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1、CHAPTER25SOURCESOFCHANGEANDRISKFORHEDGEFUNDS∗CliffordS.AsnessAlotofchangeisonthehorizonforhedgefunds,particularlygiveninstitutionalinvestors’growinguseofalternativeinvestments.Thechangeswilllikelybringagreaterfocusonbenchmarking,callsforincreasedtransparency,aneedforbett
2、erarticulationofinvestmentstrategies,rationalizationofhedgefundfees,andtheneedforsolidriskcontrolmechanisms.Thefuturealsobringssubtleshiftsinhedgefundrisk.Andalthoughtheriskofblowupsstillexists,perhapsthelargerfutureriskwillrelatetodiminishedreturns.Inthispresentation,Iw
3、illtakeabigpictureviewofthehedgefundworld,butthecoreofthepresentationwillrelatetoanideathatiscomingupevermorefrequentlyhedgefundsarebecomingmuchmoreinstitutionalized.Althoughinstitutionalizationcanmeanmanydif-ferentthings,Iwilljumprightinanddescribeitthroughafocusonfiveke
4、yissuesthatcomeupasaconsequenceofinstitutionalization:benchmarking,transparency,articulationoftheinvestmentstrategy,feerationalization,andriskcontrol.BENCHMARKINGForbetterorworse,institutionalizationbringsaboutagreaterfocusonbenchmarking.Andamyriadofwaysexisttosetupabenc
5、hmarkdependingonwhethertheinvestorwantsto∗ReprintedfromCFAInstituteConferenceProceedings:ChallengesandInnovationinHedgeFundManagement(August2004):49,1314.Note:CliffordAsnesswasjoinedbyDanOchinajointQuestionandAnswerSessionattheendofhispresentation.367CH025.indd3678/28/10
6、8:36:53PM368PartIII:ManagingRisk—AlternativeInvestmentsanalyzeanindividualhedgefundmanagerorahedgefundprogram.Probablyoneofthemostbasicbenchmarksisasimpleabsolutenumber,whichcouldbeanynumberthatthemanagerandclientagreeon.Ofcourse,anabsolutenumbermakeslittlesenseinaworldw
7、hereinflationandinterestratesmovearound.Becausegettingaroundthatproblemisdifficult,anotherlevelofbench-markingadjustsforchangesininflationandinterestrates.Atthislevel,investorswilltypicallyseeanabsolutenumberthatissomeproxyforariskpremiumplusameasureforrates,suchas6percentp
8、lusT-billsortheU.S.ConsumerPriceIndex(CPI).Butifinvestorsaregoingtorecognizeanexternalinfluence,suchasra
