How To Build Market-neutral Fund Of Funds
A special event webinar dedicated to one particular problem of hedge fund risk assessment: their low correlations with the corresponding indices. General financial indices play an important role in global financial markets as well as in fundamental models of risk management and portfolio construction. However, the situation becomes a lot mode complicated and confused when it comes to hedge funds, because the majority of hedge funds are not correlated (or low correlated) with the corresponding indices, i.e. indices describing their trading strategies. This is a typical scenario describing such a problem. We analyse a long-short hedge fund manager and use the Long-short hedge fund index of one major data vendors as a benchmark or as a proxy of that fund performance or as a measure of its market neutrality or as a measure of the strategy exposure etc. But what if the fund is not correlated with that index or even negatively correlated? Then the entire analysis using such an index becomes worthless. Our studies have proven that the majority of hedge funds are not correlated with their strategy indices, which requires developing different risk assessment techniques.
This tutorial discusses the problem of low representatives of hedge fund indices for the purpose of hedge fund assessment and introduces alternative techniques to overcome that problem.
Hedge Funds And Their Strategy Indices: Correlation Analysis
- Explaining the approach and assumptions of the hedge fund correlation analysis.
- Analyzing correlation distribution functions across different hedge fund strategies.
- Best and Worst strategy indices to represent hedge funds.
Alternative Portfolio Construction Techniques For Hedge Fund Investors
- Using advanced manager selection techniques for portfolio construction: Macroeconomic Scenario Screening™ and Trend Segmentation™.
- Hedge Fund portfolio diversification: tips and techniques.
- Identifying significant market factors and trend-related performance.
- Enhancing portfolio diversification with the Market Neutral Portfolio Builder. Factor Exposure diversification.
- Working with the Style Analysis component to overcome the ambiguity of manager strategy classifications.
Institutional portfolio managers, hedge FoF and multi-asset portfolio managers, risk managers, CIOs, advanced family offices.