- The major objective of the course is to make a quick & practical overview of the investment management industry and its trends with a particular emphasis on hedge funds, their typical investment strategies, past performance features and risk management issues with integrating of AI with diversified portfolio of “traditional” investment products.
- Upon successful accomplishment of the course students: • can review and run qualitative and quantitative analysis of alternative investment strategy or product, build an investment portfolio of alternative products (with particular focus on hedge funds);
- • will apply tactical and strategic asset allocation within diversified investment portfolio, assess and adjust Beta and Alpha of the alternative investment strategy;
- • can carry out Due Diligence process of a hedge fund/CTA;
- • will get familiar with typical hedge fund investment strategies and stylized facts about their past performance;
- • will have practical knowledge of risk management methodologies applied to hedge funds space.
- Chapter 2. Asset allocation within diversified investment portfolio.Major financial asset classes. Real estate, commodities ets. Strategic and tactical asset allocation. Alpha and Beta of an investment strategy. Passive and active investment management styles. Portfolio performance evaluation. Factor model (W. Sharpe) for active investment strategy. Beta and Alpha drivers. Six types of Alpha drivers. Assets pricing Models. A case of factor analysis for Russian Equity mutual fund (UIF – Unit Investment Fund). Passive and active strategies performance comparison in the long run. Some statistical observations on Balanced strategies' performance. A case of rule-based tactical asset allocation. Separation alpha from beta in active strategy. Mathematics corner: multi-dimensional regression analysis, MS Excel Data Analysis Toolpack.
- Chapter 1. Global wealth and investment management industry.The source and distribution of wealth. “Biases” in allocating wealth. Wealth management industry and its “traditional and alternative investment products: asset allocation, assets under management, growth rates and patterns. Major asset owners / institutional investors review: Mutual funds, Pension Funds, Sovereign funds, ETFs, Hedge funds, other Alternatives (Real Estate, Private Equity, Venture Capital etc.). Regulatory framework and investment policy constraints. Fees and costs associated with investment products. Russian domestic wealth and asset management: market sizing and key development trends.
- Chapter 3. Fundamentals of active investment management.Fundamental characteristics of risk and return for active investment strategy - tracking error, information ratio. Investment strategy breadth. Fundamental law of active management. Cases of its application from financial advisor's perspective. Benchmark selection for AI. "130/30" investment funds. Exchange-traded funds (ETFs) – ETF Mechanics and asset class exposures, investing in ETFs within diversified "traditional" portfolio.
- Chapter 5. Risk management with hedge funds.Review of hedge funds research. Empirical distributions of hedge funds returns – stylized facts. Mathematics corner: normal, lognormal sample distributions, fat tails, moments of distribution, hypothesis tests. Value-At-Risk (VaR) of hedge funds. Hedge funds indices. Fees and omissions from hedge funds – a look from options theory. Hedge funds collapses: Amaranth Advisors, Peloton Partners, Carlyle Capital Corporation, Bayou Management, Marin Capital, Long-Term Capital Management, Bernard Madoff.
- Chapter 4. Introduction into hedge funds.History and major facts of hedge funds industry. Major hedge funds investment strategies. Reasoning on hedge funds inclusion into diversified investment portfolio. Performance persistence. Hedge funds myths. In depth review and risk/return analysis of hedge funds strategies: Equity Long/Short, Emerging Markets, Short-selling, Distressed debt, Merger Arbitrage, Regulation D, Event-Driven, Fixed Income Arbitrage, Convertible Bond Arbitrage, Market Neutral, Relative Value, Global Macro, Funds of Hedge Funds. Benchmark selection. Due Diligence when investing into hedge funds.
- CAIA Association, Donald R. Chambers, Hossein B. Kazemi, & Keith H. Black. (2020). Alternative Investments : An Allocator’s Approach. Wiley.
- Lauer, T. (2018). Improving Private Portfolios with Alternative Investments. How Small Investors Can Benefit From Alternative Investments. Diplomica Verlag.
- Masoud Rabbani, Yaser Rahimi, Seyed Mahmood Kazemi, & Mehran Samavati. (2014). Satisfying the Energy Demand of a Rural Area by Considering the Investment on Renewable Energy Alternatives and Depreciation Costs. Journal of Renewable Energy, 2014. https://doi.org/10.1155/2014/907592
- Ruediger Kiesel, Rudi Zagst, & Matthias Scherer. (2010). Alternative Investments And Strategies. World Scientific.