Alternative Investment Management

Financial markets and cycles underpinning alternative investments

Course objectives

  • Master Alternative management strategies
  • Understand hedge funds managers' techniques
  • Understand risk and profitability metrics

Definition and raison d'être of alternative investments

  • Reminder : cash vs derivatives, indices
  • Characteristics of major asset classes and associated ratios (PER, div yield,PBV… for equity; YTM, duration, sensitivity, convexity for fixed income products, commodities)
  • Perfomance cycles by asset class and their performance drivers

Risk premiums driving alternative alpha

  • Understanding theory between alpha and beta
  • Yield curve impact on alternative strategies
  • Market stress, volatility and correlation Case Study : what about risk premiums today

Structure and classification of alternatives

  • Operational set-up of alternatives
  • Strategy types : event driven / macro / directional / arbitrage
  • HFR classification

The world of alternatives

  • Equity strategies
    • Merger arbitrage
    • Index arbitrage

Excel: designing the most efficient equity strategies based on a specific objective and defined constraints

  • Long / Short equity
    • The 4 performance generators
    • Market Neutral strategies
  • Fixed Income Arbitrage
    • Yield curve arbitrage
    • Convergence arbitrage
  • Credit Arbitrage
    • Capital arbitrage
    • Relative value

Excel: credit arbitrage portfolio construction

  • Convertibles strategies
    • Convertible arbitrage : volatility arbitrage, rates arbitrage, credit arbitrage

Case Study: convertible arbitrage trade step-by-step

* Group discussion of interviews with legendary investors : Soros, Dalio, Platt, Paulson

* Hedge Fund prospectus review and analysis

Risk metrics

  • Definition of performance and risk metrics
  • Sharpe, Sortino, Calmar, drawdown ratios and others
  • Understanding the Greeks
  • VaR and its limitations

Excel: calculating risk metrics from a dataset

* Study and comparison of metrics used for alternatives Vs classical

The challenges for today's alternatives

  • Major trends with alternatives: vehicles, regulation, liquidity, allocations
  • AIFMD substance and expected impact
  • The dangers of smart beta

Tigrane Kibarian

Tigrane Kibarian

Tigrane Kibarian graduated from ESSEC and began his career in audit at Arthur Andersen before joining General Electric, where he worked in corporate finance. He then joined Goldman Sachs in London where he was first team leader in charge of the Business Development of Equities Division. He then worked in restructuring large institutional portfolios across all asset classes. Now an independent trader, active in major index, currency and bonds markets, his broad vision of the economy and his cross – trading room and products experience give him a very practical understanding of financial markets.

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