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, a graduate of ESSEC and Warwick Business School, began his career in auditing at Arthur Andersen before joining General Electric - Energy Division - in corporate finance, working on industrial, regulatory and M&A assignments in France and Italy.
He joined Goldman Sachs in London, first as COO in the Equities division and then as VP on the institutional portfolio restructuring desk, working on ALM and cross-asset allocation issues.
He made a transition to asset management by becoming Global Macro portfolio manager at Odin Capital, before becoming its COO. After this experience, he founded Zentak Capital with a partner to offer institutional clients a volatility arbitrage strategy.
He has been working in training for 10 years, as a trainer and also in charge of CIB-AM clients for Bärchen. Tigrane is Lean Six Sigma and FCA certified.

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