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EDHEC-Risk Executive Education

Advanced Hedge Fund Investing Seminar - Overview

22-23 January, 2013 - London, United Kingdom

A seminar imparting advanced concepts and practical tools for optimal construction and risk management of hedge fund portfolios, enabling participants to use the latest performance and risk decomposition, due diligence, and risk budgeting techniques to create superior hedge fund portfolios while controlling for risk.

The hedge fund industry has become increasingly institutionalised in recent years. Investment practitioners in the hedge fund space are demanding increasingly advanced knowledge and techniques in this sector. To develop a deep understanding of hedge fund strategies and portfolios, it is crucial to become familiar with the latest techniques related to hedge fund portfolio construction and to performance and risk decomposition.

Many hedge funds follow investment strategies that result in so-called alternative betas as well as time-varying risk exposures. This has an important impact on correlation risk in times of stress and this seminar discusses the sources of this risk and how to address them. A discussion of performance decompositions raises the question in investors’ minds of what role hedge fund replication can play. The seminar considers different approaches in this area and highlights the advantages and limitations.

At the same time, the large cross-section of hedge funds highlights the importance of institutional quality due diligence in portfolio construction. Recent techniques have been developed to not only spot potential misreporting and raise performance flags, but also to forecast hedge fund performance over time. Historically, hedge fund allocation has often been based on a rear-view mirror view. The seminar addresses forward-looking approaches to hedge fund allocation that are built on predictability in hedge fund returns. Time-varying risk exposures have implications for risk-budgeting in the context of hedge fund portfolios and these are discussed during the seminar.

It is against this backdrop that EDHEC-Risk Institute has structured its work on advanced hedge fund investing. Now regarded as the premier academic centre for industry-relevant financial research, it plays a prominent role in furthering asset allocation and risk management concepts and techniques and systematically highlights their practical uses in the institutional, private, and retail investment spaces. With this Advanced Hedge Fund Investing Seminar, EDHEC-Risk Institute continues to organise seminars that take stock of the latest industry trends and research advances and clarify the distinction between true innovation and mere marketing claims.

The Advanced Hedge Fund Investing Seminar is an intensive two-day course that will impart advanced concepts and practical tools for optimal construction and risk management of hedge fund portfolios. It will also enable participants to use latest performance and risk decomposition as well as due diligence and risk budgeting techniques to create superior hedge fund portfolios while controlling for risk.

The first day introduces advanced performance and risk decomposition techniques, whilst the second day deals with advanced hedge fund portfolio construction and due diligence techniques.

Presented in a highly accessible manner by a team of instructors with established reputations for bringing together academic expertise and industry experience, the seminar combines exploration of innovative models, concepts, themes, presentation of state-of-the-art practical tools and examination of best industry practices.

Seminar Instructors:

  • François-Serge Lhabitant, Affiliated Professor of Finance at EDHEC Business School and a member of EDHEC-Risk Institute, and Chief Investment Officer at Kedge Capital Fund Management.

  • Robert Kosowski, Affiliated Professor of Finance at EDHEC-Risk Institute and Associate Professor and Director of the Centre for Hedge Fund Research at Imperial College London.

Key Learning Benefits:

The seminar will enable participants to:

  • Understand advanced performance and risk attribution for hedge funds.

  • Examine the practical importance of time-varying risk exposures in hedge fund portfolios and advanced techniques to deal with them in practice. Learn latest techniques to distinguish risk-taking from skill in hedge funds.

  • Develop an understanding of advanced alternative beta decompositions including variance and correlation risk.

  • Appreciate the role that quantitative hedge fund strategies can play in a diversified portfolio. Learn the key drivers of returns in quantitative hedge fund strategies such as CTAs, quantitative long-short equity funds and pairs trading strategies. Learn how to incorporate insights about capacity constraints in hedge fund strategies into the portfolio allocation process.

  • Examine the implication of performance and risk attribution insights for hedge fund replication. Appreciate differences between different hedge fund replication approaches.

  • Learn advanced hedge fund portfolio construction and due diligence techniques. Understand how hedge fund performance measures can be manipulated and how to address resulting issues. Learn due diligence techniques and performance flags that help spot potential misreporting.

  • Find out how to incorporate hedge fund return predictability into the portfolio construction process. Understand the value added of Bayesian techniques for hedge fund allocation.

  • Explore risk budgeting and risk allocation approaches in the context of hedge fund portfolios. Understand the implications of time-varying risk exposures for risk budgeting.

CFA Institute Continuing Education Credits:


As a participant in the CFA Institute Approved-Provider Programme, EDHEC-Risk Institute has determined that this programme qualifies for 14 credit hours. If you are a CFA Institute member, continuing education credit for your participation in this programme will be automatically recorded in your CE Diary. Please see www.cfainstitute.org/ceprogram for more information.

Advanced Hedge Fund Investing Seminar: