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: |