| Each Fund Manager presents an aspect of his/her research and procedure |
| ▪ | Long-short equity: system override?
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| . | Giving meaning to scoring models
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| . | Controlling model and execution risk
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| ▪ | CTA: minimising risk?
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| . | Diversification of systems, parameters, markets, horizons
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| ▪ | Arbitrage: automated trading?
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| . | Mathematical and behavioural models
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| ▪ | Convertible arbitrage: capacity constraints?
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| . | IFRS constraints on issuers
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| . | Widespread arbitrage models
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| . | A closer-to-perfect arbitrage
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| ▪ | Funds of hedge funds: predict successes
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| . | Due diligence: emerging strategies
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| Presentations will be followed by a workshop in which will be exchanged
professional experiences dealing with hedge fund creations |
| Practical Matters |
| ▪ | Initial team
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| ▪ | Validating the process: beyond back-testing
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| ▪ | Business assets
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| ▪ | Business plans and seed capital |
| Operational Matters |
| ▪ | Selecting a prime broker and a custodian
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| ▪ | Administrator
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| ▪ | Valuation
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| ▪ | Marketing strategy |
| Risk Management, VaR Frontiers |
| ▪ | Dynamic risk analysis
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| ▪ | Model risk
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| ▪ | Liquidity risk
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| ▪ | Non-linear aspects and cumulative effects |