Seminar 1 | Seminar
2
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A Practical Guide to Quantitative Hedge Fund Strategies
Pre-congress seminar 1 | Tuesday, July 11, 2006 |
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 Led by: Michael Dubin, Partner,
Powers and Dubin Asset Allocation
Michael Dubin is a Partner of Powers & Dublin Asset
Allocation, an alternative investment management firm
specializing in fund-of-hedge funds. Previously, he was
President of Morgan Stanley/GFTA, a fi nancial services firm
marketing sophisticated multi-billion dollar currency risk
management systems and headed the International Financial
Advisory Service at Brown Brothers Harriman & Co., where
he advised Treasurers of Fortune 500 companies on currency
hedging. He holds a PhD in International Finance from the
Harvard Business School and an undergraduate degree in
Biophysics from Yale University.
Other tutors include:
Lisa Borland, Senior Research Scientist,
EVNINE AND ASSOCIATES
Michael Weber, former Principal, ERISWELL CAPITAL |
| 8.30 |
Registration and breakfast |
| 9.00 |
A brief primer on modern portfolio theory
• Separating returns into alpha and beta components
• Asset allocation versus manager selection
• The impact of asset correlation and portfolio volatility |
| 09.40 |
Panel Discussion: How useful are quantitative methods in hedge fund management: Fund evaluation or security valuation? |
| 10.40 |
Morning break |
| 11.10 |
Separating alpha and beta: manager level
• Tools for benchmarking managers
• Identifying beta factors in manager returns
• The practical side of quantitative methods
• How to deal with short track records
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| 11.50 |
Separating alpha and beta: portfolio level
• Using and misusing historical returns to predict future performance
• Identifying systematic beta factors across managers
• Benchmarking portfolio returns
• How to deal with short track records |
| 12.30 |
Lunch |
| 13.30 |
Case Study: Quantitative hedge fund
trades that worked
• Key elements of quant systems
• Approaches to avoid being whipsawed in volatile markets
• System similarities across all markets
• Differences in systems for different markets |
| 14.10 |
Multi-timescale models of volatility
• Multi-fractal versus multi timescale models
• Capturing empirical stylized facts
• Calibration issues
• Applications |
| 14.50 |
Afternoon Break |
| 15.20 |
Case Study: Trend-following strategies
• Does trend following work for all markets?
• Differences among basic methodologies
• Why all the volatility? |
| 16.00 |
Managing hedge fund risk with quantitative methods
• What risk management tools are useful?
• What is the value and limitations of VAR?
• How can trades be altered by risk management? |
| 16.40 |
End of seminar |
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Correlation Trading and Risk Management Techniques
Pre-congress seminar 2 | Tuesday, July 11, 2006 |
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 Led by: Peter Laurence, Professor of Mathematics, University of Rome “La Sapienza”
Peter Laurence is a Professor of Mathematics at the
University of Rome “La Sapienza”. He is the author of
Quantitative Models of Derivative Securities: From theory to
practice (co-authored with Marco Avellaneda) and has held
visiting positions at the Courant Institute of Mathematical
Sciences, Princeton University and Columbia University.
In 2001-2002, Dr. Laurence was the Director of the Risk
Solutions group at Standard & Poor’s. He holds BA degrees
in Mathematics and Philosophy from the University of
Pennsylvania, and completed his master’s and doctoral
degrees at the University of Wisconsin, Madison.
Other tutors include:
Kevin Chang, International Head of Derivatives Solutions, Credit Suisse
Tony Tang, Head of US Correlation Trading, RBS Greenwich |
| 8.30 |
Registration and breakfast |
| 9.00 |
Introduction to correlation trading and correlation risk
• De Finetti’s geometrical interpretation of correlations
• Dependence structures not detected by linear correlation
• Nonlinear dependence measures
• The role of copulas
• Parametrizing correlation matrices |
| 10.00 |
Equity correlations and dispersion trades
• The role of correlation in pricing equity basket options
• Implied correlations and realized correlations
• Choosing the right subset of assets or options on the basket
• Are implied correlations stable in time? |
| 11.00 |
Morning break |
| 11.30 |
Correlation risk in foreign currency exchange
• Using currency baskets to hedge currency risk
• Triangular relationships in foreign exchange markets
• Predictive power of implied correlations
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| 12.30 |
Lunch |
| 13.30 |
Correlation risk in commodity trading
• Hedging against correlation risk in energy assets and derivatives
• The ubiquitous role of spread options |
| 14.30 |
Afternoon Break |
| 15.00 |
Loan portfolio credit risk due to joint defaults
• Moving beyond the Gaussian copula
• Dealing with the paucity of data on joint defaults and extremely
small default correlation
• Structural and reduced-form models |
| 16.00 |
The correlation debacle of 2005 and the rough road ahead
• How were hedge funds and other market participants positioned before the debacle?
• Panic unwind of the correlation
• Dislocation of the tranche market
• Technical nature of the young and volatile market
• Where is the value? |
| 16.40 |
End of seminar |
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