Hedge fund modelling and analysis using Excel and VBA

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

資料種別:

図書

出版情報:

Chichester, West Sussex : Wiley, 2011

形態:

xv, 261 p. ; 24 cm

著者名:

ISBN:

9780470747193 [0470747196] (: hardback)

書誌ID:

BB10163410

子書誌情報

フルテキスト

所蔵情報

他の版・巻

書誌詳細

注記:

Includes bibliographical references and index

主題:

BUSINESS & ECONOMICS / Finance. bisacsh

言語:

英語

目次情報:

Preface

The Hedge Fund Industry / 1：

What Are Hedge Funds? / 1.1：

The Structure of a Hedge Fund / 1.2：

Fund Administrators / 1.2.1：

Prime Brokers / 1.2.2：

Custodian, Auditors and Legal / 1.2.3：

The Global Hedge Fund Industry / 1.3：

North America / 1.3.1：

Europe / 1.3.2：

Asia / 1.3.3：

Specialist Investment Techniques / 1.4：

Short Selling / 1.4.1：

Leverage / 1.4.2：

Liquidity / 1.4.3：

New Developments for Hedge Funds / 1.5：

UCITS III Hedge Funds / 1.5.1：

The European Passport / 1.5.2：

Restrictions on Short Selling / 1.5.3：

Major Hedge Fund Strategies / 2：

Single and Multi Strategy Hedge Funds / 2.1：

Fund of Hedge Funds / 2.2：

Hedge Fund Strategies / 2.3：

Tactical Strategies / 2.3.1：

Global Macro / 2.3.1.1：

Managed Futures / 2.3.1.2：

Long/Short Equity / 2.3.1.3：

Pairs Trading / 2.3.1.4：

Event-Driven / 2.3.2：

Distressed Securities / 2.3.2.1：

Merger Arbitrage / 2.3.2.2：

Relative Value / 2.3.3：

Equity Market Neutral / 2.3.3.1：

Convertible Arbitrage / 2.3.3.2：

Fixed Income Arbitrage / 2.3.3.3：

Capital Structure Arbitrage / 2.3.3.3.1：

Swap-Spread Arbitrage / 2.3.3.3.2：

Yield CurveArbitrage / 2.3.3.3.3：

Hedge Fund Data Sources / 3：

Hedge Fund Databases / 3.1：

Major Hedge Fund Indices / 3.2：

Non investable and Investable Indices / 3.2.1：

Dow Jones Credit Suisse Hedge Fund Indexes / 3.2.2：

Liquid Alternative Betas / 3.2.2.1：

Hedge Fund Research / 3.2.3：

Hedge Fund net / 3.2.4：

FTSE Hedge / 3.2.5：

FTSE Hedge Momentum Index / 3.2.5.1：

Greenwich Alternative Investments / 3.2.6：

GAI Investable Indices / 3.2.6.1：

Morningstar Alternative Investment Center / 3.2.7：

MSCI Hedge Fund Classification Standard / 3.2.7.1：

MSCI Investable Indices / 3.2.7.2：

EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com) / 3.2.8：

Database and Index Biases / 3.3：

Survivorship Bias / 3.3.1：

Instant History Bias / 3.3.2：

Benchmarking / 3.4：

Tracking Error / 3.4.1：

Weighting Schemes / Appendix A：

Statistical Analysis / 4：

Basic Performance Plots / 4.1：

Value Added Monthly Index / 4.1.1：

Histograms / 4.1.2：

Probability Distributions / 4.2：

Populations and Samples / 4.2.1：

Probability Density Function / 4.3：

Cumulative Distribution Function / 4.4：

The Normal Distribution / 4.5：

Standard Normal Distribution / 4.5.1：

Visual Tests for Normality / 4.6：

Inspection / 4.6.1：

Normal Q-Q Plot / 4.6.2：

Moments of a Distribution / 4.7：

Mean and Standard Deviation / 4.7.1：

Skewness / 4.7.2：

Excess Kurtosis / 4.7.3：

Data Analysis Tool: Descriptive Statistics / 4.7.4：

Geometric Brownian Motion / 4.8：

Uniform Random Numbers / 4.8.1：

Covariance and Correlation / 4.9：

Regression Analysis / 4.10：

Ordinary Least Squares / 4.10.1：

Coefficient of Determination / 4.10.1.1：

Residual Plots / 4.10.1.2：

Jarque-Bera Normality Test / 4.10.1.3：

Data Analysis Tool: Regression / 4.10.1.4：

Portfolio Theory / 4.11：

Mean Variance Analysis / 4.11.1：

Solver: Portfolio Optimisation / 4.11.2：

Efficient Portfolios / 4.11.3：

Risk-Adjusted Return Metrics / 5：

The Intuition behind Risk Adjusted Returns / 5.1：

Risk Adjusted Returns / 5.1.1：

Common Risk Adjusted Performance Ratios / 5.2：

The Sharpe Ratio / 5.2.1：

The Modified Sharpe Ratio / 5.2.2：

The Sortino Ratio / 5.2.3：

The Drawdown Ratio / 5.2.4：

Common Performance Measures in the Presence of a Market Benchmark / 5.3：

The Information Ratio / 5.3.1：

The M Squared Metric / 5.3.2：

The Treynor Ratio / 5.3.3：

Jensen's Alpha / 5.3.4：

The Omega Ratio / 5.4：

Asset Pricing Models / 6：

The Risk Adjusted Two Moment Capital Asset Pricing Model / 6.1：

Interpreting H / 6.1.1：

Static Alpha Analysis / 6.1.2：

Dynamic Rolling Alpha Analysis / 6.1.3：

Multi factor Models / 6.2：

The Choice of Factors / 6.3：

A Multi Factor Framework for a Risk Adjusted Hedge Fund Alpha League Table / 6.3.1：

Alpha and Beta Separation / 6.3.2：

Dynamic Style Based Return Analysis / 6.4：

The Markowitz Risk Adjusted Evaluation Method / 6.5：

Hedge Fund Market Risk Management / 7：

Value at Risk / 7.1：

Traditional Measures / 7.2：

Historical Simulation / 7.2.1：

Parametric Method / 7.2.2：

Monte Carlo Simulation / 7.2.3：

Modified Var / 7.3：

Expected Shortfall / 7.4：

Extreme Value Theory / 7.5：

Block Maxima / 7.5.1：

Peaks over Threshold / 7.5.2：

References

Important Legal Information

Index

Preface

The Hedge Fund Industry / 1：

What Are Hedge Funds? / 1.1：

The Structure of a Hedge Fund / 1.2：

Fund Administrators / 1.2.1：

Prime Brokers / 1.2.2：

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