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1 2008 4
2 UFJ MURCMURC
3
4 LTCM 83 LTCM 83 LTCM FSF 108 IOSCO FoHF Hedge Fund Working Group 113 Managed Funds Association
5 - 4 -
6 - 5 -
7 1949 Fortune Associate Editor Alfred Winslow Jones Jones Jones % Jones 1966 Fortune Jones 1950 A.W.Jones & Co. Jones 4-5 -
8 Tiger Fund George Soros Quantum Fund European Monetary System: EMS EMS EMS Soros % 12% 15% 9 17 EMU Soros 210 Soros 9 5 Fortune Jones 5 85% p Institutional Investers Julian Robertson Tiger Fund 8 Quantum Fund Soros
9 1998 LTCM 10 LTCM LTCM LTCM LTCM LTCM BOX 1 10 LTCM p
10 1-1 Hedge Fund Research, Inc., HFR Industry Report Year End p LTCM Federal Reserve Bank of Atlanta, Hedge Funds: An Industry in Its Adolescence, Economic Review, Fourth Quarter 2006, p R. Ferguson & D. Laster, Hedge funds and systemic risk, Banque de France, Financial Stability Review Special issue on hedge funds No.10, LTCM - 8 -
11 * : CSFB/Tremont : TASS Fund of Funds Universe Average : MSCI World : Citigroup BIG Bloomberg CSFB/Tremont Lipper TASS Database 2006 p
12 IT % % 74.0% p p p p
13 CAPM Jensen 19 Rp Rf pp RM Rf Rp Rf RM p p TOPIX S&P TOPIX TOPIX 19 Michael C. Jensen, The performance of mutual funds in the period , Journal of Finance (Vol.23, No.2), 1968, p
14
15 % 73.7% 67.7% 89.5% 6.0% 19.3% 26.8% 19.3% 0.4% 1.8% 24.6% 40.4% 0% 20% 40% 60% 80% 100% p
16 Special Purpose Company SPC PE PE PE 24 PE PE 25 California Public Employees' Retirement System: CalPERS supra note 15, p p p supra note 15, p supra note 23, p supra note 16, p
17 G7 28 G8 29 International Organization of Securities Commissions: IOSCO IOSCO IOSCO IOSCO 1998 LTCM 30 Highly Leveraged Institution: HLIs Regulatory and Investor Protection Issues Arising from the Participation by Retail Investors in (Funds-of-)Hedge Funds 27 Hedge Fund Research HFR Tremont Capital Management IOSCO Regulatory and Investor Protection Issues Arising from the Participation by Retail Investors in (Funds-of-)Hedge Funds p.2 professional qualified sophisticated IOSCO IOSCO Executive CommitteeTechnical Committee 5 Standing Committee on Investment Management: SC5 IOSCO Web IOSCO Working Committees
18 IOSCO % 1 IOSCO 34 IOSCO The Regulatory Environment for Hedge Funds A Survey and Comparison PE 2003 IOSCO 32 IOSCO, Regulatory and Investor Protection Issues Arising from the Participation by Retail Investors in (Funds-of-)Hedge Funds, 2003, p supra note 32, p
19 1-5IOSCO 35 SEC CB CFTC FSA BaFin AMF FSABaFin AMF IOSCO The Regulatory Emvironment for Hedge Funds A Survey and Comparison 2007 p p
20 IOSCO 1-6 Hedge Fund Standards Board 1.5% 2.0% 20% and/or and/or Hedge Co.Net Eurekahedge Agarwal & Naik London Business School HFSB Hedge Co.Net Eurekahedge London Business School
21
22 p p Lipper Tass Database Lipper Tass Database
23 - 21 -
24 LLC 40 ERISA
25 % p.9 76% p
26 p Lipper Tass Database Lipper Tass Database
27 p Lipper Tass Database Lipper Tass Database
28 45 CB M&A 45 CSFB/Tremont Tomas Garvaravicius and Frank Dierick, Hedge Funds and Their Implications for Financial Stability ECB Occasional Paper Series, No.34, 2005 CSFB/Tremont
29 46 3 CB ABS Fixed Income Relative Value 46 MSCI S&P500 TOPIX
30 CB CB 47 CB CB 50 CB CB M&A p Vikas Agarwal, William H. Fung, Yee Cheng Loon& Narayan Y. Naik, Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market, 2006, p.4 50 CB
31 51 Long Short Equity p.8 Clifford Asness, An Alternative Future: Part II An exploration of the role of hedge funds, Financial Engineering Practitioners Seminars, Columbia University, November 2005, p
32 1990 Commodity Trading Advisor CTA CTA CFTC 7U.S.C. 6m CTA
33 M&A Junk Bond DistressedHigh Yield Bond M&A M&AM&A M&A 56 M&A M&A Capital Structure Arbitrage
34 LTCM 1, PWG, Hedge Funds, Leverage, and the lessons of Long-Term Capital Management, 1999, p
35 59 60 M&A p
36 % % % Sector composition (%) Other Relative Value Event Driven Equity long/short Macro Alternative Investment Solutions (based on data from HFR) Relative Value 63 Equity long/short equity non-hedge, emerging markets, sector funds
37 Hedge Fund Research Hedge Fund Research HFR 7,000 HFRX Indices 12 HFRI Monthly Performance Index HFRX Indices HFRX Indices HFR 2 5,000 HFRX Indices Global Index ,000 Global Index ,332 HFRXED Event-Driven HFRXDS Distressed Securities ,495 1,
38 2-9 HFRX Indices HFRXGL = Global Index HFRXEW = Equal Weighted Strategies HFRXAR = Absolute Return HFRXMD = Market Directional HFRXCA = Convertible Arbitrage HFRXDS = Distressed Securities HFRXEH = Equity Hedge HFRXEMN = Equity Market Neutral HFRXED = Event-Driven HFRXM = Macro HFRXMA = Merger Arbitrage HFRXRVA = Relative Value Arbitrage HFR HFRI Monthly Performance Index HFRI Monthly Performance Index 1 5,000 2,
39 CSFB Tremont CSFB Tremont Credit Suisse/Tremont Hedge Fund Index Credit Suisse/Tremont Investable Index 11 CSFB Tremont Credit Suisse/Tremont Hedge Fund Index Hedge Fund Index Credit Suisse/Tremont Hedge Fund Index Credit Suisse/Tremont
40 Hennessee Hedge Fund Indices Hennessee 3,500 1, Hennessee Hedge Fund Indices 1987 Greenwich Global Hedge Fund Index Greenwich Global Hedge Fund Index Greenwith Alternative Investments ResearchGAI GAI ,000 2,000 GAI Greenwich Investable Hedge Fund Indices Eurekahedge Hedge Fund Index Eurekahedge Hedge Fund Index Eurekahedge Index Eurekahedge
41 Backfill Bias Survivorship Bias 67 Backfill Bias % Survivorship Bias % Burton G. Malkiel and Atanu Saha, Hedge Funds: Risk and Return, Financial Analysts Journal Volume 61 No.6, % p
42 Hedge Fund Research , % % % International Financial Services, London IFSL , IFSL, Hedge Funds City Business Series April 2007, p.1 Chart 1 Lipper HedgeWorld Lipper Tass Database ,500 Lipper Tass Database ,900 Lipper HedgeWorld Tremont Capital Management Lipper HedgeWorld Tremont Capital Management About Lipper HedgeWorld
43 % Hedge Fund Research, Inc., HFR Industry Report Year End p.6 71 McKinsey Global Institute, Mapping the Global Capital Markets Fourth Annual Report, January McKinsey Global Institute, The New Power Brokers: How Oil, Asia, Hedge Funds, and Private Equity Are Shaping Global Capital Markets, October
44 Lipper Tass Database , , Securities and Exchange Commission SEC SEC SEC DC SEC SEC p Hedge Fund Research Eureka Hedge
45 3-2 Lipper Tass Database Tremont Capital Management Jeffrey Slocum & Associates 76, The Market Environment First Quarter 2007, p.6 76 Jeffrey Slocum & Associates, Inc. Jeffrey Slocum & Associates Web Market Updates
46 Hedge Fund Research , ,000 9,462 10,096 8,664 8,000 7,436 6,297 6,000 5,379 4,454 4,000 2, ,105 1,514 1,945 2,383 2,781 2,990 3,325 3,616 3, Hedge Fund Research, Inc., HFR Industry Report Year End p , % % % %
47 3-4 (a) (b) (b)/(a) (c) (c)/(a) * (c)/(b) ,781 (16.7%) 507 (18.2%) 109 (3.9%) 21.5% ,990 (7.5%) 261 (8.7%) 52 (1.7%) 19.9% ,325 (11.2%) 450 (13.5%) 115 (3.5%) 25.6% ,616 (8.8%) 348 (9.6%) 57 (1.6%) 16.4% ,873 (7.1%) 328 (8.5%) 71 (1.8%) 21.6% ,454 (15.0%) 673 (15.1%) 92 (2.1%) 13.7% ,379 (20.8%) 1,087 (20.2%) 162 (3.0%) 14.9% ,297 (17.1%) 1,094 (17.4%) 176 (2.8%) 16.1% ,436 (18.1%) 1,435 (19.3%) 296 (4.0%) 20.6% ,664 (16.5%) 2,073 (23.9%) 848 (9.8%) 40.9% ,462 (9.2%) 1,518 (16.0%) 717 (7.6%) 47.2% 2007 (Q1) % 2007 (Q2) % 2007 (Q3) % * Hedge Fund Research, Inc., HFR Industry Report Year End p.9, Naohiro Baba and Hiromichi Goko, Survival Analysis of Hedge Funds, Bank of Japan Working Paper Series, Lipper Tass Database 10 8% 4% p
48 Lipper HedgeWorld Lipper Tass Database % 31% p p
49 p
50 5 EU 80 EU EU , % 80% % 40% % 0% HedgeFund Intelligence Eureka Hedge IFSL, Hedge Funds City Business Series April 2007, Chart 3 80 Eureka Hedge HSBC , , IFSL, Hedge Funds City Business Series April 2007, p
51 % % % 90% 80% 70% 60% 50% % 30% 20% % 0% Hennessee Group LLC IFSL, Hedge Funds City Business Series April 2007, Chart
52 , , , : ,474 3,431 3,718 7,709 7,766 25, p
53 1 5, % 6, % p.9 84 supra note 83, p
54 , % 1, % % , (24.8%) 348 (27.8%) p p ,
55 % 72.2% 88 BIS % 3.8% 72.2% % 53.3% 4.1% p p % %
56 25% 15% p
57 % , , p.3 75% 1% 3-15B/S p p
58 % 79.3% 39.7% 46.6% 58.8% 55.2% 5.2% 14.7% 13.2% 12.1% 8.8% 27.6% 11.8% 19.0% 41.2% 39.7% 8.8% n/a 1.5% 5.2% 0% 20% 40% 60% 80% 100% p % 43.2% 42.1% 40.9% 47.4% 43.2% 42.1% 56.8% 42.1% 63.6% 10.5% 47.7% 0.0% n/a 11.4% 10.5% 0% 20% 40% 60% 80% p
59 BIS BIS 2006 BIS 3-18 BIS 8.8% 8.8% 7.8% 4.9% 4.9% 3.9% 2.0% 23.5% 21.6% 20.6% 19.6% 14.7% 14.7% 32.4% 41.2% 48.0% 0% 10% 20% 30% 40% 50% 60% p
60 % 55.6% 20.0% 22.2% 52.2% 48.1% 18.9% 31.5% 33.3% 40.7% n/a 18.9% 18.5% 21.1% 24.1% 14.4% n/a 7.8% 22.2% 27.8% 0% 10% 20% 30% 40% 50% 60% p BIS : p
61 , , % % IT % 3.23% 3.47% 20.87% 30.81% 11.67% 18.32% 7.46% 4.81% 2.90% 2.90% 21.80% 28.04% 12.52% 18.80% 8.24% 0% 20% 40% 60% 80% 100% * p p p
62 % % % % % % % % % % % % % p % 39.1% 10% 26.1% % % 3 2.3% 4 2.0% 2 1.3% 1 3% % % % 3 5% % % % 5 10% % % % 10% % % % % % % p , %
63 % % % % % % % % % % % % % % 3 1.6% 1 0.4% 1 0.6% p % % 5% % % % % % % 10 20% 1 0.5% 2 0.8% 6 3.4% 20% 0 0.0% 1 0.4% 0 0.0% % % % % % % p % % % % % % % % % % % % % % % % % % % 4 1.7% 6 3.4% p
64 , p
65 % * p p
66 % % % The Retail Mutual Funds (Japan) Regulations p p Retail Mutual Funds (Japan) Regulations
67 p
68 Institutional Investors Alpha Financial Times Cover Story Hedge Fund 100, Institutional Investors Alpha, May 2007, p Financial Times, 100 Hedge funds to watch. newsworthiness Financial Times HEDGE FUNDS: How and why they are in the list, FT
69 4-1 JP Morgan/Highbridge New York 33,087 Goldman Sachs Asset Mgmt. New York 32,531 Bridgewater Westport (Connecticut) 30,210 DE Shaw New York 27,300 Farallon San Francisco 26,200 Renaissance Technologies East Setauket (New York) 26,000 Och-Ziff New York 21,000 Barclays Global Investors London 18,953 Man Group/AHL London 18,800 ESL Investments Greenwich (Connecticut) 17,500 GLG Partners London 15,833 Tudor Greenwich (Connecticut) 14,850 Citigroup/Tribeca New York 14,081 Lansdowne Partners London 14,000 Campbell & Composite Towson (Maryland) 13,600 Atticus Capital New York 13,500 Caxton Associates New York 13,500 Citadel Chicago 13,400 Cerberus Capital New York 12,800 Moore Capital New York 12,500 REPORT, April 27, 2007 URL
70 JP Morgan/Highbridge New York 33, JP Morgan 17,300 Highbridge 15,700 Multi-strategy % JP Morgan Highbridge 2006 Goldman Sachs Asset Mgmt. New York 32, Multi-strategy % Global Alpha Global Alpha % 2006 Bridgewater Westport (Connecticut) 30, Currency overlay, credit and emerging market debt 2006 n/a Dalio DE Shaw New York 27, Macro strategies 9,400 Equity & equity-linked strategies 6,100 Futures & currency-related strategies 1,300 Multi-strategy %
71 Farallon San Francisco 26, Merger arbitrage, Multi-strategy % 1986 Renaissance Technologies East Setaucet (New York) 26, Renaissance Equity International Fund 20,000 Medallion 6,000 Quant % Medallion Medallion Och-Ziff East Setaucet (New York) 21, Och-Ziff Master 15,000 Och-Ziff Europe 3,500 Och-Ziff Asia 2,500 Multi-strategy %
72 Barclays Global Investors London 18, Equity long-short 10,914 Global macro and currency 6,618 Fixed-income long-short 1,421 Quantitative 2006 n/a 2001 Man Group/AHL London 18, Man AHL Diversified 2,530 Man AHL Alpha 397 Athena Guaranteed Futures 28 Managed futures % Man AHL Diversified 20 AHL Man Group FTSE 100 Index ESL Investments Greenwich (Connecticut) 17, Activist, distressed % %
73 GLG Partners London 15, Multi-strategy 2006 n/a Market Neutral 25.6% European Long-Short 17.1% Emerging Markets 59.9% % Tudor Greenwich (Connecticut) 14, Raptor Global Portfolio 7,309 Tudor BVI Global Portfolio 5,953 Tudor Tensor Portfolio 694 Witches Rock Portfolio 503 Tudor Futures Fund 324 Multi-strategy % Tudor Jones Citigroup/Tribeca New York 14, Tribeca 2,300 Multi-strategy % Tribeca Citigroup Goldman Sachs
74 Lansdowne Partners London 14, European Equity UK Equity Long-short and macro 2006 n/a European Equity 15.82% UK Equity 23.24% 1998 EU 3 Lansdowne Partners 19% Campbell & Company 98 Towson (Maryland) 13, Financial, Metal & Energy Large Portfolio Global Diversified Large Portfolio Multi-strategy % Financial, Metal & Energy Large Portfolio 5.48% Global Diversified Large Portfolio 6.30% 1972 Campbell & Company 10 Atticus Capital New York 13, Atticus European Atticus Global Event-driven 2006 n/a Atticus European 44% Atticus Global 36% Financial Times 100 Web
75 Caxton Associates New York 13, Caxton Global Investments 11,000 Caxton Alpha Equity 1,100 Managed futures, global macro % 1983 Citadel Chicago 13, Citadel Kensington Global Strategies Fund 10,100 Citadel Wellington 3,300 Multi-strategy 2006 n/a private debt Cerberus Capital New York 12, Cerberus International 5,300 Styx International 3,600 Cerberus Partners 2,100 Black Acre 200 Distressed %
76 Moore Capital New York 12, Moore Global Investments 6,000 Moore Fixed Income 4,100 Moore Emerging Markets 900 Moore Credit 400 Global macro % Moore Global Investments
77 FM FM Institutional Investors Alpha Financial Times Financial Times
78 4-2 FM FM , GCI n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 5,
79 , , , , , % ,000 1, % 70.0% , % 95.5% , , , , , , ,
80 , , , % ,000 1, % 6.3% % - - 2,478 1,001-16, % 5.0% % - - GCI , , , , , , , , , , , , , % ,000 1, % 57.2% - 7.1% - - 2,655 14,167-10, % 51.3% %
81 , , , , , , , , , , % ,000 1, % 26.1% 21.7% 21.7% - - 2,714 15,713 36, , % 10.0% 23.1% 65.2% , , , , , , , ,
82 , % ,000 1, % 23.1% 7.7% 15.4% - - 3,074 5,190 5,400 29, % 12.0% 12.5% 68.3% , , , , , , , , , , , , , % ,000 1, % 50.0% 25.0% ,493 8, % 27.99% 71.36%
83 , , , , , , , , , , , , , , % ,000 1, % 44.74% 15.79% 26.32% 1.32% 1.32% 5,595 83,394 91, ,693 81, , % 9.63% 10.51% 50.06% 9.40% 19.76%
84 1992 Quantum Fund European Monetary System EMS EMS 102 European Community EC EMS EMS 2.25% European Exchange Rate Mechanism ERM 2.25% 1990 EMS ERM 1990 EMS EMS % 12% 15%9 17 EMS LTCM 102 Quantum Fund Richard E. Baldwin, Policy Making in a Globalising World, Richard E. Baldwin, Graduate
85 LTCM LTCM Long-Term Capital Management LTCM1994 LTCM Federal Reserve Board FRB ,000 LTCM LTCM 90 LTCM LTCM 9 10 LTCM LTCM Institute of International Studies, Geneva, 1998, p p LTCM PWG, Hedge Funds, Leverage, and the lessons of Long-Term Capital Management, p J International Swaps and Derivatives Association
86 LTCM LTCM LTCM LTCM 105 LTCM LTCM LTCM 106 LTCM LTCM LTCM LTCM 108 LTCM 109 LTCM 110 LTCM J International Swaps and Derivatives Association p PWG, Hedge Funds, Leverage, and the lessons of Long-Term Capital Management, LTCM 50 1, p supra note 106, p supra note 108, p
87 LTCM 111 LTCM LTCM President's Working Group on Financial Markets PWG 112 LTCM Highly Leveraged Institutions HLIs 113 LTCM B.J.Eichengreen, D.J.Mathieson, S.Sharma, B.Chadha, L.E.Kodres, A.Jansen, Hedge Funds and Financial Market Dynamics, Occasional Paper International Monetary Fund: IMF, May PWG, Hedge Funds, Leverage, and the lessons of Long-Term Capital Management, PWG Agreement among PWG and U.S. agency principals on principles and guidelines regarding private pools of capital p.3pwg 1999 G p
88 PWG 115 IOSCO IOSCO International Organization of Securities Commissions HLIs HLIs HLIs HLIs HLIs 115 supra note 113, p Technical Committee of IOSCO, Hedge Funds and Other Highly Leveraged Institutions,
89 Financial Stability Forum FSFLTCM G PWG IOSCO Basel Committee on Banking Supervision HLIs HLIs HLIs HLIs BCBS HLIs 2000 IOSCO OTC 1999 p Financial Stability Forum, Report of the Working Group on Highly Leveraged Institutions, Basel Committee on Banking Supervision, Banks Interactions with Highly Leveraged Institutions, Basel Committee on Banking Supervision, Banks Interactions with Highly Leveraged Institutions: Implementation of the Basel Committee s Sound Practices Paper,
90 2000 Greenwich % JP H.Till, EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle October, 2006 p Burton, Katherine and Matthew Leising, Amaranth Says Funds Lost 50% on Gas Trades This Month, Bloomberg News, September 18, p LTCM H.Till, EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle, October,
91 2006 1/3 126 LTCM 127 LTCM LTCM LTCM p p
92 Senate Committee on Homeland Security and Governmental Affairs 129 New York Mercantile Exchange NYMEX IntercontinentalExchange ICE 2006 ICE NYMEX ICE Commodity Futures Trading Commission CFTC ICE ICE NYMEX CFTC NYMEX ICE CFTC 129 Senate Committee on Homeland Security and Governmental Affairs, Permanent Subcommittee on Investigations, The Role of Market Speculation in Rising Oil and Gas Prices: A Need to Put the Cop Back on the Beat Staff Report,
93 IT
94 SIVResidential Mortgage Backed Securities RMBSRMBS Collateralized Debt Obligations CDO p
95 RMBS CDO LTCM Hedge Fund Working Group HFWP p Wall Street Journal, Heard on the Street, November 19, Hedge Fund Research , , HFWG, Hedge Fund Standards: Final Report, January
96 LTCM LTCM LTCM p supra note 135, p supra note 135, p
97 Eichengreen and Mathieson Fung and Hsieh FRB FRB LTCM Eichengreen, Barry and Donald Mathieson, Hedge Fund and Financial Markets: Implications for Policy, Hedge Funds and Financial Market Dynamics, International Monetary Fund Occasional Paper, 166, Fung, William and David A. Hsieh, Measuring the Market Impact of Hedge Funds, Journal of Empirical Finance, 7, supra note 135, p p supra note 141, p Chairman Ben S.Bernanke, Hedge Funds and Systemic Risk, Speech at the Federal Reserve Bank of Atlanta s 2006 Financial Markets Conference, Sea Island, Georgia, May
98 LTCM 145 aggregate stress test ECB European Central Bank ECB Chan, Getmansky, Haas, and Lo 148 Capital Markets Safety Board National Transportation Safety Board Lucas D. Papademos, Monitoring hedge funds: a financial stability perspective, Banque de France Financial Stability Review, No.10, 2007, p supra note 146, p Nicholas Chan, Mila Getmansky, Shane M.Haas, and Andrew W.Lo, Do Hedge Funds Increase Systemic Risk? Federal Reserve Bank of Atlanta Economic Review, Fourth Quarter, 2006, p
99 NYMEX 150 Haigh et al. 151 FRB 152 FSF Khandani and Lo supra note 135, p.39, p NYMEX, A Review of Recent Hedge Fund Participation in NYMEX Natural gas and Crude oil Futures Market, Michael S. Haigh,, Jana Hranaiova and James A. Overdahl, Price Dynamics, Price Discovery and Large Futures Trader Interactions in the Energy Complex, CFTC Working Paper (Staff Official Report), Roger T. Cole, Greg Feldberg, David Lynch (Division of Banking Supervision and Regulation, FRB), Hedge funds, credit risk transfer and financial stability, Banque de France Financial Stability Review, No.10, Senior Supervisory Financial Analyst 153 FSF, Progress in implementing the Recommendation of the FSF Update Report on Highly Leveraged Institutions, Amir E Khandani and Andrew W. Lo, What Happened To The Quants In August 2007?
100 5-3 US Convertible Bond Cheapness (%) Aug-00 Aug-01 Aug-02 Aug-03 All C onvertibles (VXA0) New Issues (VNEW ) Aug-04 Aug p5-98 -
101 % % Financial Information Technology Focus p
102 Fung and Hsieh Berk and Green supra note 157, p Fung and Hsieh, Hedge fund replication strategies: implications for investors and regulators, Banque de France Financial Stability Review, No.10, 2007, p Berk J. and Green R., Mutual fund flows and performance in rational markets, Journal of Political Economy, William Fung and David A. Hsieh, Hedge Fund Benchmarks: A Risk-Based Approach, Financial Analysts Journal, Vol.60 No.5, 2004; Fung and Hsieh Fung and Hsieh 2007 p
103 Factor Approach Mechanical Trade Replication Merrill Lynch, The Emergence of Synthetic Hedge Funds supra note 163, p Web supra note 163, p supra note
104 168 Factor Approach LTCM Web supra note supra note supra note supra note supra note
105 supra note supra note supra note 157, p IT p supra note 165, note supra note 160, p supra note 177, p supra note 160, p
106 Fortress Och-Ziff SEC NYSE Dexion Absolute Limited Pascal Roduit, Investment in Listed Hedge Funds p
107 3 M&A p.93 NAV NAV NAV
108 LTCM FSF Financial Stability Forum IOSCO International Organization of Securities Commissions LTCM1999 2G7 Interamerican Association of Securities Commissions LTCM IOSCO PWG President's Working Group on Financial Market FRB SECCFTC LTCM
109 7-2 Financial Stability Forum FSF FSF Highly Leveraged Institutions : HLIs URL FSF, Report of the Working Group on Highly Leveraged Institutions, April 2000 LTCM FSF
110 FSF 7 FSF HLIs % 190 LTCM G8 G8 189 FSF, Update of FSF Report on Highly Leveraged Institutions, May supra note 189, p supra note 189, p supra note 189, p
111 FSF G8 FSF FSF 194 FSF G Hedge Fund Working Group 193 URL URL g8-summit/anlagen/chairs-summary,templateid=raw,prop erty=publicationfile.pdf/chairs-summary 195 FSF, Progress in Implementing the Recommendations of the FSF Update report on Highly Leveraged Institutions, October
112 IOSCO International Organization of Securities Commissions IOSCO1974 Interamerican Association of Securities Commissions 1986 IOSCO 197 IOSCO 5 5 SC FoHF 200 IOSCO IOSCO 36 IOSCO 1990 IOSCO 198 IOSCO, Principles for the Valuation of Hedge Fund Portfolios (Consultation Report), March IOSCO, Principles for the Valuation of Hedge Fund Portfolios (Final Report), November IOSCO, Call for Views on issue that could be Addressed by IOSCO on Funds of Hedge Funds (Consultation Report), April supra note 199, p Governing Body
113 FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHFFoHF FoHF FoHF FoHF FoHF FoHF 205 FoHF 203 supra note 200, p IOSCO, Regulatory and Investor Protection Issue Arising from the Participation by Retail Investors in (Funds-of) Hedge Funds, February
114 206 FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF FoHF
115 FSF IOSCO Hedge Fund Working Group HFWG Managed Funds Association MFA Alternative Investment Management Association AIMA Hedge Fund Working Group Hedge Fund Working Group HFWGFSF HFWG 208 AIMA AIMA s Illustrative Questionnaires for Due Diligence, AIMA Guide tosound Practices for European Hedge Fund Managers, AIMA s Guide to Sound Practices for Hedge Fund Valuation, AIMA s Offshore Alternative Fund Director s Guide, AIMA Guidance Notes: Market Ethics 209 URL AIMA 211 HFWG, Hedge Fund Standards: Consultation Paper PART 1: Approach to best practice in context, October 2007 HFWG, Hedge Fund Standards: Consultation Paper PART 2: The best practice standards, October HFWG, Hedge Fund Standards: Final Report, January
116 213 Valuation Valuation Policy Document
117 HF HF HF 214 supra note 212, p supra note 212, p supra note 212, p
118 HF HF Hedge Fund Standards Board Ltd HFSBAIMA Managed Funds Association Managed Funds Association MFA HFWG IT NAV 217 MFA, Sound Practices for Hedge Fund Managers, November
119 IOSCO HFRX Indices Credit Suisse/Tremont Hedge Fund Index B/S BIS BIS
120
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No.118 November 2001 ISO ISO takeishi@fri.fujitsu.co.jp ISO14001 CEAR A4823 1. ISO14000 ISO14000 ISO14001 2. ISO ISO. ISO14001 ISO9000 OHSAS18001 18002 ISO14001 ISO IEC13335 ISO10006. ISO ISO14001 ISO9000
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Research Center for Price Dynamics A Research Project Concerning Prices and Household Behaviors Based on Micro Transaction Data Working Paper Series No.7 Tomorrow Next を用いた金融政策の分析 青野幸平 June 14, 2012 4th
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Mohammad Reza SARKAR ARANI Associate Professor, Allameh Tabatabai University Visiting Research Scholar, International Research Center for Japanese Studies 200718 Mohammad Reza SARKAR ARANI Visiting Research