Hedge Funds
MGT 647
Instructor William N. Goetzmann
Website: http://viking.som.yale.edu/will/hedge/hedge-syllabus.html
E-mail
contact william.goetzmann@yale.edu
Time and Place: Wednesday,
Course Overview
The
theory and management of hedge funds. We will focus on their strategies, including
market neutral investing, statistical arbitrage and derivatives arbitrage.
Topics will include hedge fund compensation, performance evaluation, risk
management, including operational risk, and the role of arbitrageurs in the
capital market.
Assignments: Grades
will be based on three two-page manager briefs. Grade will be based on clarity
and insight into the managerial philosophy, as well as a discussion of the
potential for an investment in the fund.
Text: Lederman, Jess, (Editor) and Robert
A. Klein (Contributor),
Hedge Funds: Investment and Portfolio Strategies for the Institutional Investor
.
January 21: Introduction. Theory and History of Hedge Funds
Introduction to instructors
and to data sources. Industry overview and recent trends.
Focus on the Arbitrage Pricing Theory and conceptual foundations of absolute
return strategies.
Goetzmann and Ross (2000) Hedge Funds, Theory and Performance
William N. Goetzmann, Roger G. Ibbotson and Stephen J. Brown, Offshore Hedge
Funds: Survival & Performance 1989-1995
Stephen J. Brown and William N. Goetzmann, Hedge Funds
with Style
Powerpoint presentation Introduction
to hedge funds
January 28: Relative Value Arbitrage
Lecture Long-short strategies and asset mispricing.
An introduction to linear risk modeling.
Speaker
George Wyper, Wyper Capital Management, SOM 84
Reading Evan Gatev, William N. Goetzmann and K. Geert Rouwenhorst Pairs Trading: the performance of a relative value arbitrage
strategy
Powerpoint Presentation Pairs
Trading
February 4:
Performance Evaluation
Speaker: Kristopher Kwait, SOM 01 Commonfund
What quantitative analysis can tell us. Breaking down and understanding hedge fund returns.
February 11: Short Selling
Speaker James Chanos, Kynikos Associates
Short-selling as an
investment style. The role of short-selling in market efficiency.
James
Chanos, Testimony,
the House Committee on Energy and Commerce, 2002.
James Chanos, Prepared
Statement, Panel Discussion: Hedge Fund Strategies and Market Participation
2003
Owen
Lamont, Charles M. Jones Short
Sale Constraints and Stock Returns
Arturo Bris, William N. Goetzmann, Ning Zhu Efficiency and the Bear: Short-Sales and Markets Around the World
February 18:
Speculation and Risk
Speculation and empirical evidence.Value at
risk models, operational risk issues.
Speaker Victor Neiderhoffer
Varieties of fixed income
arbitrageurs. Where and how do they profit? Fixed income
derivatives. Lecture on the instruments available and what they do, and
how they are valued.
Victor Neiderhoffer,
Practical Speculation 2003.
Philippe Jorion 1999 Risk
Management Lessons from Long-Term Capital Management
William Fung and David Hsieh The Risks in Hedge Fund Strategies: Theory and Evidence From
Trend Following
February 25: M&A Artbitrage
Risk and return of M&A arbitrage.
Speaker:
Carl Schecter, Nomura Securities
Mark
L.Mitchell and Todd C.Pulvino,
Characteristics of Risk and Return in Risk Arbitrage
Mark
L.Mitchell, Todd C.Pulvino
and Erik Stafford, Price Pressure Around
Mergers
March 3: Funds of Funds
Assessing
skill.
Speaker Bob Jaeger, Evaluation
Associates
Stephen J.Brown , William N.Goetzmann and Bing
Liang, 2002, Fees on Fees in
Funds of Funds .
William Fung and David A.Hsieh, 2001, Benchmarks of
Hedge Fund Performance: Information Content and Measurement Biases .