fund Reference Guide.

HedgeWorld Reports Library, (www.hedgeworld.com/research).

Hedge Fund Research, 2000, "Market Neutral and Hedged Strategies", August.
Heim, R. G., and H. S. Meyers, 2001, "An Overview of U.S. Hedge Fund Regulation", AIMA Newsletter, September.

Hills, R., 1996, Hedge Funds: An Introduction to Skill-Based Investment Strategies, (London: Rushmere Wynne Limited).

Hirsch, A. B., 2000, "Risk Obsession: Does it Lead to Risk Aversion?", in: Risk Budgeting: A New Approach to Investing, L. Rahl (ed), pp. 159-73.

Hopkins, S., 2000, "On Phenomenal Growth Track", Investment & Pensions Europe, June.

Horwitz, R., and L. Rodriguez, 2001, "Merger Arbitrage Funds, Do They Deliver What They Promise?", (www.cmra.com/dload.php?pdf=MergerArb.pdf).

Howell, M., 2000, "Tactical Style Selection", AIMA Newsletter, September.

Ikenberry, D. L., R. L.Shockley and K. L. Womack, 1998, "Why Active Fund Managers Often Underperform the S&P 500: The Impact of Size and Skewness", Journal of Private Portfolio Management, 1(1), pp. 13-26.

IMF (Prepared by the FSF HLI Working Group), Background Note on the Hedge Fund
Industry.

Ineichen, A. M., 2000, "In Search of Alpha - Investing in Hedge Funds", (UBS Warburg), October.

Ineichen, A. M., 2001, "The Search for Alpha Continues - Do 'Fund of Hedge Funds' Managers Add Value?", UBS Warburg, September.

Ineichen, A. M., 2001, "The Myth of Hedge Funds: Are Hedge Funds Ahead of the Storm?", October.

INDOCAM/Watson Wyatt, 2000a, "Alternative Investment Review Relating To The Continental European Marketplace", November.

INDOCAM/Watson Wyatt, 2000b, "Alternative Investment Review Relating To The United Kingdom Marketplace", March.

INDOCAM/Watson Wyatt, 2000c, "Alternative Investment Review Relating To The United States Marketplace", March.

Institutional Investor, 2002, "The Hedge Fund 100", Institutional Investor, June, pp. 43-52.

Irwin, S., C. Zulauf and B. Ward, 1994, "The Predictability of Managed Futures Returns", The Journal of Derivatives, Winter, pp. 20-7.

ISI Publications, 2001a, The Capital Guide to Alternative Investments, Second Edition, (Bermuda: ISI Publications Limited).

ISI Publications, 2000b, A Global Guide to Marketing Funds, First Edition, (Bermuda: ISI Publications Limited).

ISI Publications, 2001c, The Capital Guide to Offshore Funds, Fifth Edition, (Bermuda: ISI Publications Limited).

Jacobs, B. I., 1998, "Controlled Risk Strategies in Alternative Investing", ICFA Continuing Education, AIMR, August, 5, pp. 70-81.

Jacobs, B. I., and K. N. Levy, 1999, "Alpha Transport with Derivatives", The Journal of Portfolio Management, 25(5), pp. 55-60, Special Issue.

Jaeger, L., 2002a, Managing Risk in Alternative Investment Strategies: Investing in Hedge Funds and Managed Futures (New York: Financial Times Prentice Hall).

Jaeger, L., 2002b, "The Significance of Liquidity and Transparency for Multi-manager Hedge Fund Portfolios", in: A Guide to Fund of Hedge Funds Management and Investment, Capital Market Risk Advisors (ed) and AIMA Research, October, pp. 44-7.

Jaffer, S. , 1998, Alternative Investment Strategies (London: Euromoney Publications).

Jensen, G., R. Johnson and J. Mercer, 2000, "Efficient Use of Commodity Futures in Diversified Portfolios", Journal of Futures Market, 20(5), pp. 489-506.

Jorion, P., 2000, "Risk Management Lessons from Long-Term Capital Management" January IFCI Risk Institute, Geneva, Switzerland.

Jorion, P., 2001, Value at Risk: The New Benchmark for Managing Financial Risk, Second Edition (New York: McGraw-Hill).

Kahn, R. N., 1998, "Bond Managers Need to Take More Risk", The Journal of Portfolio Management, Spring, pp. 70-6.

Karavas, V. N., 2000, "Alternative Investments in the Institutional Portfolio", The Journal of Alternative Investments, 3(3), pp. 11-26.

Kat, H., 2001, "Hedge Fund Mania - Some Words of Caution", Working Paper, ISMA Centre, (www.ismacentre.rdg.ac.uk).

Kat, H., and G. Amin, 2001a, "Hedge Fund Performance 1990-2000", Working Paper, ISMA Centre (http://www.ismacentre.rdg.ac.uk).

Kat, H., and G. Amin, 2001b, "Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?", Working Paper, ISMA Center, (http://www.ismacentre.rdg.ac.uk).

Kat, H., and G. Amin,, 2001c, "Welcome to the Dark Side: Hedge Fund Attrition and Survivorship Bias Over the Period 1994-2001", Working Paper, ISMA Centre, December.

Kaufman, P. J., 1987, The New Commodity Trading Systems and Methods (New York: John Wiley & Sons).

Keating, C., and W. F. Shadwick, 2002, "A Universal Performance Measure", Finance Development Centre, London, January.

Klein, R. A., and J. Lederman, 1994, Global Asset Allocation: Techniques for Optimizing Portfolio Management (New York: John Wiley & Sons).

Klein, R. A., and J. Lederman, 1995a, Hedge Funds: Investment and Portfolio Strategies for the Institutional Investor (New York: McGraw-Hill Trade).

Klein, R. A., and J. Lederman, 1995b, Market Neutral: Long/Short Strategies for Every Market Environment (New York: McGraw-Hill Trade).

Klein, R. A., and J. Lederman, 1996, Derivatives Risk and Responsibility: The Complete Guide to Effective Derivatives Management and Decision-Making (New York: McGraw-Hill Professional Publishing).

Kline, D. , 2000, Fundamentals of the Futures Market (New York: McGraw-Hill Trade).
Klopfentstein, G. and J. Stein, 1993, Trading Currency Cross Rates (New York: John Wiley & Sons).

Kuhn, T. S. , 1962, The Structure of Scientific Revolutions (University of Chicago Press).

Kutzen, T., 1999a, "The Perfect Hedge Fund (part I)", AIMA Newsletter, June.

Kutzen, T. , 1999b, "The Perfect Hedge Fund (part II)", AIMA Newsletter, September.

Lake, R., 1996, Evaluating and Implementing Hedge Fund Strategies: The Experience of Managers and Investors (London: Euromoney Publications).

Lavinio, S., 1999, The Hedge Fund Handbook - A Definitive Guide for Analyzing and Evaluating Alternative Investments (New York: McGraw-Hill Trade).

Lederman, J., and M. Pettis, 1998, The New Dynamics of Emerging Market Investment: Managing Sub-Investment-Grade Sovereign Risk (London: Euromoney Publications).

Leibowitz, M. L., L. N. Bader and S. Kogelman, 1995, Return Targets and Shortfall Risk: Studies in Strategic Asset Allocation (New York: McGraw-Hill Trade).

Lequeux, P., 2000, Alternative Investments: Managed Currencies (London: Euromoney Publications).

Lequeux, P. , 1999, Financial Markets Tick by Tick (New York: John Wiley & Sons).

Leslie Rahl Associates , 1992, "Mark to Market Issues of Less Liquid OTC Products".

Liang, B., 1999, "On the Performance of Hedge Funds", Financial Analysts Journal, July/August, 55(4), pp. 72-85

Liang, B., 2000, "Hedge Funds: The Living and the Dead", Journal of Financial and Quantitative Analysis, September, pp 309-26.

Liang, B. , 2001, "Hedge Fund Performance: 1990-1999", Financial Analysts Journal,
January/February, pp. 11-18.

Litterman, R., J. Longerstaey, J. Rosengarten and K. Winkelmann, 2000, "Risk Budgeting for Active Investment Managers", in: Risk Budgeting: A New Approach to Investing, L. Rahl (ed), (London: Risk Books) pp. 131-58.

Lo, A. W., and C. A. MacKinlay, 2002, A Non-random Walk Down Wall Street (New Jersey: Princeton University Press).

Lofthouse, S. , 1995, Reading in Investments (New York: John Wiley & Sons).

Lukomnik, J., 1999a, "Culture Clash: Why Institutions Don't Allocate to Hedge Funds", AIMA Newsletter, September/October.

Lukomnik, J., 1999b, "Not All Alpha is Created Equal", FOW Supplement, October, pp. 10-12.

Lukomnik, J., 2002, "Due Diligence", in: A Guide to Fund of Hedge Funds Management and Investment, Capital Market Risk Advisors (ed) and AIMA Research, October, pp. 55-61.

Malkiel, B. G., 1995, "Returns from Investing in Equity Mutual Funds, 1971 to 1991", The Journal of Finance, 50(2), pp. 549-72.

Mansi, C., and A. Macdonald, 2002, "Selecting, Benchmarking and Monitoring Funds of Hedge Funds", in: A Guide to Fund of Hedge Funds Management and Investment, Capital Market Risk Advisors (ed) and AIMA Research, October, pp. 34-7.

Markowitz, H. M., 1959, Portfolio Selection: Efficient Diversification of Investments (New York: John Wiley & Sons).

Martin, G., 2000, "Making Sense of Hedge Fund Returns: What Matters and What Doesn't?", Derivatives Strategy, Center for International Securities and Derivatives Markets, University of Massachusetts.

McCafferty, T. A., 1994, Winning with Managed Futures: How to Select a Top Performing Commodity Trading Advisor (Chicago: Probus Professional Publishing).

McCarthy, M., 2000, "Risk Budgeting for Pension Funds and Investment Managers Using VAR", in: Risk Budgeting: A New Approach to Investing, L. Rahl (ed), (London: Risk Books) pp. 103-30.

McCarthy, D., T. Schneeweis, and R. Spurgin, 1997, "Informational Content in Historical Performance", Journal of Futures Market, May, pp.44-7.

McMillan, L. G. , 1980, Options as a Strategic Investment (New York Institute of Finance).

Meyers, H. S., and R. G. Heim, 2001, "An Overview of U.S. Hedge Fund Regulation", AIMA Newsletter, September.

Miller, M. H. , 1997, Merton Miller on Derivatives (New York: John Wiley & Sons).

Miller, M., and M. Scholes, 1972, "Rate of Return in Relation to Risk: A Re-examination of Some Recent Findings", in: Studies in the Theory of Capital Markets, M. Jensen (ed) (Praeger Publishers, New York) pp. 47-78.

Moix, P., and C. Schmidhuber, 2001, "Fat Tail Risk: The Case for Hedge Funds (part I)", AIMA Newsletter, September.

Moriyama, E., 2001, "Asset Management Revolution: How to Protect Your Yen Asset Through Risk Diversification and Alternative Investment Strategy Vehicle", (Japan: Daini-Kaientai).

Morgan Stanley DW, Quantitative Strategies Team, 2000, "Why Hedge Funds Make Sense" November.

Mulinacci, A., 2001, "Regulation: Italian Hedge Funds - A Look at Internal Regulations", September, KPMG.

Naik, N. R., and V. Agarwal, 1999a, "Multi-Period Performance Persistence Analysis of Hedge Funds", London Business School, December.

Naik, N. R., and V. Agarwal, 1999b, "On Taking The 'Alternative' Route: Risks, Rewards, Style and Performance Persistence of Hedge Funds", London Business School, December.

Naik, N. R., and V. Agarwal, 2000, "Performance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies", Journal of Financial and Quantitative Analysis, September, pp.1-52.

National Association of Pension Funds, 2001, "Hedge Funds Made Simple: What a Trustee Needs to Know", National Association of Pension Funds.

Nederlof, M., 1995a, "Risk Management Programs (AIMR)", ICFA Continuing Education, October.

Nederlof, M., 1995b, "Structures in the City", DFM, April, pp. 17f.

Nederlof, M., 1995c, "Warning Signs", DFM, July/August pp. 17-19.

Nederlof, M., 1996, "Delegating in the Dark: A Threat to Realizing Maximum Alpha", in: Alpha, The Positive Side of Risk, Investors Press, 2, pp. 64-77.

Nesbitt, S. L., 2002, "2002 Wilshire Report on State Retirement Systems: Funding Levels and Asset Allocation", Wilshire Associates, Inc.

Nicholas, J. G., 1999, Investing in Hedge Funds: Strategies for the New Marketplace (New Jersey: Bloomberg Press).

Nicholas, J. G., 2000a, "Market Neutral and Hedged Strategies", in: Risk Budgeting: A New Approach to Investing, L. Rahl (ed.) (London: Risk Books), pp. 175-247.

Nicholas, J. G., 2000b, Market Neutral Investing: Long/Short Hedge Fund Strategies (New Jersey: Bloomberg Press).

Owen, J. P., 2000, The Prudent Investor's Guide to Hedge Funds: Profiting from Uncertainty and Volatility (New York: John Wiley & Sons).

Park, J. M., and J. C. Straum, 1998, "Performance Persistence in the Alternative Investment Industry", Working Paper, Paradigm Capital Management Inc.

Perold, A. F., 1999, "Long-Term Capital Management, L.P. (A)", Harvard Business School Publication, November.

Peters, C., and B. Warwick, 1996, The Handbook of Managed Futures and Hedge Funds - Performance, Evaluation and Analysis (New York: McGraw-Hill Trade).

President's Working Group on Financial Markets, 1999, "Hedge funds, Leverage, and the Lessons of Long-Term Capital Management", April, (www.aima.org).

President's Working Group on Financial Markets, 2000, "Sound Practices for Hedge Fund Managers", February, (www.aima.org).

Purcell, D., and P. Crowley, 1999, "The Reality of Hedge Funds", The Journal of Investing, 8(3), pp. 26-44.

Raffkind, E. D., and F. Lacy, 1998, "Frequently Asked Questions Concerning Investment Limited Partnerships (Hedge Funds).

Rahl, L. , 2000, Risk Budgeting: A New Approach to Investing (London: Risk Books).

Rahl, L., 2001, "Survival After the Blaze", AIMA Newsletter, April.

Rahl, L., 2002a, "Performance Measurement & Attribution", Investment/Financial Services Review, February.

Rahl, L., 2002b, "The Basics of Hedge Fund Investing: Risk Insights", in: HedgeWorld, Annual Compendium 2002: The Hedge Fund Industry's Definitive Reference Guide, Sections 2-5 to 2-10.

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