Gestion alternative

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 15 h

There is no universally accepted definition of what constitutes an alternative investment. We will go successively through the definitions provided by the CFA Institute, CAIA and finally define alternative investments with regard to the European and US regulation. The course will provide an overview of the main alternative investment classes with a focus on hedge funds, private equity and managed futures. It will discuss alternative strategies and take a critical approach to portfolio management and performance analysis. At the end of the course, the students will
  • recognize the characteristics of alternative investments;
  • examine the growth and returns of alternative investments;
  • understand the characteristics, risk and return potential of the major hedge fund and private equity strategies;
  • identify the pros and cons of funds of funds;
  • understand how alternative investments can improve portfolio management (portable alphas, core-satellite investments and diversification);
  • become aware of the various specific risks associated to alternative investments;
  • identify other methods to invest in hedge funds with high liquidity.
Outline: Part I The alternative investments universe Part II The value added of alternative assets Part III Investing in alternative instruments Part IV Post-crisis context of alternative investments

Part I The alternative investments universe
  1. The notion of alternative investment
    1. Non-traditional assets
    2. “Real assets”
  2. Understanding hedge funds
Case study on Hedge Funds: AQR’s delta strategy
Part II The alternative investments universe
  1. Understanding private equity
Part II Value-added of alternative assets
  1. Traditional performance measures
  2. Issues in alternative investments (Part I)
    B1. Illiquidity B2. Tail risks B3. Fees
  3. Performance analysis
  4. Alternative performance measures
Case study on Private Equity: CalPERS and GIPS Part III Investing in alternative instruments Introduction: benefits and risks A. Improving portfolios with alternatives
  1. Measuring risk premia and performance
  2. Issues to consider (Part II): investability, leverage
Part IV Post-crisis context of alternative investments
  1. The post-crisis context of hedge funds:
Topics: The urge need for Due Diligence, Impact of Lehman Brothers, Managed accounts, Alternative UCITS, Outlook, Liquid replication of HFs (Case study: Madoff: A Flock of Red Flags)
  1. The post-crisis context of private equity
Topics: outlook of the PE industry, Institutionals and the need for more transparency

The course grade will be based on the following split:
  • Individual active class participation counts 20%;
  • Group continuous evaluation during the in-class case analyses counts 30%: at the end of each case study analysis done in groups, each group will have to submit their progress files (excel and word) by email to the professor;
  • Final case write-ups and memos count 50% (by group).
  • The numerical grade distribution will dictate the final grade, according to the faculty’s recommended grade distribution. Class participation : Active class participation – this is what makes classes lively and instructive. Treat each class as a client meeting. Come on time and prepared. Class participation is based on quality of comments, not quantity. Groups : You must form groups of 4 students to work on the assignments. Before the start of Session 2, you should determine the composition of your group and inform the professor. Cases write-ups : students are asked to submit their final write ups for the AQR Delta and Calpers case studies. Each group should hand in a report in a pdf format. The memos should be concise and can be in bullet-point format, when appropriate. Every student in the group must retain a copy of the write-up and be ready to defend his work in class (dates tba).
    • Case 1: CalPERS versus Mercury News: Disclosure comes to private equity, Darden Business Publishing (UV2522)
    • Case 2: AQR’s Delta strategy, Harvard Business Case Case (HBS 9-212-038)
  • Exam policy : Unexcused absences from exams or failure to submit cases will result in zero grades in the calculation of numerical averages.

M1 finance, économétrie, mathématiques, grandes écoles de commerce ou d’ingénieur.

M1 et cours en finance de marché.

  • Main textbooks (optional):
    • Anson, M. (2008), Handbook of Alternative Assets (2 nd edition)
    • Baker, H. K. & Filbeck, G. (2013), Alternative Investments, Kolb Series in Finance
    • Lhabitant, F.-S. (2006), Hedge Funds: Quantitative Insights, Wiley
    • Lhabitant, F.-S. (2006), Handbook of Hedge Funds, Wiley
  • In-class case analyses
    • Case 1: AQR’s Delta strategy, Harvard Business Case Case (HBS 9-212-038)
    • Mandatory reading for Session 2 – Monday 13rd June (3.00 PM – 5.15 PM)
    • Case 2: CalPERS versus Mercury News: Disclosure comes to private equity, Darden Business Publishing (UV2522)
    • Mandatory reading for Session 4 – Tuesday 14th June (3.00 PM – 5.15 PM)
    • Mandatory reading for Session 5 (4th July) - G. Gregoriou and F.S. Lhabitant (2009), Madoff: A Flock of Red Flags. Journal of Wealth Management, Vol. 12, No.1, pp. 89-98

Enseignant responsable


Année universitaire 2018 - 2019 - Fiche modifiée le : 19-04-2018 (10H46) - Sous réserve de modification.