Hedge Funds for the Advanced Financial Professional
Duration:
2 days
2 days
Location:
Prague, Mövenpick Hotel
Prague, Mövenpick Hotel
- Hedge Fund Industry and Its Players
- Building and Managing a Fund
- Market Neutral Investing
- Relative Value and Directional Investing
- Fund-of-Funds and Investable Indexes
- Risk-Return Profiling and Performance Measurement
- Managing a Portfolio of Hedge Funds
- Measuring and Managing “Tail” Risks
The purpose of this seminar is to give you an in-depth understanding of hedge funds, of the risk and return characteristics of their investment strategies, and of techniques for measuring and managing the risks of hedge fund investing.
We start with a look at the hedge fund industry and its major players and discuss the major “institutional” aspects of running such funds. We explain how a hedge fund is set up and look at the role of the “prime brokers” as providers of services such as financing, securities lending, clearing and settlement of transactions etc. We also take a closer look at the toolkit of the hedge fund manager, including the use of short-selling and leverage.
We then explore in more detail the investment strategies of the different types of hedge funds. We start with market neutral strategies such as “pairs trading” and then move over “convertible arbitrage”, “fixed income arbitrage” and “event-driven” towards the more directional types of funds such as “global macro”, “dedicated short”, “emerging markets” and “CTAs”. In each case we carefully explain the performance profile and the special risks of the strategy. We illustrate these strategies by practical case studies and computer simulations.
Further, we explain how “funds-of-hedge-funds” operate and discuss the advantages and disadvantages of investing through such funds. We also explain how hedge fund indexes are constructed and how to invest in so-called “investable indexes” as an alternative to investing through funds of funds.
Finally, we give a thorough explanation of how hedge fund investments can be managed in the context of a portfolio. We present and demonstrate traditional and alternative optimization techniques for constructing optimal portfolios and explain how stress tests and “extreme VaR” analysis can be performed to assess the “tail” and liquidity risks of hedge fund investing.
We start with a look at the hedge fund industry and its major players and discuss the major “institutional” aspects of running such funds. We explain how a hedge fund is set up and look at the role of the “prime brokers” as providers of services such as financing, securities lending, clearing and settlement of transactions etc. We also take a closer look at the toolkit of the hedge fund manager, including the use of short-selling and leverage.
We then explore in more detail the investment strategies of the different types of hedge funds. We start with market neutral strategies such as “pairs trading” and then move over “convertible arbitrage”, “fixed income arbitrage” and “event-driven” towards the more directional types of funds such as “global macro”, “dedicated short”, “emerging markets” and “CTAs”. In each case we carefully explain the performance profile and the special risks of the strategy. We illustrate these strategies by practical case studies and computer simulations.
Further, we explain how “funds-of-hedge-funds” operate and discuss the advantages and disadvantages of investing through such funds. We also explain how hedge fund indexes are constructed and how to invest in so-called “investable indexes” as an alternative to investing through funds of funds.
Finally, we give a thorough explanation of how hedge fund investments can be managed in the context of a portfolio. We present and demonstrate traditional and alternative optimization techniques for constructing optimal portfolios and explain how stress tests and “extreme VaR” analysis can be performed to assess the “tail” and liquidity risks of hedge fund investing.
13.00 - 16.30 Equity Strategies
- Equity Market Neutral Strategies
- Pairs trading
- Fundamental arbitrage
- Statistical arbitrage
- “Double Alpha”
- Opportunistic Long-Short Strategies
- Dedicated Short Bias
- Using Futures in Market Neutral Investing
- Porting Alpha
- Equitizing a market neutral strategy
- Convertible Arbitrage
- Delta-hedging the equity exposure
- Hedging the credit risk
- Case Studies
- Exercises
Day Two
09.00 - 09.15 Brief recap
09.15 - 12.00 Relative Value and Directional Investing
- Fixed Income Arbitrage
- On-the run/Off-the-run arbitrage
- Yield curve arbitrage
- Mortgage arbitrage
- High yield/CBO arbitrage
- Duration and Multi-Factor Bets
- Global Macro Strategies
- Futures Funds/CTA’s
- Event-Driven Strategies
- Merger arbitrage
- Distressed debt
- Capital Structure Arbitrage
- Arbitraging between debt and equity investments
- Emerging Markets
- Exercises
12.00 - 13.00 Lunch
13.00 - 16.00 Multi-Strategy Funds, Fund-of-Funds and Investable Indexes
- Advantages of Investing through Multi-Strategy Funds
- Fund-of-Funds and the Way they Operate
- Investing in Hedge Fund Linked Bonds
- Investing in Investable Indexes
Managing a Portfolio of Hedge Funds
- Risk-Return Profiling of Hedge Fund Investments
- The Portfolio Managers Checklist for Investing in Hedge Funds
- Constructing the Optimal Portfolio
- Measuring and Managing “Tail” Risks and Other Risk
- Performance Measurement
- What is the relevant measure of performance?
- How is tail risk incorporated?
- Exercises
Evaluation and Termination of the Seminar
