esade

Hedge Funds (2225.YR.004823.1)

General information

Type:

 OPT

Curs:

 1

Period:

 S semester

ECTS Credits:

 3 ECTS

Teaching Staff:

Group Teacher Department Language
Year 1 Andrea Albert Economía, Finanzas y Contabilidad ENG

Prerequisites

Previous knowledge necessary to make the most out of the course are the following: basic financial theory, the basics of portfolio construction, basic statistics, and knowledge of financial instruments.

Workload distribution

The workload distribution will consist of:
o Lectures.
o Practical and participative sessions
o Readings
o Tutorials.

There will be two linked assignments during the course:

ASSIGNMENTS

Assignment 1: Advice on an hedge fund strategy

- Students will be provided with a specific macroeconomic context which they will use to suggest the most appropriate hedge fund strategy (or more than one).
- Students are expected to use the knowledge acquired in the different hedge fund strategies.
- Students are expected to have supporting documentation 1) contextualize the macroeconomic context provided 2) investment thesis on the strategy (strategies) selected (including detailed rational for every investment decision as well as risk/return expectations of their specific hedge fund over the short & long term) 3) power point presentation to be presented to the class (10 minute time limit)

Assignment 2: Create a Long/Short trade

- Students are expected to create a long/short trade based on their own idea.
- The trade does not need to be limited to the equity space but can be in the fixed income, rates and FX space.
- Students are expected to have supporting documentation 1) investment thesis 2) back-tested date results/support 3) power point presentation to be presented to the class (10 minute time limit)

COURSE CONTRIBUTION TO PROGRAM

? To add value to your CV through advanced financial education regarding alternative investments, one of the key areas in the modern asset management business.
? Discovering the "golden rule? to play the financial market game, not only with directional strategies, but also trying to find relative value in the market applying mastertrader's techniques.
? Being able to apply/to reply the hedge fund techniques in order to improve the risk/reward ratio for your portfolios.

Course Learning Objectives

In recent years, hedge funds have become an increasingly prominent part of the financial markets. The strategies and performance of hedge fund managers have gained wide attention. Yet, for many, hedge funds remain a mystery even the huge amount of money under management. How do they work? Which are the strategies they use to exploit volatility, mispricing and inefficiencies in global capital markets? How to start your own hedge fund?

CONTENT

1. Hedge Funds: the basics revisited.

a. What are hedge funds?
b. History of Hedge Funds?
c. Traditional Mutual Funds vs. Hedge Funds?
d. Benefits of Hedge Funds?
e. Risk of Hedge Funds?
f. Playing markets like ¿God¿.

2. In search of alpha ¿in depth hedge fund strategies¿

1) Equity Hedged
a. Fundamental
b. Equity Event
c. Opportunistic Trading

2) Relative Value
a. Quantitative Equity
b. Merger Arbitrage
c. Cap Structured / Vol Arb
d. Fixed Income Relative Value
e. Agency MBS

3) Credit / Income
a. Distressed
b. Corporate Long/Short
c. Asset Backed
d. Reinsurance
e. CLO / Corporate Lending

4) Trading
a. Systematic
b. Discretionary
c. Commodities

The case for ¿portable alpha¿.

3. The Myth of hedge funds

¿¿When genius failed¿: let¿s explain some disasters (LTCM, Amaranth, Crusader, Tiger Fund ¿ ).
¿¿The billionaires Club¿: Brevan¿Howard, Capula Investment Management, Winton Capital ¿

4. Manager selection is key

How to improve your Sharpe Ratio including Hedge Funds into your portfolio: the risk/reward analysis when including non¿correlated assets ¿alternative investments¿.

5. How to start your own Hedge Fund

Setting up a Hedge Fund, business structure, domicile (onshore and offshore) and selecting your prime broker.

6. Other hot Hedge Funds themes

a. Co-Investments
b. SPACs

Methodology

The course has been designed on three levels in order to promote understanding and the implementation of the basic concepts.

The syllabus has therefore been designed to include:

1.A theoretical level: Theoretical concepts are formally presented and then applied by means of examples. In order to do so, students will be provided with materials that are used in class to develop each subject.

2.A self¬ learning level: Students will be given reading assignments on both theoretical and research contents which will provide them with in depth knowledge of the topics that are covered in class.

3.A relational or group level: The course makes use of the case study methodology whereby students working in groups can analyze, propose and put forward solutions to the cases they have been assigned

Assessment criteria

Course grade will be calculated using the following points:

Class participation: 5%
Assignments: 45%
Final Exam: 50%

Participating in class is important since you are sharing your knowledge, opinions and views with the rest of the participants. Participation will take into account your contribution in the classroom session or through video-conferencing if you cannot be physically present at ESADE.

A good contribution to class participation will benefit the whole class and not just the student who speaks. Listening is also an essential component of learning. The class participation grade will be "standardised? in relation to the other students in the class.

The final individual exam is a combination of various types of questions, both quantitative and qualitative. During the exam, students are allowed a calculator.

The two types of evaluation are as follows:

1. Ordinary evaluation.

A minimum score of 5 is required both in the final exam and in the average (applying the weights mentioned above) in order to pass the course. The grading criteria can be summarised as follows: if both the final exam grade and the overall average grade are above 5 then the final grade is the average grade. Otherwise, the final grade is the minimum of the final exam grade and the overall average grade.

2. Retake.

If a retake exam is needed (only in cases where the student failed the ordinary evaluation), the final course grade will be determined by:

- In case the student received an APZ (it means that the previous exam was postponed but justified by medical or family-related reason and approved by Program Management), the original breakdown will be maintained.
- In case the student received an NP (it counts 0; not justified absence in the previous exam) or FAIL, the retake will count 100% as the final grade of the course.

Important clarifications:

1.To pass the course, a minimum grade of 50% is required on both the final exam and the weighted average of the two components listed above. Specifically, if both the final exam mark and the weighted average are above 50%, then the weighted average becomes the final grade for the course. Otherwise, the final grade for the course will be the lower mark of the two.

2.In case a retake exam is needed, the final course grade will be 100% determined by the retake exam mark.

Timetable and sections

Group Teacher Department
Year 1 Andrea Albert Economía, Finanzas y Contabilidad

Timetable Year 1

From 2023/3/20 to 2023/3/24:
From Monday to Friday from 8:30 to 10:00.
Each Friday from 15:00 to 18:15.
From Monday to Friday from 12:00 to 14:00.
Each Friday from 18:15 to 19:00.
From Monday to Friday from 10:15 to 11:45.