Hedge Fund Performance Measurement - In house
Training
Inhouse
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
Start date
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
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