Two-day course agenda
Characteristics and the Conceptual Basis/Terminology of Hedge Funds
- Leverage
- Impact on returns and risk
- Definition and common ways that hedge funds leverage, e.g. margining
- Long/Short
- Benefits of shorting
- Techniques to create short market exposures
- Derivatives, stock borrowing, Repo
- Hedging
- Value added hedging vs. traditional hedging
- Use of Derivatives
- Derivative instruments: mechanics, pricing and risk characteristics
- Benefits over traditional cash only approaches
- The use of derivatives and structured products in hedge fund management
Classification of Hedge Fund Strategies
- Directional vs Relative value vs Opportunistic
- Various classification schemes
Equity Long/Short
- Explanation of the strategy
- Different types of structures
- Examples of funds in the strategy
- The development and outlook of the strategy
- Risks and operational issues
- Assessing the strategy for investment
Event driven: Risk Arbitrage and Distressed Credit Investing
- Explanation of the strategy
- Examples of funds in the strategy
- The development and outlook of the strategy
- Risks and operational issues
- Assessing the strategy for investment
Convertible Bond Arbitrage
- Explanation of the strategy
- Examples of funds in the strategy
- The development and outlook of the strategy
- Risks and operational issues
- Assessing the strategy for investment
Capital Structure Arbitrage
- Explanation of the strategy
- Examples of funds in the strategy
- The development and outlook of the strategy
- Risks and operational issues
- Assessing the strategy for investment
Fixed Income Arbitrage, Volatility and Dispersion strategies
- Explanation of the strategy
- Examples of funds in the strategy
- The development and outlook of the strategy
- Risks and operational issues
- Assessing the strategy for investment
Global Macro
- Explanation of the strategy
- Comparison with CTAs
- Examples of funds in the strategy
- The development and outlook of the strategy
- Risks and operational issues
- Assessing the strategy for investment
Statistical\Quantitative Arbitrage
- Explanation of the strategy
- Examples of funds in the strategy
- The development and outlook of the strategy
- Risks and operational issues
- Assessing the strategy for investment
Hedge Fund of Funds
- Explanation of the strategy
- Examples of funds in the strategy
- The development and outlook of the strategy
- Risks and operational issues
- Assessing the strategy for investment
Risk Management
- Specific Risks Associated with Hedge Funds
- Operational, Market, Liquidity
- Position and Portfolio Management
- VaR and Risk Budgets
- Stress Tests including performance of hedge funds through selected crisis periods
- Use of Risk in Fund of Fund Asset Allocation
- Quantitative vs. Qualitative, Questionnaires, Portfolio Construction
- Selection and Due Diligence
- Review of different ratios used to compare Hedge Funds
- Collateral Management
- Counterparty Risk
- Collateral agreements – margin agreements; administration and risks
- Compliance and regulatory requirements
- Risk management service providers
- Prime brokers, Segregated accounts, Third party Vendors
- Benefits to Hedge Funds
- Services