Hedge Funds
Objectives
In general this course is designed to help students to structure their own investment and trading decisions in the context of the financial markets. The course has a strong analytical component, as most investment strategies will be back-tested and analyzed from an historical perspective. It should help to prepare the students to work in a trading room of a bank or a hedge fund.
General characterization
Code
2226
Credits
3.5
Responsible teacher
Gonçalo Ribeiro
Hours
Weekly - Available soon
Total - Available soon
Teaching language
English
Prerequisites
n/a
Bibliography
Expected Returns: An Investor's Guide to Harvesting Market Rewards, Antti Ilmanen.
Teaching method
There are two classes per week. Each class is of 1h20m. The classes consist of discussions about hedge funds and their most common investment strategies. After a brief presentation of each investment strategy, real life examples will be discussed in detail. Classroom participation is expected and required. Students are expected to conduct their own research on existing hedge funds (Bloomberg and Internet) and on investment/trading strategies (look for academic papers on libraries or internet databases).
Evaluation method
3 Assignments (individual): 30%
Final Project (in group): 20%
Exam (individual, mandatory): 50%
Subject matter
Overview - What are Hedge Funds, history, evolution, main strategies, performance
In search of Alpha - Methodology
Investment Strategy: Trading - Systematic vs Opportunistic, technical vs fundamental vs other, back-testing, data-mining, over-fitting, trading costs, examples
Investment Strategy: Arbitrage - Definition, pure arbitrage x relative value, geographic / product arbitrage, statistical arbitrage, pair trading, relative value baskets
Intraday strategies - examples with Matlab
Investment Strategy: Macro - reflexivity theory, simulation of real time investment decisions
Fixed Income Arbitrage - duration, convexity, basis risk, yield curve trades
Volatility Arbitrage - Volatility, gamma, vega, theta, rho, plain vanilla x exotics
Commodity Arbitrage - Curve slopes - contango x backwardation, roll down trade
FX Arbitrage - Carry trades, interest rate differentials
Programs
Programs where the course is taught: