Hedge Funds
Course Number: 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:
Monday,
Teaching Assistant: Ming Fang
Assistant to Professor
Goetzmann, Mary Ann Nelson, ICF, 46 Hillhouse, room 103
Course Overview
An in-depth study on
the theory and management of hedge funds. We will focus on their strategies,
including M&A arbitrage, market neutral investing, statistical arbitrage,
fixed income arbitrage, global macro 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 will consist of (1) a
simulated portfolio report to be done as a group or individually (2) two
manager briefs, done individually and (3) two cases done as a group or
individually.
Simulated
portfolios. Open your portfolio through Stocktrak. The course has been
registered with William Goetzmann as the instructor. The cost for each
portfolio is $25 for the semester. Groups or individual students may run
as many portfolios as they wish and report the aggregate and disaggregate
performance at the end of the term. Trading may commence 1/31/05.You must
announce the general style and approach you intend to use in an E-mail to the
professor and the TA. You will be evaluated according to this style.
StockTrak limits the number of trades to 200.
Students will manage
a simulated portfolio according to a specific style. Summaries of the
portfolio performance will be presented in the final class.
Text:
Jaeger, Robert, AllAbout
Hedge Funds
Optional:
Lederman,
Jess,(Editor) and Robert A. Klein (Contributor),Hedge
Funds: Investment and Portfolio Strategies for the Institutional Investor.
|
Class
Number |
Date |
Topic |
Guest
Speaker/Case |
Lectures |
Reading/Slides |
|
1 |
24-Jan |
History
and theory of hedge funds |
None |
Introduction,
Hedge
Funds on the Frontiers |
Hedge Funds and Financial Frontiers |
|
2 |
31-Jan |
Manager
visit I: source of alpha |
Andrew Redleaf, Whitebox Partners |
J.P. Morgan
Report: Have Hedge Funds Erroded Opportunities? |
|
|
3 |
7-Feb |
Hedge
funds as security selectors |
None |
Theory of
Hedge Funds II: Applications of linear
models in performance evaluation Value at
Risk |
Goetzmann
and Ross, “Hedge
Funds, Theory and Performance” |
|
4 |
14-Feb |
Manager
II: Hedge funds as insurance providers |
Carl Schecter, Nomura Securities, Event Driven, M&A Arb. |
Limits of
Performance Measurement: “Sharpening
Sharpe Ratios” |
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” |
|
5 |
21-Feb |
Case
discussion: performance evaluation in practice |
CASE: Alpha
Investing |
|
Mark L.Mitchell,
Todd C.Pulvino and Erik Stafford, “Limited
Arbitrage in Equity Markets” Goetzmann,
Ingersoll, Spiegel and Welch, “Sharpening Sharpe
Ratios” Lo, Getmansky and
Makarov, “An
Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns” Shleifer,
Andrei and Robert Vishny, 1997, “The
Limits of Arbitrage” Powerpoint
Presentation Pair
Trading |
|
6 |
28-Feb |
Manager
III: Fixed Income and MBS |
None |
Fixed
Income Models for Arbitrageurs MBS
valuation Interest
Rate Factors Ming Fang |
Jorion, “Risk
Management Lessons from Long-Term Capital Management” Okunev
and White, “Hedge
Fund Risk Factors and Value at Risk of Credit Trading” Gabaix, Krishnamurthy, Vigneron, “Limits of
Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market” Heidari and Wu, “What
Constitutes a Good Model? An Analysis of Models for Mortgage Backed
Securities” |
|
BREAK |
|||||
|
7 |
21-Mar |
Manger
IV: HF Intermediaries & Fund of Funds |
Style
Analysis of Hedge Funds |
Brown, Goetzmann,
and Liang, “Fees
on Fees in Funds of Funds” Brown and
Goetzmann. “Hedge
Funds with Style” Fung and Hsieh, “Benchmarks
of Hedge Fund Performance: Information Content and Measurement Biases” |
|
|
8 |
28-Mar |
HF in the
Investment Portfolio |
CASE: Multi Funds |
High
Water Mark contracts, Risk Analysis |
Goetzmann,
Ingersoll and Ross, “High-Water
Marks and Hedge Fund Management Contracts” |
|
9 |
4-Apr |
Manager
Compensation |
Fred Busk |
Risk
Analysis: Volatility and Operational risk |
Lo, “Risk Management
for Hedge Funds: Introduction and Overview” Brown,
Gallegher Steenbeek and Swan, “Double or
Nothing: Patterns of Equity Fund Holdings and Transactions” Brown, Goetzmann and Park, “Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs” |
|
10 |
11-Apr |
Manager
V: Global Investment Frontier |
|
International
Hedge Fund Investing |
Brown,
Goetzmann and Park, “Hedge funds
and the Asian currency crisis” Goetzmann,
Spiegel and Ukhov Modeling and
Measuring Russian Corporate Governance: The Case of Russian Preferred Shares Fung and Hseih, “Measuring the Market Impact of Hedge Funds” |
|
11 |
18-Apr |
Portfolio
Theory |
CASE: Foote School Case “Data” |
|
Favre and
Galeano, “Hedge
Funds Allocation: Case Study of a Swiss Institutional Investor” |
|
12 |
25-Apr |
Regulation
and Industry Evolution |
|
Regulation and Hedge Funds Powerpoint Presentation |
Getmansky,
Lo and Mei, “Sifting
through the Wreckage: Lessons from Recent Hedge-Fund Liquidations” Brunnermeier and Nagel, “Hedge Funds and the Technology Bubble” “Staff Hedge Fund
Report Fact Sheet” Implications of the Growth of Hedge Funds Report of
the Staff of the President’s
Working Group on Hedge Funds: Hedge Funds, Leverage, and the
Lessons of Long-Term Capital Management, 1999. Please
follow link to full
report in pdf. |
|
13 |
2-May |
Portfolio
Presentations |
|
None |
|