Course Contents and Methodology
Investment Risk Management
You cannot obtain returns without taking risks, but risks can often be mitigated by hedging.
Investment strategies are being developed every day with the objective to obtain uncorrelated) to traditional markets, and produce value-add in their return profile (alpha).
Because of this, these investment classes is often referred to also as Absolute Return strategies, hedge funds, or Liquid Alpha.
This course is a thorough review of the trading as a risk transfer mechanism, highlighting the relationship between risk and return
Quest for arbitrage
When an Investments opportunities arises with “lower-than-normal risks”, it is usually referred to as “arbitrage“. Market inefficiencies, for example, are a source of arbitrage. Information asymmetries are another source, but the risk/return equation can also be improved through the clever use of derivatives.
This course will contain many practical examples of that.
Here, we will create a fund -on paper- and use that example to understand the basic business aspects of the investment industry, and the interplay between risk and return, addressing the following notions:
- Qualitative Risks
- Credit Risk
- Capacity and other business risks
Here we will review quantitative methodologies to analyze fund performance
- Returns: definitions and characteristics, AIMR compliance
- Volatilities: definitions and characteristics
- Covariances and correlations
- Applications to portfolio risk management: Sharpe ratio
- Alphas and betas
- Non Gaussian measures:
- Loss/gain deviations
- Moments (skewness, kurtosis)
We will review different absolute return strategies:
- Convertible arbitrage
- Equity long short
- Managed Futures
- Distressed investing
- Fixed income
- Merger arbitrage
- Global Macro
Here we will examine how trading strategies are used to create investment products
- Qualitative characteristics of investments
- Data and databases
- Investment structures
- Fund of funds
- Leveraged investments: options
- Guaranteed notes
- Collateralized fund obligations (CFO)
If time permits, we will devote some time to issues which are changing the investment industry today, including:
- Climate Risk
- Service providers
- Trading strategies
- Analyzing return
- Measuring volatility
- Measuring risks
- Risk adjusted measures of return
- Regulation and compliance
- The Due Diligence process
- Business cases
The course offers an interactive element where situations and theoretical cases are discussed:
- Analyzing performance
- Optimizing a trading strategy
- Creating a leveraged trade
Access the Course Reading Room
Here you can find all lecture notes, lecture videos, a curated YouTube video library as well as other documentation which may prove useful for the course and to set up and operate a successful family office.
Access is restricted to subscribers and students enrolled in the program.