KTTS4210 Hedge Fund Strategies (4 op)

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Opinnon taso:
Syventävät opinnot
Arviointiasteikko:
0-5
Suorituskieli:
englanti
Vastuuorganisaatio:
Jyväskylän yliopiston kauppakorkeakoulu
Opetussuunnitelmakaudet:
2020-2021, 2021-2022, 2022-2023, 2023-2024

Kuvaus

This independently studied course describes some of the main strategies used by hedge funds and proprietary traders and provides a methodology to analyze them. The course also covers institutional issues related to how trading works, liquidity, margin requirements, risk management, and performance measurement.


The course discusses the main strategies used by hedge funds in individual equity markets (discretionary equity investing, short selling, quantitative equity strategies), in tactical asset allocation of equity indices, currencies, fixed-income, and commodities (global macro, managed futures), and inrelative-value arbitrage strategies (fixed income arbitrage, convertible bond arbitrage, event driven investments).

To analyze these active investment strategies, the course applies tools for performance measurement, backtesting, regression analysis, managing transaction costs, market liquidity risk, funding a strategy, margin requirements, risk management, drawdown control, and portfolio construction. Also, the course discusses the economics underlying these strategies, why certain strategies might work and why others might not. 

Contents of the course are related to the following working life skills (generic skills):-Analytical and critical thinking.-Problem-solving.-Causative modelling. 

Osaamistavoitteet

On successful completion of the course, students will be able to:
  • understand the basic concepts related to the hedge fund industry.
  • know the basic investments styles utilized by hedge funds.
  • empirically analyze financial data on fund performances and trading strategies. 

Lisätietoja

BIF students: 2nd year. Finnish M.Sc. degree students: 4th or 5th year. 

Pakolliset esitiedot

Kirjallisuus

  • Pedersen, L.H., 2015. Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, Princeton University Press.; ISBN: 978-0691166193
  • Lecture slides by L.H. Pedersen.

Suoritustavat

Tapa 1

Arviointiperusteet:
Course is completed independently by reading the literature, doing the exercises and passing the exam.
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Itsenäinen työskentely (4 op)

Tyyppi:
Itsenäinen työskentely
Arviointiasteikko:
0-5
Suorituskieli:
englanti

Opetus