Fund Derivatives & Structured Asset Management

London Financial Studies

Short course

In London

£ 2,490 + VAT

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Description

  • Type

    Short course

  • Location

    London

  • Duration

    2 Days

  • Start date

    Different dates available

Fund Derivatives and Structured Asset Management are some of today’s hot topics in finance. Fund derivatives have grown exponentially since the 1990’s thanks to the institutionalization of hedge funds. The financial crisis has acted as a further catalyst to their growth, also enacting investors’ preference for protected funds.

This course gives participants a comprehensive overview of a fast expanding area, sitting between investment banking and asset management.

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

Different dates availableEnrolment now open

About this course

Structurers
Wealth managers
Product developers
Portfolio managers
Strategists
Risk managers
Derivatives salespeople

A quantitative background is preferred but not necessary to follow this course.

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Reviews

This centre's achievements

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 16 years

Subjects

  • Derivatives
  • Investment
  • IT risk
  • Risk
  • Options
  • Hedge Fund
  • Banking
  • Investment Banking
  • Asset Management
  • Fund derivatives
  • Strategy liquidity
  • Transparency risks
  • UCITS
  • Illiquid assets
  • CPPI
  • SICAV
  • Wealth manager

Teachers and trainers (1)

Julien Dauchez

Julien Dauchez

Teacher

Julien Dauchez is a quant-trained derivatives and investment strategy specialist with over 16 years’ experience in capital markets. Julien started his career in Fixed Income at Lehman Brothers in London in 1998. After 7 years, Julien joined Barclays Capital where he headed a derivatives structuring and marketing team in New York. Upon his return to London in 2010, he joined the asset management arm of Barclays where he originated UCITS and and fund solutions for institutional and retail-oriented clients.

Course programme

Day One

Introduction
  • The origins of fund derivatives
  • Between investment banking and asset management
  • Understanding the growth of structured funds
Fund derivatives overview
  • Mutual fund and hedge fund based products
  • Capital protection and leverage
  • Funded vs unfunded instruments
Pricing and using options on funds
  • Setting fund requirements
  • Making the link between fund derivatives and equity derivatives
  • Put options and short fund positions
Managing fund derivatives risks
  • Manager specific risk
  • Strategy liquidity and transparency risks
  • Managing the 'Greeks' of fund options
Workshops:
  • Pricing a call option on a fund
  • How to pick a suitable underlying fund?
  • Pricing a call option on an European UCITS fund
  • Key aspects of hedging options on SICAV
  • Vega hedging through proxies
Understanding structured asset management
  • Retail and institutional oriented structured funds
  • Life policies wrapped protected funds
  • How to guarantee funds?
Originating structured funds
  • Understanding the UCITS investment restrictions
  • Eligibility of proprietary strategies and indices
  • Using derivatives for investment purposes
Comparing risk/return of structured funds and actively managed funds
  • Formula funds and actively managed funds
  • Positioning structured funds in the mean variance matrix
  • Managing the risks of structured funds
Workshops:
  • Understanding how a structured fund operates
  • Analysis of a fund prospectus and supplement
  • Overview of the regulatory environment applicable to structured funds
  • Identifying the sources of optionality of an Autocall Fund
Day Two

Managing derivatives on illiquid assets
  • The case for CPPI
  • Dynamic allocation, cushion and multiplier
  • High Water Mark funds
  • Clients paying for Gamma
  • Hedging gap risk and duration risks
Particularities of alternative fund linked products
  • Basics of due diligence
  • Manager style drift, fund gating
  • Fraud risk and investment guidelines
  • Operational and functional aspects of CPPI
Workshops:
  • Analysing a fund linked capital protected note:
    - Active CPPI allocation
    - Comparative performance calculation
    - Gap risk assessment
  • Comparative analysis of derivatives linked to hedge funds, hedge fund indices and hedge fund replication indices
Using hedge fund derivatives
  • Portable alpha transactions: principles and applications
  • Using managed accounts platforms efficiently
  • Optimizing Balance Sheet usage with Fund Derivatives
The future of fund derivatives and structured asset management
  • Dynamic asset allocation
  • Micro CPPIs
  • Alpha extraction strategies
  • How fund derivatives could solve the Western pensions crisis
Workshops:
  • ‘Glidepath’: analysis of a long term saving product linked to a portfolio of mutual funds
  • Analysis of a protected fund sold in a life insurance contract:
    - Identification of performance drivers
    - Analysis of the allocation mechanism and instruments used

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Fund Derivatives & Structured Asset Management

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