To enhance the understanding of hedge fund as an alternative asset class; its myriad strategies and the risk/return characteristics of investing in it.
Course Objectives
- Various strategies in the hedge fund industry
- Risk/return characteristics of the strategies
- Opportunities and pitfalls of investing in hedge funds in the context of a well-diversified portfolio
Course Outline
Module 1: Hedge Funds Classifications
- Directional Strategies
- Relative Value Strategies
- Event-Driven Strategies
Module 2: Directional Strategies
- Global Macro
- Managed Futures
- Equity Long/Short
- Dedicated Shorts
Module 3: Relative Value Strategies
- Convertible Arbitrage
- Fixed-Income Arbitrage
- Equity Market Neutral
- Volatility Arbitrage
Module 4: Event-Driven Strategies
- Merger Arbitrage
- Distressed Securities
Module 5: Multi-Strategy vs. Funds-of-Hedge Funds
- Multi-Strategy Managers
- Funds-of-Hedge Funds
Module 6: Performance of Various Hedge Fund Strategies
- Statistical Moments
- Performance of Directional Strategies
- Performance of Relative Value Strategies
- Performance of Event-Driven Strategies
- Performance of Fund-of-Hedge Funds
Module 7: Why Invest in Hedge Funds?
- Rationale for Including Hedge Funds in a Diversified Portfolio
Module 8: Let's Examine the Claims!
- Alpha vs. Beta
- Fat Tails
- Asymmetric Returns
- Sharpe Ratio
- Hedge Fund Diversification is Not a Free Lunch