Swedish Tax:

Participants attending courses running in Stockholm who are not based in Sweden may be subject to pay 25% VAT. Please contact us before confirming your place.

Course Objectives

The workshop offers a structured analytic framework for the credit analysis of hedge and other unregulated funds. Specifically participants will be equipped to:

• Distinguish the risk profile of a fund’s investment strategy, structure, leverage and liquidity
• Apply financial analytic tools used to benchmark the performance and risk profile of a fund
• Identify the due diligence required for evaluating the fund manager’s expertise, investment process, risk management and controls
• Evaluate the structural risks and rewards of exposures to funds.

Target Audience

The workshop is targeted at an intermediate level for credit analysts but is also appropriate for a wider audience of risk managers, bankers, regulators and other professionals who need to understand the key risk issues of the hedge fund industry. Participants should have a reasonable understanding of investment markets and financial products.

This workshop is complementary to the one day workshop: Regulated Funds & Fund Managers. Participants may also be interested in attending Counterparty Credit Risk in Derivatives.

Content

INDUSTRY OVERVIEW

This section reviews the development of the hedge fund industry and the key legal, structural and jurisdictional features.

• History and growth of hedge funds
• Role of hedge funds in financial markets
• Investors — evolving investor base
• Risks: orientation, strategy, financials and key parties

Orientation

• Types of funds: hedge funds, managed accounts, certain closed ended funds, funds of funds, master feeders, etc.
• Hedge funds compared to private equity funds
• Legal status of funds: partnerships, companies, segregated accounts, etc.
• Jurisdiction: offshore registrations, listings, fund manager domicile
• Impact of recent and proposed regulation:-

• Dodd-Frank Act in the US
• Proposed Alternative Investment Fund Directive in the European Union

• Absolute versus benchmarked returns
• Alpha versus beta; portable alpha
• Minimising correlations.

STRATEGIES

The goal of this section is to differentiate the investment and trading practices and risk profile of different hedge fund strategies.

• Techniques to optimise risk adjusted returns: leverage, derivatives and short selling
• Fund policies, practices and restrictions
• Risk profile of different strategies

• Directional Strategies
• Global macro
• Long / short equity
• Managed futures
• Dedicated short funds
• Emerging Markets
• Relative value strategies
• Equity market neutral
• Fixed income arbitrage
• Convertible arbitrage
• Other
• Event driven: distressed
• Event driven: risk arbitrage
• Multi-Strategy
• Fund of Funds

• S: Size: reviewing size, diversification and market position of fund
• M: Market risk: evaluating degree of market volatility

• Is VAR a useful measure for hedge fund risk?
• Appropriate limit & control structures for different strategies.