This course offers a thorough journey into the world of hedge funds, beginning with an exploration of their defining characteristics, operational benefits, and constraints. Participants will gain insights into varied hedge fund strategies such as equity, event-driven, and relative value, enriched by interactive quizzes to assess their understanding.
The curriculum advances into the analytical dimensions, where participants master performance analysis using key metrics like Sharpe, Sortino, and Jensen's Alpha. The pivotal role of hedge funds in enhancing performance, reducing risk, and offering inflation protection in asset allocation is thoroughly examined, shedding light on the selection of investment vehicles and the associated constraints.
The learning journey culminates in a deep dive into methods for determining hedge fund allocation. Emphasis is laid on multifactor models, Monte Carlo simulation, and CVaR to ensure a comprehensive understanding. Additionally, a special segment is dedicated to unfolding the intricate statistical properties of hedge fund investments, including skewness and kurtosis, offering participants a holistic view of hedge fund analytics and application.
I. Main Characteristics and Challenges
II. Hedge Funds Strategy Typology
III. Hedge Funds Performance Analysis
2. Conditional multifactor models
IV. Hedge Funds and Asset Allocations
- Multifactor models
- Monte Carlo simulation
- Mean-variance optimized models
- CVaR (Conditional Value at Risk)