Advanced Hedge Fund Investing - The Lhabitant and Martellini Seminar
Meeting The Challenges of Hedge Fund InstitutionalisationDAY 1: Hedge Fund Programmes with François Serge LHABITANT
DAY 2: Advanced Hedge Fund Investing with Lionel MARTELLINI
Course Contents Day 1
Pr Lhabitant will introduce participants to the benefits of alternative investments and to the return generating processes and associated risks of the various hedge fund strategies. The session will focus on providing participants with a workable knowledge of the latest quantitative tools for performance analysis and risk management in the alternative space.
- What are the benefits of hedge fund investing?
- What are the possible goals and what are the implementation options for a hedge fund programme?
- What are the risk and return properties of the various hedge fund strategies?
- What are the specific characteristics of hedge fund performance?
- What are the best practices in risk and performance reporting?
- How to apply state of the art quantitative techniques to the analysis of hedge fund risks and performance
- What is extreme risk, how can it be assessed?
- What is the role of hedge funds in strategic asset allocation?
- How to integrate hedge funds in a core-satellite approach
- How much to allocate to hedge funds
Pr Martellini will present a novel approach to hedge fund investing and detail the associated techniques that allow the benefits of alternative investment to be optimised. Since these methods are compatible with the core-satellite model and can be implemented within an Asset Liability Management framework, this session will prove particularly relevant for managers and advisers catering to the needs of institutional investors.
- What are the alpha and beta benefits of hedge fund investing?
- What are the possible roles of hedge funds in the core portfolio?
- How to maximize the beta benefits of hedge funds
- How to select hedge fund strategies and take into account higher moments to achieve optimal diversification
- What are the benefits of hedge funds in an ALM framework?
- How can hedge funds be used as optimal substitution vehicles
- How to implement dynamic management of the alpha and beta risk budgets
- How to extend the Black-Litterman approach to make active hedge fund style allocation decisions
- How to package hedge fund alphas for institutional investors
- How to align core and satellites and implement portable alpha and portable beta strategies
- How to assess hedge fund replication offers
DAY 1. Hedge Fund Programmes
Hedge Funds within Portfolios
- Benefits of Hedge Funds for Private and Institutional Investors
- Hedge Funds in Core, Hedge Funds in Satellites
Hedge Fund Investment
- Programmes and Vehicles
- Risk and Return Characteristics of Hedge Fund Strategies
Hedge Fund Performance
- The Specific Characteristics of Hedge Fund Performance
- Hedge Fund Performance Measurement Issues
- Best Practices for Reporting
Quantitative Tools for Hedge Fund Risk and Performance Analysis
- Risk Measurement with VaR Techniques
- Understanding and Assessing Extreme Risk
- Operational Risk Modelling
- Measuring Alpha: Style Analysis and Classification
Hedge Fund Investment
- Revisiting the Benefits and Risks of Hedge Fund Investing
- Hedge Funds in Strategic Allocation: HFs as a Separate Asset Class, HFs vs. Traditional Asset Classes, HFs as Substitutes for Traditional Asset Classes
- How much to allocate to Hedge Funds: Benefits and Limitations of Traditional Portfolio Construction Techniques and Alternative Approaches
DAY 2. Advanced Hedge Fund Investing
Why Invest in Hedge Funds?
– Alpha Benefits: a Good Reason to Invest in Hedge Funds
– Beta Benefits: a Better Reason to Invest in Hedge Funds
– Hedge Funds and the Core-Satellite Approach
Hedge Funds in the Core – Maximizing the Beta Benefits of Hedge Funds
– Return Enhancement versus Risk Reduction Benefits
– Hedge Funds as Diversification as opposed to Substitution Vehicles
– Hedge Funds in Asset Management versus Hedge Funds from an Asset Liability Management Perspective
Beta Benefits of Hedge Funds – Optimal Risk Diversification from an Asset Management Perspective
– Selecting Hedge Fund Strategies
– From Covariance to Co-skewness and Co-kurtosis Benefits
– Challenges in Optimal Beta Management
Beta Benefits of Hedge Funds – Optimal Risk Diversification from an Asset Liability Management Perspective
– A Brief History of ALM
– Benefits of Non-Linear Exposures
– Hedge Funds in ALM
Beta Benefits of Hedge Funds – Optimal Substitution
– Optimal Use of Alternative Beta Sources
– Dynamic Management of Beta and Alpha Risk Budgets
– An Example of Application
Beta Benefits of Hedge Funds – Adding Active Style Allocation Benefits
– Evidence of Predictability in Hedge Fund Returns
– An Extension to the Black-Litterman Approach
– Application to Active Hedge Fund Style Allocation Decisions
Beta Benefits of Hedge Fund - Hedge Fund Replication
– Factor-based models versus payoff distribution approach
– Hedge fund clones: what work and what does not
– Replicating factor bets and/or risk management roles
– Robustness of hedge fund replication models
Putting the Pieces Together
– Aligning Satellite and Core Portfolios’ Factor Exposures: Manager Optimisation versus Completeness Portfolio Approach
– From the Delivering to the Packaging of Hedge Fund Alphas
– Portable Alpha and Portable Beta Strategies
EDHEC AM Education Advanced Hedge Fund Investing Seminar:
