Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of the most commonly used analysis tools and techniques both in industry and academia, for understanding, identifying and managing risk as well as for quantifying return factors across several key investment strategies. The book is also suitable for use as a core textbook for specialised graduate level courses in hedge funds and alternative investments.
The book provides hands-on coverage of the visual and theoretical methods for measuring and modelling hedge fund performance with an emphasis on risk-adjusted performance metrics and techniques. A range of sophisticated risk analysis models and risk management strategies are also described in detail. Throughout, coverage is supplemented with helpful skill building exercises and worked examples in Excel and VBA.
The book's dedicated website,
www.darbyshirehampton.com provides Excel spreadsheets and VBA source code which can be freely downloaded and also features links to other relevant and useful resources.
A comprehensive course in hedge fund modelling and analysis, this book arms you with the knowledge and tools required to effectively manage your risks and to optimise the return profile of your investment style.
Table of Contents
- Cover Page
- Title Page
- Chapter 1: The Hedge Fund Industry
- Chapter 2: Major Hedge Fund Strategies
- Chapter 3: Hedge Fund Data Sources
Chapter 4: Statistical Analysis
- 4.1 BASIC PERFORMANCE PLOTS
- 4.2 PROBABILITY DISTRIBUTIONS
- 4.3 PROBABILITY DENSITY FUNCTION
- 4.4 CUMULATIVE DISTRIBUTION FUNCTION
- 4.5 THE NORMAL DISTRIBUTION
- 4.6 VISUAL TESTS FOR NORMALITY
- 4.7 MOMENTS OF A DISTRIBUTION
- 4.8 GEOMETRIC BROWNIAN MOTION
- 4.9 COVARIANCE AND CORRELATION
- 4.10 REGRESSION ANALYSIS
- 4.11 PORTFOLIO THEORY
- Chapter 5: Risk-Adjusted Return Metrics
- Chapter 6: Asset Pricing Models
- Chapter 7: Hedge Fund Market Risk Management
- Important Legal Information
- Title: Hedge Fund Modelling and Analysis Using Excel and VBA
- Release date: March 2012
- Publisher(s): Wiley
- ISBN: 9780470747193