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EDHEC AM Education LHABITANT Hedge Fund Seminar

 State-of-the-Art Fund of Hedge Funds Management: Contents and Outline

Course Contents

This intensive one-day seminar builds upon Dr Lhabitant’s recent work and incorporates the latest results of alternative investment research conducted within the EDHEC Risk and Asset Management Research Centre and other leading institutions. It addresses questions such as:

  • Where is the hedge fund industry headed?
  • What are the biases in HF databases?
  • How to choose between the various HF indices?
  • How to build a representative benchmark?
  • What is the state of the art for analysing hedge fund risks and returns?
  • How to use advanced techniques to classify funds in a meaningful way?
  • How to use Value at Risk to measure risk and manage HF portfolios?
  • How much to allocate to hedge funds?
  • What advanced techniques can be used for risk budgeting and HF allocation?
  • How many hedge funds make a diversified portfolio?
  • How to use tactical allocations to add value to funds of hedge funds?
Course Outline

  1. Mapping Hedge Fund Strategies

    • Sources of hedge fund performance
    • From databases to benchmarks and peer groups:
      – Understanding the different databases
      – From databases to indices
      – From indices to benchmarks
    • How to classify hedge funds in a meaningful way:
      – Style Analysis and its applications
      – Clustering and correlation-based approaches.

  2. Analysing Hedge Fund Risks

    • The dangers of regression-based approaches:
      – Linear factor models
      – Change of strategy
      – Multi-factor models
      – The impact of missing factors
      – Principal Components Analysis
      – Dealing with non linearity
      – Option-based approaches.
    • Risk Measurement using VaR techniques:
      – Calculating Value at Risk and understanding its sources
      – Style-based VaR vs. Monte Carlo VaR
      – Marginal VaR and Component VaR: their use in portfolio management
      – Understanding Extreme Risks.

  3. Advanced Techniques for Risk Budgeting and Asset Allocation

    • Hedge funds in traditional portfolios
    • Asset Allocation versus Risk Budgeting
    • Applications to diversification: How many funds make a diversified portfolio?
    • Performance and Risk attribution
    • Tactical allocations
    • Measuring the value added by funds of funds

EDHEC AM Education LHABITANT Hedge Fund Seminar: