Hedge Fund Modelling and Analysis Using MATLAB® -- 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 Hedge Fund Data Sources -- 2.1 Hedge Fund Databases -- 2.2 Major Hedge Fund Indices -- 2.2.1 Non-Investable and Investable Indices -- 2.2.2 Dow Jones Credit Suisse Hedge Fund Indices (www.hedgeindex.com) -- 2.2.3 Hedge Fund Research (www.hedgefundresearch.com) -- 2.2.4 FTSE Hedge (www.ftse.com) -- 2.2.5 Greenwich Alternative Investments (www.greenwichai.com) -- 2.2.6 Morningstar Alternative Investment Center (http:www.morningstar.com/advisor/alternative-investments) -- 2.2.7 EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com) -- 2.3 Database and Index Biases -- 2.3.1 Survivorship Bias -- 2.3.2 Instant History Bias -- 2.4 Benchmarking -- 2.4.1 Tracking Error -- 3 Statistical Analysis -- 3.1 Basic Performance Plots -- 3.1.1 Value Added Index -- 3.1.2 Histograms -- 3.2 Probability Distributions -- 3.2.1 Populations and Samples -- 3.3 Probability Density Function -- 3.4 Cumulative Distribution Function -- 3.5 The Normal Distribution -- 3.5.1 Standard Normal Distribution -- 3.6 Visual Tests for Normality -- 3.6.1 Inspection -- 3.6.2 Normal Probability Plot -- 3.7 Moments of a Distribution -- 3.7.1 Mean and Standard Deviation -- 3.7.2 Skew -- 3.7.3 Kurtosis -- 3.8 Covariance and Correlation -- 3.9 Linear Regression -- 3.9.1 Coefficient of Determination.

3.9.2 Residual Plots -- 3.9.3 Jarque-Bera Test -- 4 Mean-Variance Optimisation -- 4.1 Portfolio Theory -- 4.1.1 Mean-Variance Analysis -- 4.1.2 An Optimisation Problem -- 4.1.3 Sharpe Ratio Maximisation -- 4.2 Efficient Portfolios -- 5 Performance Measurement -- 5.1 The Intuition Behind Risk-Adjusted Returns -- 5.1.1 Risk-Adjusted Returns -- 5.2 Absolute Risk-Adjusted Return Metrics -- 5.2.1 The Sharpe Ratio -- 5.2.2 The Modified Sharpe Ratio -- 5.2.3 The Maximum Drawdown Ratio -- 5.3 Market Model Risk-Adjusted Return Metrics -- 5.3.1 The Information Ratio -- 5.3.2 The Treynor Ratio -- 5.3.3 Jensens Alpha -- 5.3.4 GH1 Metric -- 5.3.5 The M2 Metric -- 5.3.6 The GH2 Metric -- 5.4 MAR and LPM Metrics -- 5.4.1 The Sortino Ratio -- 5.4.2 The Omega Ratio -- 5.4.3 The Upside Potential Ratio and Group Rankings -- 5.5 Multi-Factor Asset Pricing Extensions -- 5.5.1 The Choice of Factors -- 6 Hedge Fund Classification -- 6.1 Financial Instrument Building Blocks and Style Groups -- 6.2 Hedge Fund Clusters and Classification -- 6.2.1 Metric Definitions -- 6.2.2 Creating Dendrograms -- 6.2.3 Interpreting Dendrograms -- 7 Market Risk Management -- 7.1 Value-at-Risk -- 7.2 Traditional VaR Methods -- 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 -- Index.