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Hedge Fund Primer: A One-Day Course

The fundamentals of investing in hedge funds


19 May 2010

www.imperial.ac.uk/business-school
Course content
This practical one day course has been designed for investors and others that are looking to
learn more about hedge funds and who want to understand what they are, how they work, and
how they are used in a portfolio. The course uses a variety of teaching methods and draws
on speakers with different perspectives on this compelling area of investment. The content
and speakers combine the theoretical and practical in a short course suited to a wide range of
investors, service providers and those with oversight responsibilities.

Morning session Afternoon session


8.45 – 9.00 12.30 – 13.30
Registration Lunch

9.00 – 10.30 13.30 – 15.00


Session 1 Session 3

The significance of hedge funds • Results of Strategy Allocation exercise


• Size of industry, relative to other formats •W hich strategies perform well during different stages of the
• Significance to markets - price discovery, liquidity business cycle?
• Types of investor
Funds of Hedge Funds
What constitutes a hedge fund • Manager selection – quantitative and qualitative
• A.W.Jones • Portfolio construction
• Legal structure and legal domicile • Monitoring and due diligence
• Fees •G uest speaker: Guido Bolliger Chief Investment Officer, Olympia
• Investment powers, taxation and return profile Capital Management
• High-water mark, hurdles, co-investing, liquidity, liquidity
premium 15.00 – 15.30
• Regulation Refreshment break
Current shape of the industry 15.30 – 17.00
• Number and size of funds, concentration and tail length Session 4
• Domiciles of management companies and funds
• Division of capital by strategy Case study – a hedge fund presentation
• Interactive session with role play
10.30 – 11.00
Tea/Coffee Sources of return and means of implementation
• Skill-based investing, alpha and beta
11.00 – 12.30 • Hedge fund alpha and beta
Session 2 • Replication and indexation of hedge funds
• Structured products
What hedge funds offer their investors • 130/30 funds, UCITS II/UCITS III, hedged mutual funds
• Asset classes in risk/return framework – adding hedge funds • Absolute return funds, quoted hedge fund vehicles
to the classic asset mix •C ore/satellite, in-house/external provider, advisors/managers
• Higher moments: skew, kurtosis, and the correlation of hedge
funds to asset classes

Risk and returns of the investment sub-strategies


• Event driven, equity hedge, arbitrage, and macro/CTA
• Simulation exercise – allocation of capital to funds/strategies
Details
Why Imperial College Business School? About the trainers
This course is delivered by a leading academic in the field Simon Kerr is an experienced hedge fund executive who has worked
of hedge funds from Imperial College Business School and at a fund of hedge funds provider and in three single-manager hedge
two experienced practitioners. fund businesses. He has run his own hedge fund consultancy, Enhance
Consulting, which worked with portfolio managers covering all aspects
Consistently rated amongst the world’s best universities, Im- of portfolio management and risk management for hedge funds. Simon
has written for “The Hedge Fund Journal” magazine since its 2004
perial College is a science-based institution with a reputation
launch, is the author of a book on the European hedge fund industry,
for excellence in teaching and research. It has a well estab-
and has a well-regarded hedge fund blog. His background is in portfolio
lished Executive Education programme. The Risk Manage-
management, risk management and derivatives at institutional inves-
ment Lab (RML), headed by Dr Robert Kosowski, acts as
tors. He is a Visiting Fellow at South Bank University Business School,
the umbrella for all research on risk within Imperial College and was a founder member of the LIFFE Institutional Advisory Group
Business School’s Finance Group. The Centre for Hedge (LIAG), and his work for the Futures & Options Association included
Fund Research within the RML develops research on the appearing at The Treasury Select Committee as an expert witness after
performance, investment behaviour and risk management of the Barings Crisis. He carries out hedge fund research and investment
hedge funds. Further information on the Centre can be found idea generation for Oriel Securities in London.
at www.imperial.ac.uk/riskmanagementlaboratory
Robert Kosowski is a Director of the Risk Management Lab and also
Venue directs the Centre for Hedge Fund Research which forms part of the
The course will be held in Imperial’s conference suite in a Lab. Robert is Assistant Professor in the Finance Group of Imperial
magnificent building on Exhibition Road in South Kensing- College Business School. His research interests include asset pricing
ton. Situated in one of London’s finest locations, adjacent to and financial econometrics with a focus on the performance and risk of
such landmarks as The Royal Albert Hall and the Science, mutual funds, hedge funds, analyst recommendations and derivative
trading strategies. Robert’s research has been published in top peer-
Natural History and Victoria & Albert Museums, with Harrods
reviewed finance journals such as The Journal of Finance and The
and Hyde Park just a short walk away.
Journal of Financial Economics. Robert’s research was awarded the
European Finance Association 2007 Common Fund Best Paper Award
Costs of training and a INQUIRE UK best paper award. Prior to joining Imperial Robert
Regular price: £895 was an Assistant Professor of Finance at INSEAD where he taught in
Early bird price: (bookings before 3 May 2010) £795 the MBA, Executive Education and PhD programs. Robert holds a BA
and MA in Economics from Trinity College, Cambridge University, and
Who should attend? a MSc in Economics and PhD from the London School of Econom-
• Trustees, Institutional Investors, Private Bankers, Consult- ics. Robert has consulted for private and public sector organizations
ants and Financial Advisors including the IMF and UK House of Lords and has worked for Goldman
• Regulators, Compliance Officers, Junior Fund Managers Sachs, the Boston Consulting Group and Deutsche Bank.
and Trainees, and Business Development Staff
• Service Providers to Hedge Funds Guest speaker on funds of funds
Guido Bolliger
The course provides answers to key questions Chief Investment Officer, Olympia Capital Management
Prior to become Chief Investments Officer of Olympia Group, Guido
• What are the Determinants of Funds of Hedge Funds
Bolliger was Risk and Quantitative Analysis Managing Director. Guido
Performance?
Bolliger began his career in 1995 at the Banque Cantonale Vaudoise
• How useful is hedge fund replication for benchmarking and
(Lausanne, Switzerland) as a mutual Fund Manager. Then he worked
risk management?
for two years as an Index Fund Manager and Quantitative Analyst at
• Which hedge fund strategies are likely to outperform in Synchrony S.A. From 2004 to 2005, he worked for Julius Baer Invest-
different economic environments? ment Fund Services as a Senior Quantitative Analyst in Zurich. He
• What does the future hold for hedge fund replication? holds a BS in Management Science from the University of Neuchâtel,
• What role do hedge funds play in asset allocation for pen- a MS in Economics and Finance of the University of Geneva and also
sion funds and high net worth individuals a Ph.D in Finance, from the Swiss Financial Institute and the University
• Do listed hedge funds, UCITS III compliant funds and man- of Neuchâtel. Guido Bolliger is an Invited Professor of Finance at the
aged accounts present benefits for hedge fund investors University of Neuchâtel (Switzerland).
that are demanding increasing liquidity and transparency?

For booking and other enquiries please contact Stacey Loghdey in Imperial College Business School’s Executive Education team
E: s.loghdey@imperial.ac.uk
T: +44 020 7594 3453

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