Hedge fund modelling and analysis using Excel and VBA /

Mostrar otras versiones (1)

"This book will serve as a complete course in Hedge Fund Modeling and Analysis and will arm Hedge Funds with the full range of tools they need to manage their risks and capitalize on the return profiles of their investment styles"--

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Darbyshire, Paul
Otros Autores: Hampton, David
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester [England] ; Hoboken, N.J. : Wiley, 2011.
Temas:
Microsoft Excel (Computer file)
Microsoft Visual Basic for applications.
Microsoft Visual Basic for applications
Hedge funds > Mathematical models.
Fonds spéculatifs > Modèles mathématiques.
BUSINESS & ECONOMICS > Finance.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • 1. The Hedge Fund Industry
  • 1.1. What Are Hedge Funds?
  • 1.2. The Structure of a Hedge Fund
  • 1.2.1. Fund Administrators
  • 1.2.2. Prime Brokers
  • 1.2.3. Custodian, Auditors and Legal
  • 1.3. The Global Hedge Fund Industry
  • 1.3.1. North America
  • 1.3.2. Europe
  • 1.3.3. Asia
  • 1.4. Specialist Investment Techniques
  • 1.4.1. Short Selling
  • 1.4.2. Leverage
  • 1.4.3. Liquidity
  • 1.5. New Developments for Hedge Funds
  • 1.5.1. UCITS III Hedge Funds
  • 1.5.2. The European Passport
  • 1.5.3. Restrictions on Short Selling
  • 2. Major Hedge Fund Strategies
  • 2.1. Single- and Multi-Strategy Hedge Funds
  • 2.2. Fund of Hedge Funds
  • 2.3. Hedge Fund Strategies
  • 2.3.1. Tactical Strategies
  • 2.3.1.1. Global Macro
  • 2.3.1.2. Managed Futures
  • 2.3.1.3. Long/Short Equity
  • 2.3.1.4. Pairs Trading
  • 2.3.2. Event-Driven
  • 2.3.2.1. Distressed Securities
  • 2.3.2.2. Merger Arbitrage
  • 2.3.3. Relative Value
  • 2.3.3.1. Equity Market Neutral
  • 2.3.3.2. Convertible Arbitrage.
  • 2.3.3.3. Fixed Income Arbitrage
  • 2.3.3.3.1. Capital Structure Arbitrage
  • 2.3.3.3.2. Swap-Spread Arbitrage
  • 2.3.3.3.3. Yield Curve Arbitrage
  • 3. Hedge Fund Data Sources
  • 3.1. Hedge Fund Databases
  • 3.2. Major Hedge Fund Indices
  • 3.2.1. Non-investable and Investable Indices
  • 3.2.2. Dow Jones Credit Suisse Hedge Fund Indexes
  • 3.2.2.1. Liquid Alternative Betas
  • 3.2.3. Hedge Fund Research
  • 3.2.4. HedgeFund.net
  • 3.2.5. FTSE Hedge
  • 3.2.5.1. FTSE Hedge Momentum Index
  • 3.2.6. Greenwich Alternative Investments
  • 3.2.6.1. GAI Investable Indices
  • 3.2.7. Morningstar Alternative Investment Center
  • 3.2.7.1. MSCI Hedge Fund Classification Standard
  • 3.2.7.2. MSCI Investable Indices
  • 3.2.8. EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com)
  • 3.3. Database and Index Biases
  • 3.3.1. Survivorship Bias
  • 3.3.2. Instant History Bias
  • 3.4. Benchmarking
  • 3.4.1. Tracking Error
  • Appendix A Weighting Schemes
  • 4. Statistical Analysis.
  • 4.1. Basic Performance Plots
  • 4.1.1. Value Added Monthly Index
  • 4.1.2. Histograms
  • 4.2. Probability Distributions
  • 4.2.1. Populations and Samples
  • 4.3. Probability Density Function
  • 4.4. Cumulative Distribution Function
  • 4.5. The Normal Distribution
  • 4.5.1. Standard Normal Distribution
  • 4.6. Visual Tests for Normality
  • 4.6.1. Inspection
  • 4.6.2. Normal Q-Q Plot
  • 4.7. Moments of a Distribution
  • 4.7.1. Mean and Standard Deviation
  • 4.7.2. Skewness
  • 4.7.3. Excess Kurtosis
  • 4.7.4. Data Analysis Tool: Descriptive Statistics
  • 4.8. Geometric Brownian Motion
  • 4.8.1. Uniform Random Numbers
  • 4.9. Covariance and Correlation
  • 4.10. Regression Analysis
  • 4.10.1. Ordinary Least Squares
  • 4.10.1.1. Coefficient of Determination
  • 4.10.1.2. Residual Plots
  • 4.10.1.3. Jarque-Bera Normality Test
  • 4.10.1.4. Data Analysis Tool: Regression
  • 4.11. Portfolio Theory
  • 4.11.1. Mean-Variance Analysis
  • 4.11.2. Solver: Portfolio Optimisation.
  • 4.11.3. Efficient Portfolios
  • 5. Risk-Adjusted Return Metrics
  • 5.1. The Intuition behind Risk-Adjusted Returns
  • 5.1.1. Risk-Adjusted Returns
  • 5.2.Common Risk-Adjusted Performance Ratios
  • 5.2.1. The Sharpe Ratio
  • 5.2.2. The Modified Sharpe Ratio
  • 5.2.3. The Sortino Ratio
  • 5.2.4. The Drawdown Ratio
  • 5.3.Common Performance Measures in the Presence of a Market Benchmark
  • 5.3.1. The Information Ratio
  • 5.3.2. The M-Squared Metric
  • 5.3.3. The Treynor Ratio
  • 5.3.4. Jensen's Alpha
  • 5.4. The Omega Ratio
  • 6. Asset Pricing Models
  • 6.1. The Risk-Adjusted Two-Moment Capital Asset Pricing Model
  • 6.1.1. Interpreting H
  • 6.1.2. Static Alpha Analysis
  • 6.1.3. Dynamic Rolling Alpha Analysis
  • 6.2. Multi-factor Models
  • 6.3. The Choice of Factors
  • 6.3.1.A Multi-Factor Framework for a Risk-Adjusted Hedge Fund Alpha League Table
  • 6.3.2. Alpha and Beta Separation
  • 6.4. Dynamic Style Based Return Analysis
  • 6.5. The Markowitz Risk-Adjusted Evaluation Method
  • 7. Hedge Fund Market Risk Management
  • 7.1. Value-at-Risk
  • 7.2. Traditional Measures
  • 7.2.1. Historical Simulation
  • 7.2.2. Parametric Method
  • 7.2.3. Monte Carlo Simulation
  • 7.3. Modified VaR
  • 7.4. Expected Shortfall
  • 7.5. Extreme Value Theory
  • 7.5.1. Block Maxima
  • 7.5.2. Peaks over Threshold.

Ejemplares similares