Hedge Fund Modeling and Analysis Using Excel and VBA.
Title:
Hedge Fund Modeling and Analysis Using Excel and VBA.
Author:
Darbyshire, Paul.
ISBN:
9781119945635
Personal Author:
Edition:
1st ed.
Physical Description:
1 online resource (279 pages)
Series:
The Wiley Finance Series
Contents:
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 Indices -- 3.2.8 EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com) -- 3.3 Database and Index Biases -- 3.3.1 Survivorship Bias.
3.3.2 Instant History Bias -- 3.4 Benchmarking -- 3.4.1 Tracking Error -- Appendix A: Weighting Schemes -- 4 Statistical Analysis -- 4.1 Basic Performance Plots -- 4.1.1 Value Added Monthly Index -- 4.1.2 Histograms -- 4.2 Probability Distributions -- 4.2.1 Populations and Samples -- 4.3 Probability Density Function -- 4.4 Cumulative Distribution Function -- 4.5 The Normal Distribution -- 4.5.1 Standard Normal Distribution -- 4.6 Visual Tests for Normality -- 4.6.1 Inspection -- 4.6.2 Normal Q-Q Plot -- 4.7 Moments of a Distribution -- 4.7.1 Mean and Standard Deviation -- 4.7.2 Skewness -- 4.7.3 Excess Kurtosis -- 4.7.4 Data Analysis Tool: Descriptive Statistics -- 4.8 Geometric Brownian Motion -- 4.8.1 Uniform Random Numbers -- 4.9 Covariance and Correlation -- 4.10 Regression Analysis -- 4.10.1 Ordinary Least Squares -- 4.10.1.1 Coefficient of Determination -- 4.10.1.2 Residual Plots -- 4.10.1.3 Jarque-Bera Normality Test -- 4.10.1.4 Data Analysis Tool: Regression -- 4.11 Portfolio Theory -- 4.11.1 Mean-Variance Analysis -- 4.11.2 Solver: Portfolio Optimisation -- 4.11.3 Efficient Portfolios -- 5 Risk-Adjusted Return Metrics -- 5.1 The Intuition behind Risk-Adjusted Returns -- 5.1.1 Risk-Adjusted Returns -- 5.2 Common Risk-Adjusted Performance Ratios -- 5.2.1 The Sharpe Ratio -- 5.2.2 The Modified Sharpe Ratio -- 5.2.3 The Sortino Ratio -- 5.2.4 The Drawdown Ratio -- 5.3 Common Performance Measures in the Presence of a Market Benchmark -- 5.3.1 The Information Ratio -- 5.3.2 The M-Squared Metric -- 5.3.3 The Treynor Ratio -- 5.3.4 Jensen's Alpha -- 5.4 The Omega Ratio -- 6 Asset Pricing Models -- 6.1 The Risk-Adjusted Two-Moment Capital Asset Pricing Model -- 6.1.1 Interpreting H -- 6.1.2 Static Alpha Analysis -- 6.1.3 Dynamic Rolling Alpha Analysis -- 6.2 Multi-factor Models -- 6.3 The Choice of Factors.
6.3.1 A Multi-Factor Framework for a Risk-Adjusted Hedge Fund Alpha League Table -- 6.3.2 Alpha and Beta Separation -- 6.4 Dynamic Style Based Return Analysis -- 6.5 The Markowitz Risk-Adjusted Evaluation Method -- 7 Hedge Fund Market Risk Management -- 7.1 Value-at-Risk -- 7.2 Traditional Measures -- 7.2.1 Historical Simulation -- 7.2.2 Parametric Method -- 7.2.3 Monte Carlo Simulation -- 7.3 Modified VaR -- 7.4 Expected Shortfall -- 7.5 Extreme Value Theory -- 7.5.1 Block Maxima -- 7.5.2 Peaks over Threshold -- References -- Important Legal Information -- Index.
Abstract:
Having been popularised by George Soros in the 1990s, hedge funds have grown from occupying an obscure niche of the financial markets to become a major player in the asset management industry, with an estimated 1 trillion (USD) of assets under management. With the global financial meltdown of 2008 behind us and another potentially worse crisis looming on the horizon, the challenges have never been greater for hedge fund managers seeking to deliver the kinds of returns their clients have come to expect. To survive in todays increasingly volatile, risky and uncertain financial markets, fund managers, risk analysts and savvy investors need to fully understand the best modelling and analytical techniques at their disposal. Hedge Fund Modelling and Analysis Using Excel and VBA shows them how. Coauthored 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 begins with an overview of the industry, the major classes of hedge funds, and the most common investment strategies employed by hedge fund managers. This is followed by a critical assessment of the major information sources, including prominent commercial hedge fund databases and the indices and benchmarks they produce. The authors reveal the limitations and inherent shortcomings of each data source, while highlighting common problems and pitfalls associated with interpreting and utilising the summary data they provide. 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 free downloads of the data, Excel spreadsheets and VBA source code used throughout the book as well as 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.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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