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Hedge Fund Modelling and Analysis Using Excel and VBA

Book Description

Co-authored 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 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 Excel spreadsheets and VBA source code which can be freely downloaded and also features links to 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.

Table of Contents

  1. Cover Page
  2. Title Page
  3. Copyright
  4. Dedication
  5. Contents
  6. Preface
    1. EXCEL SPREADSHEETS
    2. EXCEL AND USER-DEFINED VBA FUNCTIONS
    3. HYPOTHETICAL HEDGE FUND DATA
    4. BOOK WEBSITE
  7. 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
  8. Chapter 2: Major Hedge Fund Strategies
    1. 2.1 SINGLE- AND MULTI-STRATEGY HEDGE FUNDS
    2. 2.2 FUND OF HEDGE FUNDS
    3. 2.3 HEDGE FUND STRATEGIES
  9. Chapter 3: Hedge Fund Data Sources
    1. 3.1 HEDGE FUND DATABASES
    2. 3.2 MAJOR HEDGE FUND INDICES
    3. 3.3 DATABASE AND INDEX BIASES
    4. 3.4 BENCHMARKING
    5. APPENDIX A: WEIGHTING SCHEMES
  10. Chapter 4: Statistical Analysis
    1. 4.1 BASIC PERFORMANCE PLOTS
    2. 4.2 PROBABILITY DISTRIBUTIONS
    3. 4.3 PROBABILITY DENSITY FUNCTION
    4. 4.4 CUMULATIVE DISTRIBUTION FUNCTION
    5. 4.5 THE NORMAL DISTRIBUTION
    6. 4.6 VISUAL TESTS FOR NORMALITY
    7. 4.7 MOMENTS OF A DISTRIBUTION
    8. 4.8 GEOMETRIC BROWNIAN MOTION
    9. 4.9 COVARIANCE AND CORRELATION
    10. 4.10 REGRESSION ANALYSIS
    11. 4.11 PORTFOLIO THEORY
  11. Chapter 5: Risk-Adjusted Return Metrics
    1. 5.1 THE INTUITION BEHIND RISK-ADJUSTED RETURNS
    2. 5.2 COMMON RISK-ADJUSTED PERFORMANCE RATIOS
    3. 5.3 COMMON PERFORMANCE MEASURES IN THE PRESENCE OF A MARKET BENCHMARK
    4. 5.4 THE OMEGA RATIO
  12. Chapter 6: Asset Pricing Models
    1. 6.1 THE RISK-ADJUSTED TWO-MOMENT CAPITAL ASSET PRICING MODEL
    2. 6.2 MULTI-FACTOR MODELS
    3. 6.3 THE CHOICE OF FACTORS
    4. 6.4 DYNAMIC STYLE BASED RETURN ANALYSIS
    5. 6.5 THE MARKOWITZ RISK-ADJUSTED EVALUATION METHOD
  13. Chapter 7: Hedge Fund Market Risk Management
    1. 7.1 VALUE-AT-RISK
    2. 7.2 TRADITIONAL MEASURES
    3. 7.3 MODIFIED VaR
    4. 7.4 EXPECTED SHORTFALL
    5. 7.5 EXTREME VALUE THEORY
  14. References
  15. Important Legal Information
  16. Index