1. Hedging strategies
• Basic principles of hedging strategies using futures,
• types of hedging strategies,
• cross hedging (hedge ratio, optimal number of contracts),
• hedging an equity portfolio (stock index futures, reasons for hedging).
2. Derivatives valuation
• Valuation of forward, futures and swap contracts,
• principles of non-arbitrage approach to valuation of contingent claims,
• option valuation models (assumptions and use of models),
• option Greeks and implied volatility.
3. Derivatives strategies
• Changing risk exposures with swaps, futures and forwards,
• position equivalencies (synthetic options),
• covered calls and protective puts (investment objectives),
• spreads and combinations (bull and bear spreads).
4. Risk and performance of alternative investments
• Measures of return and risk (internal rate of return, risk-adjusted measures),
• benchmarking and performance attribution,
• benchmarking of commodities, real estate, private equity and managed funds,
• returns on illiquid funds (reasons and approaches for price smoothing).
5. Hedge fund industry
• Structure of hedge fund industry (hedge fund classification, indices),
• strategies of hedge funds (event-driven, relative value),
• types and characteristics of hedge funds (equity hedge funds, funds of hedge funds),
• hedge fund risks and returns.
6. Access to real assets and private equity
• access to real estate (unlisted and listed real estate funds, types of REITs),
• commodity investments and key concepts in managing commodity exposures,
• overview of issues in private versus listed investment access,
• secondary markets for PE partnership.
• Basic principles of hedging strategies using futures,
• types of hedging strategies,
• cross hedging (hedge ratio, optimal number of contracts),
• hedging an equity portfolio (stock index futures, reasons for hedging).
2. Derivatives valuation
• Valuation of forward, futures and swap contracts,
• principles of non-arbitrage approach to valuation of contingent claims,
• option valuation models (assumptions and use of models),
• option Greeks and implied volatility.
3. Derivatives strategies
• Changing risk exposures with swaps, futures and forwards,
• position equivalencies (synthetic options),
• covered calls and protective puts (investment objectives),
• spreads and combinations (bull and bear spreads).
4. Risk and performance of alternative investments
• Measures of return and risk (internal rate of return, risk-adjusted measures),
• benchmarking and performance attribution,
• benchmarking of commodities, real estate, private equity and managed funds,
• returns on illiquid funds (reasons and approaches for price smoothing).
5. Hedge fund industry
• Structure of hedge fund industry (hedge fund classification, indices),
• strategies of hedge funds (event-driven, relative value),
• types and characteristics of hedge funds (equity hedge funds, funds of hedge funds),
• hedge fund risks and returns.
6. Access to real assets and private equity
• access to real estate (unlisted and listed real estate funds, types of REITs),
• commodity investments and key concepts in managing commodity exposures,
• overview of issues in private versus listed investment access,
• secondary markets for PE partnership.