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 ...