KTTS4210 Hedge Fund Strategies (5 cr)

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Study level:

Advanced studies

Grading scale:

0-5

Language:

English

Responsible organisation:

Jyväskylä University School of Business and Economics

Curriculum periods:

2024-2025, 2025-2026, 2026-2027, 2027-2028

Description

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.

Learning outcomes

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.

Additional information

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

Compulsory prerequisites

Prerequisite group 1

Literature

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.

Completion methods

Method 1

Evaluation criteria:

Course is completed independently by reading the literature, doing the exercises and passing the exam.

Select all marked parts

Parts of the completion methods

Independent study (5 cr)

Type:

Independent study