Hedge Fund Modelling and Analysis Using Excel and VBA

Index

Absolute Return Index 76

absolute returns 3, 76, 91

accredited investors 3

active alternative beta indices 198–9

AID see Alterative Investment Directive

algorithmic trading 33–4

ALLHedge Fund Index 69

alpha

asset pricing 185–9, 191–222

beta separation 208–10

indices 71

league tables 202–8

risk-adjusted returns 170–1, 178–80, 185–9, 191–222

alternative betas

asset pricing 197, 198–9, 200

data sources 70–3

risk-adjusted returns 171

alternative hypothesis 136, 138

alternative indices 86, 88

Alterative Investment Directive (AID) 19–20

alternative investments 3

Analysis ToolPak add-in 120, 122, 138–42

analytic valuation methods 53–4

arbitrage

arbitrary weightings 95, 96–7

capital structure arbitrage 27–8, 54

convertible arbitrage 27–8, 50–4

event-driven investment strategies 46–9

fixed income arbitrage 27–8, 51, 54–6

merger arbitrage 46–9

relative value investment strategies 27–8, 50–4

risk arbitrage 27–8

statistical arbitrage 38–41

swap-spread arbitrage 27–8, 54, 57–8

tactical investment strategies 38–41

yield curve arbitrage 27–8, 54, 58–60

Asian industry 9, 11–12

asset management 3, 64–5, 68–9, 86, 88

asset pricing

alphas 185–9, 191–222

benchmarks 196–222

commodity trading advisors 206–22

dynamic return analysis 210–13

dynamic rolling alpha analysis 193–5

factor analysis 196–222

fees 222

five factor analysis 210–13

global macro funds 206–22

Hampton's alpha 186–9, 191–2, 194–222

impact factors 196–222

indices 196–222

Jensen's alpha 185–9, 191–2, 194–222

long-short correlations ...