 | Alternative Investments and Hedge Funds
September 27-October 1, 2010 • THOMAS SCHNEEWEIS and GIOVANNI BELIOSSI
Alternative investments (e.g. hedge funds, managed futures, commodity investments, real estate, private equity and hybrid mutual funds (e.g. equity market neutral, equity long/short, 130/30 funds)) are increasingly being considered by individuals and institutions alike as alternatives or additions to traditional long-only stock and bond investments. This course presents both the academic research and practical knowledge necessary to understand the risk and return characteristics of a wide range of alternative and hybrid mutual fund investments and how these investments differ from traditional stock and bond investments. The performance characteristics of various alternative investments will be compared directly with similar investments in the traditional investment area (e.g., equity long short hedge funds with hybrid equity long/short mutual funds and 130/30 mutual funds). Modern methods of factor and security based strategy replication will also be used to provide a better understanding of the underlying characteristics of various alternative investment and hybrid mutual fund investment strategies. This course will analyze how these investments are managed within a modern strategic and tactical asset allocation framework especially during periods of market turmoil.
Objectives: The course will present both academic/professional research as well as operational overviews on the use of alternative investments including hedge funds, managed futures, commodities, private equity, real estate and hybrid funds as stand alone investments as well as investments in a portfolio management setting. Advanced topics such as identifying and using hedge fund “style” classifications, hedge funds indices for asset allocation and selection and monitoring of hedge fund/CTA managers will be covered. Lastly, new alternative investments such as Green Funds, insurance based vehicles and alternative of alternatives as well as a list of “Investment Myths” will be discussed. Participants will be shown how to use dedicated Excel-based software to set up and solve a variety of test problems linked with the topics covered in the lectures.
Target audience: Investors, asset allocators, managers of funds of hedge funds, lawyers, regulators and other professionals who are, plan to be, or wish to be aware of the most recent academic/professional activity in this area.
Fees: The fee for this course is CHF 6’500 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches, and an official cocktail and dinner.
Accreditation: CFA 36 CE credits
Key Topics: Alternative investments: Sources of return and sources of risk; hedge fund and managed futures strategies: Practical examples of how they work; alternative investments in modern asset allocation; ETF/Futures based replication of alternative investments; myths of alternative investment analysis; alternative investments in the subprime crisis: What Went Wrong.
COURSE CONTENT
Monday
- Background: Introduction to alternative investments (managed futures, hedge funds, commodity investment, real estate, private equity and hybrid funds); review of the historical risk and return properties of managed futures, hedge funds, commodity investment, real estate, private equity and hybrid funds; introduction to hedge funds and managed futures types of hedge funds and managed futures products and organizations, types of investors, strategies, indices, benchmarks and risk characteristics.
Tuesday
- Strategy and return/risk analysis: Hedge fund (relative value, event driven, hedged equity, market neutral, global macro, distressed debt, short selling) and managed futures (discretionary, systematic, financial, currency, etc.) strategy review; review of underlying strategies and securities traded, as well as a review of sample strategy performance reports and marketing presentations; modern methods of factor and security based strategy replication will be used to better understand the underlying characteristics of various hedge fund and managed futures investment strategies.
Wednesday
- Funds of funds creation and marketing: Role of fund of funds, fee structures for fund of fund sponsors, financial analysis and due diligence for private banking or institutional use, heuristic portfolio construction; breakdown of fund of funds into comparison risk categories, as well as comparison of fund of funds with alternative investible hedge fund indices and multi-strategy funds.
Thursday
- Portfolio creation and risk management: How to mix hedge funds, stocks and bonds; Markowitz optimization; measuring and engineering low correlation; how to control the risk of a hedge fund and a stock and bond portfolio; is tracking error relevant? VaR for hedge funds.
Friday
- Academic review and advanced issues: Recent academic research on database and style-risk-return; issues including hedge fund databases reliability, survivor bias, performance persistence and factor models of hedge fund returns, dynamic trading features of hedge funds and passive benchmark creation; Chartered Alternative Investment Analyst Designation: Course materials, study guides and sample exams will be reviewed.
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