Hedge Fund Modelling and Analysis using MATLAB

Book description

The second book in Darbyshire and Hampton's Hedge Fund Modelling and Analysis series, Hedge Fund Modelling and Analysis Using MATLAB® takes advantage of the huge library of built-in functions and suite of financial and analytic packages available to MATLAB®. This allows for a more detailed analysis of some of the more computationally intensive and advanced topics, such as hedge fund classification, performance measurement and mean-variance optimisation. Darbyshire and Hampton's first book in the series, Hedge Fund Modelling and Analysis Using Excel & and VBA, is seen as a valuable supplementary text to this book.

Starting with an overview of the hedge fund industry the book then looks at a variety of commercially available hedge fund data sources. After covering key statistical techniques and methods, the book discusses mean-variance optimisation, hedge fund classification and performance with an emphasis on risk-adjusted return metrics. Finally, common hedge fund market risk management techniques, such as traditional Value-at-Risk methods, modified extensions and expected shortfall are covered.

The book's dedicated website, www.darbyshirehampton.com provides free downloads of all the data and MATLAB® source code, as well as other useful resources.

Hedge Fund Modelling and Analysis Using MATLAB® serves as a definitive introductory guide to hedge fund modelling and analysis and will provide investors, industry practitioners and students alike with a useful range of tools and techniques for analysing and estimating alpha and beta sources of return, performing manager ranking and market risk management.

Table of contents

  1. Preface
    1. MathWorks Contact Information
    2. 1. MATLAB®  Source Code  Source Code
    3. 2. MATLAB®  User-Defined Functions  User-Defined Functions
    4. 3. Hypothetical Hedge Fund Data
    5. 4. Book Website
  2. CHAPTER 1 The Hedge Fund Industry
    1. 1.1 What are Hedge Funds?
    2. 1.2 The Structure of a Hedge Fund
    3. 1.3 The Global Hedge Fund Industry
    4. 1.4 Specialist Investment Techniques
    5. 1.5 New Developments for Hedge Funds
    6. Notes
  3. CHAPTER 2 Hedge Fund Data Sources
    1. 2.1 Hedge Fund Databases
    2. 2.2 Major Hedge Fund Indices
    3. 2.3 Database and Index Biases
    4. 2.4 Benchmarking
    5. Notes
  4. CHAPTER 3 Statistical Analysis
    1. 3.1 Basic Performance Plots
    2. 3.2 Probability Distributions
    3. 3.3 Probability Density Function
    4. 3.4 Cumulative Distribution Function
    5. 3.5 The Normal Distribution
    6. 3.6 Visual Tests for Normality
    7. 3.7 Moments of a Distribution
    8. 3.8 Covariance and Correlation
    9. 3.9 Linear Regression
    10. Notes
  5. CHAPTER 4 Mean-Variance Optimisation
    1. 4.1 Portfolio Theory
    2. 4.2 Efficient Portfolios
    3. Notes
  6. CHAPTER 5 Performance Measurement
    1. 5.1 The Intuition Behind Risk-Adjusted Returns
    2. 5.2 Absolute Risk-Adjusted Return Metrics
    3. 5.3 Market Model Risk-Adjusted Return Metrics
    4. 5.4 MAR and LPM Metrics
    5. 5.5 Multi-Factor Asset Pricing Extensions
    6. Notes
  7. CHAPTER 6 Hedge Fund Classification
    1. 6.1 Financial Instrument Building Blocks and Style Groups
    2. 6.2 Hedge Fund Clusters and Classification
    3. Notes
  8. CHAPTER 7 Market Risk Management
    1. 7.1 Value-at-Risk
    2. 7.2 Traditional VaR Methods
    3. 7.3 Modified VaR
    4. 7.4 Expected Shortfall
    5. 7.5 Extreme Value Theory
    6. Notes
  9. References
  10. Index
  11. End User License Agreement

Product information

  • Title: Hedge Fund Modelling and Analysis using MATLAB
  • Author(s): David Hampton, Paul Darbyshire
  • Release date: June 2014
  • Publisher(s): Wiley
  • ISBN: 9781119967378