Preface | p. xi |

The Hedge Fund Industry | p. 1 |

What Are Hedge Funds? | p. 1 |

The Structure of a Hedge Fund | p. 4 |

Fund Administrators | p. 5 |

Prime Brokers | p. 5 |

Custodian, Auditors and Legal | p. 6 |

The Global Hedge Fund Industry | p. 7 |

North America | p. 8 |

Europe | p. 10 |

Asia | p. 11 |

Specialist Investment Techniques | p. 12 |

Short Selling | p. 12 |

Leverage | p. 14 |

Liquidity | p. 15 |

New Developments for Hedge Funds | p. 16 |

UCITS III Hedge Funds | p. 16 |

The European Passport | p. 19 |

Restrictions on Short Selling | p. 20 |

Major Hedge Fund Strategies | p. 23 |

Single and Multi Strategy Hedge Funds | p. 23 |

Fund of Hedge Funds | p. 25 |

Hedge Fund Strategies | p. 27 |

Tactical Strategies | p. 28 |

Global Macro | p. 28 |

Managed Futures | p. 31 |

Long/Short Equity | p. 36 |

Pairs Trading | p. 38 |

Event-Driven | p. 42 |

Distressed Securities | p. 42 |

Merger Arbitrage | p. 46 |

Relative Value | p. 49 |

Equity Market Neutral | p. 49 |

Convertible Arbitrage | p. 50 |

Fixed Income Arbitrage | p. 54 |

Capital Structure Arbitrage | p. 56 |

Swap-Spread Arbitrage | p. 57 |

Yield CurveArbitrage | p. 58 |

Hedge Fund Data Sources | p. 61 |

Hedge Fund Databases | p. 61 |

Major Hedge Fund Indices | p. 65 |

Non investable and Investable Indices | p. 66 |

Dow Jones Credit Suisse Hedge Fund Indexes | p. 68 |

Liquid Alternative Betas | p. 70 |

Hedge Fund Research | p. 73 |

Hedge Fund net | p. 77 |

FTSE Hedge | p. 77 |

FTSE Hedge Momentum Index | p. 78 |

Greenwich Alternative Investments | p. 79 |

GAI Investable Indices | p. 80 |

Morningstar Alternative Investment Center | p. 83 |

MSCI Hedge Fund Classification Standard | p. 83 |

MSCI Investable Indices | p. 85 |

EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com) | p. 86 |

Database and Index Biases | p. 88 |

Survivorship Bias | p. 89 |

Instant History Bias | p. 90 |

Benchmarking | p. 91 |

Tracking Error | p. 92 |

Weighting Schemes | p. 95 |

Statistical Analysis | p. 99 |

Basic Performance Plots | p. 99 |

Value Added Monthly Index | p. 99 |

Histograms | p. 102 |

Probability Distributions | p. 105 |

Populations and Samples | p. 106 |

Probability Density Function | p. 107 |

Cumulative Distribution Function | p. 108 |

The Normal Distribution | p. 109 |

Standard Normal Distribution | p. 110 |

Visual Tests for Normality | p. 111 |

Inspection | p. 111 |

Normal Q-Q Plot | p. 112 |

Moments of a Distribution | p. 114 |

Mean and Standard Deviation | p. 114 |

Skewness | p. 117 |

Excess Kurtosis | p. 119 |

Data Analysis Tool: Descriptive Statistics | p. 120 |

Geometric Brownian Motion | p. 122 |

Uniform Random Numbers | p. 125 |

Covariance and Correlation | p. 126 |

Regression Analysis | p. 131 |

Ordinary Least Squares | p. 131 |

Coefficient of Determination | p. 133 |

Residual Plots | p. 134 |

Jarque-Bera Normality Test | p. 135 |

Data Analysis Tool: Regression | p. 138 |

Portfolio Theory | p. 142 |

Mean Variance Analysis | p. 142 |

Solver: Portfolio Optimisation | p. 145 |

Efficient Portfolios | p. 148 |

Risk-Adjusted Return Metrics | p. 151 |

The Intuition behind Risk Adjusted Returns | p. 152 |

Risk Adjusted Returns | p. 154 |

Common Risk Adjusted Performance Ratios | p. 157 |

The Sharpe Ratio | p. 160 |

The Modified Sharpe Ratio | p. 162 |

The Sortino Ratio | p. 163 |

The Drawdown Ratio | p. 167 |

Common Performance Measures in the Presence of a Market Benchmark | p. 170 |

The Information Ratio | p. 172 |

The M Squared Metric | p. 173 |

The Treynor Ratio | p. 174 |

Jensen's Alpha | p. 178 |

The Omega Ratio | p. 181 |

Asset Pricing Models | p. 185 |

The Risk Adjusted Two Moment Capital Asset Pricing Model | p. 185 |

Interpreting H | p. 189 |

Static Alpha Analysis | p. 191 |

Dynamic Rolling Alpha Analysis | p. 193 |

Multi factor Models | p. 195 |

The Choice of Factors | p. 196 |

A Multi Factor Framework for a Risk Adjusted Hedge Fund Alpha League Table | p. 202 |

Alpha and Beta Separation | p. 208 |

Dynamic Style Based Return Analysis | p. 210 |

The Markowitz Risk Adjusted Evaluation Method | p. 214 |

Hedge Fund Market Risk Management | p. 223 |

Value at Risk | p. 223 |

Traditional Measures | p. 226 |

Historical Simulation | p. 226 |

Parametric Method | p. 229 |

Monte Carlo Simulation | p. 230 |

Modified Var | p. 233 |

Expected Shortfall | p. 236 |

Extreme Value Theory | p. 239 |

Block Maxima | p. 240 |

Peaks over Threshold | p. 241 |

References | p. 245 |

Important Legal Information | p. 249 |

Index | p. 251 |

Table of Contents provided by Ingram. All Rights Reserved. |