LEADER 05312nam 2200733 a 450 001 9910139122403321 005 20200520144314.0 010 $a1-119-94564-X 010 $a1-283-42533-5 010 $a9786613425331 010 $a1-118-37193-3 010 $a1-118-46733-7 010 $a1-119-94563-1 035 $a(CKB)2560000000079448 035 $a(EBL)835545 035 $a(SSID)ssj0000590903 035 $a(PQKBManifestationID)11369499 035 $a(PQKBTitleCode)TC0000590903 035 $a(PQKBWorkID)10671241 035 $a(PQKB)11310449 035 $a(Au-PeEL)EBL835545 035 $a(CaPaEBR)ebr10526683 035 $a(CaONFJC)MIL342533 035 $a(OCoLC)796002051 035 $a(CaSebORM)9780470747193 035 $a(MiAaPQ)EBC835545 035 $a(PPN)183856554 035 $a(OCoLC)806221380 035 $a(OCoLC)ocn806221380 035 $a(EXLCZ)992560000000079448 100 $a20111110d2011 uy 0 101 0 $aeng 135 $aurunu||||| 181 $ctxt 182 $cc 183 $acr 200 10$aHedge fund modelling and analysis using Excel and VBA /$fPaul Darbyshire and David Hampton 205 $a1st edition 210 $aChichester [England] ;$aHoboken, N.J. $cWiley$d2011 215 $a1 online resource (279 p.) 225 1 $aWiley finance 300 $aDescription based upon print version of record. 311 $a0-470-74719-6 320 $aIncludes bibliographical references and index. 327 $aHedge 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 327 $a2.1 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 327 $a3.2.1 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 327 $a3.4 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 327 $a4.8 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 327 $a5.2.2 The Modified Sharpe Ratio 330 $a"This book will serve as a complete course in Hedge Fund Modeling and Analysis and will arm Hedge Funds with the full range of tools they need to manage their risks and capitalize on the return profiles of their investment styles"--$cProvided by publisher. 410 0$aWiley finance series. 606 $aHedge funds$xMathematical models 615 0$aHedge funds$xMathematical models. 676 $a332.64/5240285554 700 $aDarbyshire$b Paul$0970548 701 $aHampton$b David$0994270 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139122403321 996 $aHedge fund modelling and analysis using Excel and VBA$92277037 997 $aUNINA