Hedge Fund Performance Measurement - In house

Training

Inhouse

£ 501-1000

Description

  • Type

    Training

  • Methodology

    Inhouse

  • Duration

    1 Day

  • Start date

    Different dates available

The objective of this course is to give an understanding and review of Hedge Fund performance indicators and quantitative assessment measures using real industry data examples. This course is also useful for those dealing with normal Mutual Fund performance measures. Suitable for: Bankers and Prime Brokers that invest / lend to Hedge Funds Hedge Fund Managers and Analysts and Marketing executives Quantitative Analysts and Performance Assessors Support staff for those dealing in / investing / lending to Hedge Funds Fund Managers Institutional Investors Pension Advisers Private Bankers considering Hedge Fund investments IT and other market professionals and advisors who are dealing with hedge funds

Facilities

Location

Start date

Inhouse

Start date

Different dates availableEnrolment now open

About this course

No prior knowledge of Performance Measures is assumed but a basic knowledge of statistics is useful (volatility, correlation, regression). The learning process will be reinforced through the use of workshops and case studies using real data. The course has a split of 50% theory/50% practice

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Reviews

Subjects

  • Risk
  • Staff
  • Investment Funds
  • Hedge Fund
  • Market
  • Statistics
  • Marketing
  • Private
  • Industry
  • IT risk

Course programme

Content

Current industry situation with examples

● Academic view

● Biases

Survivorship bias

Instant return history bias

Classic quantitative tools used in the industry

● Descriptive statistics (mean, variance, correlation, etc.)

● Geometric v arithmetic averages

● Rolling statistics

● Ratios (Sharpe, Calmar, MAR, Sortino, etc.) + Information Ratio

● Distribution of returns (normal, skewed, kurtotic)

Skewness

Kurtosis

● Stress test

● Regression analysis: alpha, beta & R²

● Comparison to Peers

● Drawdown assessment/negative streak and recovery period

● Hedge funds versus classic investments in difficult times

Quantitative techniques currently used in the industry

● Style analysis (Sharpe 1992 & the new versions)

The concept

The theory

Practical examples

● Fama & French (1993) 3-factor model

● Carhart (1997) 4-factor model

● Deep correlation analysis

Using daily to monthly data

Between hedge funds

Between hedge funds & classical indices

● VaR for hedge funds

New tools and Ratios

● New Ratios

● Normality triangle

● Extended Sharpe ratio

- Agreements and Documentation

New techniques (extended multi-factor performance attribution model, omega)

● Extended multi-factor performance attribution model

Performance analysis

Persistence in performance analysis

● Omega

● Inserting hedge funds in a portfolio

Risk-return (volatility)

Risk- return (alternative measures of risks)

● Liquidity risk estimation

The shortcuts of Quantitative Analysis


Further dates available on request

Hedge Fund Performance Measurement - In house

£ 501-1000