Thought Leadership & Investor Education
We provide market insights to our clients on a wide array of topics. Our research team is responsible for research and due diligence within assigned asset classes and strategies, assessing new products and technology, and performing special research projects. This section provides an introduction to our cutting-edge yet applicable research, and covers some of the topics we previously reviewed with our clients. Our proprietary research papers are available upon request at email@example.com.
- QMS Advisors: Methodology in Deriving Robust Long-Term Asset Class Assumptions
- Quantitative Portfolio Construction Methodology: Optimal Allocation across Alternative Investment Strategies in a Dynamic Framework
- Strategic & Tactical Asset Allocation across Hedge Funds and Dynamic Risk Exposure in a Regime Switching Framework
- Enhanced Hedge Fund Index Solutions: Alpha Generation via Tactical Hedge Fund Style Tilts
PORTFOLIO DESIGN CONCEPTS
course serves as a robust introduction to modern portfolio design
techniques. It begins with basic risk and return quantification
techniques. It goes on to examine the concepts of alpha and beta and the
Capital Asset Pricing Model. Finally it covers two key portfolio design
techniques: Markowitz optimal portfolio design and arbitrage pricing
theory. The course also addresses modern performance evaluation methods.
- Measuring Risk and Return
- The quantitative measurement of risk and return
- Return distributions and volatility analysis
- Risk adjusted returns and the Sharpe Ratio
- Correlation, Alpha and Beta
- Measuring and interpreting correlation
- Comprehensive coverage of alpha and beta including interpretation and measurement
- How to measure alpha and beta from performance data
- Mutli factor beta analysis
- Capital Asset Pricing Model
- The Efficient Market Hypothesis
- Intuition and theoretical derivation
- Risk and return trade-off in CAPM
- Applications of CAPM
- Empirical evidence on CAPM
- Extensions of CAPM
- Markowitz approach to asset allocation
- Mean-variance optimization
- Flaws and risks of the Markowitz approach
- Exercises and case studies
- Arbitrage Pricing Theory
- Assumptions and underlying theory
- Factor analysis
- Case Study: The Fama-French model
- Performance Evaluation Measures
- The Sharpe ratio revisited
- Uses and abuses of risk parameters
ALTERNATIVE INVESMENTS WORKSHOP
course aims at introducing a fundamental, first principles
understanding of hedge funds, their strategies, and their risks. The
course gives participants a complete and thorough understanding of
current issues and trends in the industry by building from a solid
theoretical base. The course is for professionals who have been working
in the hedge fund industry or investing in hedge funds but want to
sharpen their skills with a firm base built on first principle
understanding of the industry.
investment professionals who may be knowledgeable about some aspects of
the space, but want to expand their and want to gain a deep,
fundamental understanding of hedge funds from a theoretical basis.
QUANTITATIVE DUE DILIGENCE
workshop is designed for financial professionals who would like to
better their understanding of performance measurement techniques. No
prior quantitative experience is required or expected. The objective is
to introduce quantitative analysis to the “non quant”.
fundamental understanding of what alpha, beta, Sharpe ratios, Sortino
Ratios, correlation, downside deviation and other measures really mean
and their shortfalls
- Obtain the skills needed to effectively apply quantitative analysis to a due diligence process.
- Introduction to basic statistics (mean, standard deviation)
- The Normal distribution and hedge funds.
- Alpha, beta, correlation.
- Sharpe Ratios and Sortino Ratios.
- Quantitative Hedge Fund return analysis:
- Is this fund really generating alpha?
- Where is the fund taking risk and making returns?
- Limits and misconceptions about quantitative measures.
- Understanding the principles of quantitative risk management.
Financial professionals who:
fund investors wishing to improve their due diligence capabilities by
strengthening their understanding of quantitative measures.
professionals wishing to gain a solid, fundamental understanding of
quantitative terminologies of the hedge fund industry.