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| Foreword | |
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| Preface | |
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| Acknowledgements | |
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| About the Author | |
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| A Few Initial Remarks | |
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| What is a hedge fund? | |
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| History of hedge funds | |
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| Proprietary trading | |
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| The growth of the hedge fund industry | |
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| Main characteristics of the current industry | |
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| Capacity | |
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| Commissions | |
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| Industry performance overview | |
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| The hedge fund manager | |
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| Alpha and beta | |
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| Investment strategies | |
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| Explorers and frontiers | |
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| SEC's vigilance | |
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| Considerations on performance sustainability | |
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| Capacity and performance sustainability | |
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| Ability or chance? | |
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| The importance of avoiding losses | |
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| Decreasing returns with longer investment horizons | |
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| Business case: A hedge fund start-up | |
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| Arbitrage | |
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| The transaction costs barrier | |
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| ADR arbitrage | |
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| Arbitrage between off-the-run and on-the-run thirty-year Treasury Bonds | |
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| Short Selling | |
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| A brief history of short selling | |
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| What is short selling? | |
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| A simplified example of short selling on US markets | |
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| Who lends securities for short selling? | |
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| Regulations governing short selling | |
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| The risks of short selling | |
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| Short interest and short interest ratio | |
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| Wall Street's alter ego | |
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| Stock picking in short selling | |
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| The art of contrary thinking | |
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| Measuring the strategy's historical performance | |
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| Conclusions | |
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| Long/Short Equity | |
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| History of the first hedge fund | |
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| Market exposure | |
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| Management styles | |
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| Specialized long/short equity funds | |
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| Share class arbitrage | |
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| Pairs trading | |
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| Covered call and covered put options sale | |
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| Strategy's historical performance analysis | |
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| Equity market neutral | |
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| Merger Arbitrage | |
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| A brief history of M&A | |
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| Strategy description | |
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| Risk associated with the outcome of an extraordinary corporate event | |
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| Types of mergers and acquisitions | |
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| Risk management | |
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| Strategy's historical performance analysis | |
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| Conclusions | |
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| Convertible Bond Arbitrage | |
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| Why issue a convertible bond? | |
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| A brief history of convertible bonds | |
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| The convertible bond market | |
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| Definitions | |
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| Quantitative models to value convertible bonds | |
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| Implied volatility and historical volatility | |
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| Convertible bond arbitrage | |
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| Mandatory convertibles | |
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| Strategy's historical performance analysis | |
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| Risk control | |
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| Conclusions | |
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| Fixed Income Arbitrage | |
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| Issuance driven arbitrage or snap trade | |
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| Yield curve arbitrage | |
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| Intermarket spread trading | |
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| Futures basis trading or basis trading | |
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| Swap spread trading | |
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| Capital structure arbitrage | |
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| Long/short credit or credit pair trading | |
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| Carry trade | |
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| Break-even inflation trades | |
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| Cross-currency relative value trade | |
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| Treasuries over eurodollars (TED) spread or international credit spread | |
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| Leveraged loans | |
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| Strategy's historical performance analysis | |
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| Conclusions | |
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| Strategies on CDOs | |
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| A brief history of CDOs | |
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| Hedge fund investment strategies | |
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| Conclusions | |
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| Mortgage-Backed Securities Arbitrage | |
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| A brief history of mortgage-backed securities | |
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| Originators of mortgage-backed securities | |
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| The industry | |