2.0

Average Course Rating

This course surveys a broad range of hedge fund and proprietary trading strategies with an emphasis on understanding their fundamental investment process. Students will gain practical knowledge in regards to creating, back-testing, and implementing these strategies. There will be particular focus on the theoretical justification for the existence of inefficiencies or risk premium, and the successful extraction of them. The course will cover the gambit of popular hedge funds strategies, such as Long/Short, Event-Driven (Distressed, Risk Arbitrage), Equity Market Neutral, Statistical Arbitrage, Dedicated Short-Bias, Convertible Arbitrage, Emerging Markets, Fixed Income Arbitrage, Global Macro, Managed Futures, and Multi-Strategy. Particular attention will be placed on understanding the mechanics of the alpha-extraction methodology. An example of the type of question that will be addressed in this course is: What do hedge fund managers strive to capture, and how do they do it? Hidden risks and limitations associated with the implementation of such strategies will be highlighted throughout this course. Upon successful completion of this course, students should gain a firm understanding of the popular hedge fund trading strategies currently employed in the industry. This course is presented from a practitioner’s perspective and will assume that students have knowledge of basic financial theory, portfolio construction, arbitrage concepts, return calculations, statistics, and financial instruments and derivative products. The class projects will be highly quantitative and will require that students be able to analyze and manipulate market data using statistical and mathematical modeling techniques.