Funds Derivatives

Construction, management and uses of derivatives on underlying

Course objectives

  • Understand the typology of funds derivatives
  • Understand the use and perspectives of these products
  • Learn to build a fund derivative

Definition and typology of funds derivatives

  • Identification of the underlying
    • mutual Fund
    • alternative Fund
    • managed accounts
  • Options on investment funds
  • CPPI technique
  • Offer simultaneous exposure to several asset classes

Case Study: Analysis of a call on a European basket SICAV

Construction and management of funds derivatives

  • Manager selection by over-performance compared to peers
  • The process of due diligence
  • Liquidity impact on structure definition
  • Manage the “Greeks” of an option on funds

Case Study: Construction of a guaranteed capital product on a selection of hedge funds

Uses and perspectives of funds derivatives

  • Extract the alpha of a manager: techniques known as portable alpha
  • Integration of funds derivatives in institutional portfolios
  • Use of funds derivatives in a public perspective
  • Valorization and regulatory reporting of funds derivatives

Case Study: Analysis of a product linked to a dynamic selection of the best global managers

Julien Dauchez

Julien Dauchez

Julien is a quant-trained derivatives specialist with over 16 years experience in capital markets. After graduating with a Masters in quantitative finance from HEC and a M.Eng in Applied Computer Science from Dauphine University in Paris, Julien started his career at Lehman Brothers in London in 1998 where he structured interest rates derivatives and hedge fund-linked products for clients in Europe. After 7 great years at Lehman, Julien joined Barclays Capital’s Equity and Fund Structured Markets (EFS) in New York where he headed the fund-linked derivatives structuring and marketing team for the Americas. Upon his return to London in 2010, Julien joined the asset management arm of Barclays Capital where he originated UCITS and other investment funds for both institutional and retail-oriented clients. Julien left Barclays in June 2013 to set-up his consultancy. In June 2014, at Natixis IM, he became manager of the Portfolio Research & Consulting team, which works only on portfolio analysis intended for professionnal investors.

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