Course on Active Investments

 

 

Course description

 

This course will be delivered in six parts:

 

Part 1. Introduction to Investments.

 

              A case study. The snow fund.

              Qualitative characteristics of traditional and alternative investments

              The fund structure and its service providers

o      The management company

o      Master-feeder structures

o      The Prime Broker

o      The administrator

              Availability of fund data and databases

              Data and indices

 

Part 2. Quantitative methodologies to analyze fund return data

 

              Returns: definitions and characteristics, AIMR compliance

              Volatilities: definitions and characteristics

              Covariances and correlations

              Portfolio diversification

              Efficient frontiers

              Applications to portfolio risk management: Sharpe ratio

              Alpha and beta

              Portable alpha

              Non Gaussian measures:

o      Loss/gain deviations

o      Sortino ratios

o      Moments (skewness, kurtosis)

 

Part 3. Trading Strategies

 

              Convertible arbitrage

              Equity long short

o      Shorting

o      Trade financing

o      Trade margining

o      Margin calls

              Managed Futures

              Distressed investing

              Fixed income

              Macro strategies

              Merger arbitrage

 

Part 4. Investment Products

 

              Indices

              Fund of funds

              Managed accounts

              Portfolio construction techniques

o      1/N, risk parity and minimum variance portfolios

              Leveraged investments

o      Non-recourse loans

o      Options (CPPI)

o      Collateralized Fund Obligations (CFO)

              Guaranteed notes

              First loss products

 

Part 5. Risk Management

 

              Risk measures

              P&L attribution

              Cash and credit counterparty risk

              Leverage

              Liquidity

              Style drift

              Regulatory compliance

              Stress tests

              Value at Risk

              CVar-Expected shortfall

              Omega

              Correlation risk

 

 

Part 6. Qualitative methodologies and business cases

 

              The due diligence process

              The regulatory framework

o      SEC

o      AIFM

o      MIFID

o      UCITS

              Dood-Franck

o      The Volker rule

 

 

Presentation slides available here