This 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.

Content

• Measuring Risk and Return
• The quantitative measurement of risk and return
• Return distributions and volatility analysis
• Risk adjusted returns and the Sharpe Ratio
• Exercises
• 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
• Exercises
• 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
• Exercises
• Performance Evaluation Measures
• The Sharpe ratio revisited
• Uses and abuses of risk parameters

 

This 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.

Content:

• A deep understanding of hedge fund strategy and risks including coverage of:
• Explanation of the nature and principles of Hedge fund strategies.
• The true nature of risks associated with various strategies.
• Contemporary issues such as:
• Survivorship and Backfill bias
• Arbitrage
• Risk and Risk Management
• Market efficiency and hedge funds.
• Hedge funds post credit crunch.
• Quantitative measures explained via simple mathematics
• Sharpe, Sortino, correlation, VAR
• Introduction to quantitative tools
• A fundamental understanding of alpha and beta:
• Recognize alpha from beta in a hedge fund.
• Challenges of pursuing alpha for hedge funds.
• Portfolio design
• How to build a high quality hedge fund portfolio.
• Correlation and diversification
• Hedge funds versus traditional portfolios
• Fund of funds, investible indices

Audience:

All 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.

This 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”.

Goal:

• A 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.

Content:

• 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.

Audience:

Financial professionals who:

• Hedge fund investors wishing to improve their due diligence capabilities by strengthening their understanding of quantitative measures.
• Financial professionals wishing to gain a solid, fundamental understanding of quantitative terminologies of the hedge fund industry.