Hedge Funds: Due Diligence

Benchmark
  • Index categories: selectivity and discrimination
  • Style consistency
  • Survivorship bias and backfill bias
  • Investable indices
  • Practical Workshop
  • Estimate a survivorship bias
Performance Analysis
  • Simple regression
  • Emerging risk premiums
  • Asymmetrical risk
  • Integrating liquidity risk
  • Practical Workshop
  • Performance analysis methodologies
Replication Strategies
  • Alternative alphas and betas
  • Risk premium
  • Synthetic offerings
  • Tailor-made solutions
  • Practical workshop
  • Find alternative betas
Funds of Funds: Selection
  • Initial selection
  • Due diligence questionnaire
  • Interview
  • Negotiate the conditions
  • Practical workshop
  • Analyse a questionnaire
Funds of Funds: Diversification
  • Risk types
  • Parameters to be optimised: volatility, skewness, kurtosis
  • Risk weighting or cash?
  • Overlay?
  • Practical workshop
  • Capacity and selection constraints
Structure Products
  • OBPI
  • CPPI
  • Options on CPPI
  • Hedge fund cloning platforms:
  • CFO
  • Practical workshop
  • Perform a risk analysis and choose the best CPPI structure

  • Understand the bases of comparison for performances and their representation biases
  • Analyse hedge fund performances in order to find the exposures at each risk premium
  • Audit the manager so as to identify the best approaches in the future
  • Structure an optimum hedge fund portfolio
  • Pragmatic analysis of hedge fund performance sources
  • Operational suggestions for the selection process
  • Procedures for constructing a diversified portfolio
  • Comparison between the results of different investment structures
  • Fund managers
  • Fund selectors
  • Institutional investors
  • Analysts
  • Financial consultants
  • Equity salespeople
Close

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