Hedge fund modelling and analysis using Excel and VBA / / Paul Darbyshire and David Hampton

• Record Nr.: UNINA9910139122403321
• Autore: Darbyshire Paul
• Pubbl/distr/stampa: Chichester [England] ; ; Hoboken, N.J., : Wiley, 2011
• ISBN: 1-119-94564-X; 1-283-42533-5; 9786613425331; 1-118-37193-3; 1-118-46733-7; 1-119-94563-1
• Edizione: [1st edition]
• Descrizione fisica: 1 online resource (279 p.)
• Collana: Wiley finance
• Altri autori (Persone): HamptonDavid
• Disciplina: 332.64/5240285554
• Soggetti: Hedge funds - Mathematical models
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Hedge Fund Modelling and Analysis Using Excel and VBA; Contents; Preface; 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
• Sommario/riassunto: "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"--