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Pre-conference Masterclass B
Risk and portfolio construction in hedge funds andfund of funds – what to look out for and how
Led by: Dr. John Blin
Chairman and Co-Founder
Advanced Portfolio Technologies, Inc., USA
Masterclass objective
Build a solid understanding of the funds risk analytics and how toleverage these in building funds portfolios.
Participants will gain:
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An appreciation of the actual record of the industry over many years and market cycles
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A command of the methods to measure and identify funds risks
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A command of the tools to analyze candidate portfolios for FOFconstruction
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An understanding of the real issues faced in fund construction
Masterclass agenda
•HF Risk: What you see versus what you get
- Background
- Historical record
-Issues in Measuring HF Risk
-Data bases and their limitations
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Mapping HF risk profiles:
-Opaque Portfolios
-Looking “Inside” Portfolios
-Return Time Series and their properties
-Mapping out the “Risk Space”
-Examples
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HF Risk Factors:
-Looking behind returns
–what statistics can tell us
-Option-like features
-Statistical profiles of alternative strategies
-What to look out for
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•What It means for Portfolio of funds (FOF)
-What can we learn from modeling the whole HF market
-Drilling down: announced strategy v. realized strategy
-Assembling the puzzle: from HF to FOHF
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Quantitative Methods for Portfolio Construction
-Beyond Mean-Variance
-Practical optimization
-Case studies
-Performance compared
-The way forward
About the Masterclass leader:John Blin is chairman of Advanced Portfolio Technologies, Inc., aglobal provider of risk and portfolio analytics for the financial industry.APT enables its clients to manage global risk exposures across allasset classes – equities, bonds, commodities, FX, indices, andderivatives. APT serves clients worldwide through offices in NewYork, London, Paris, Johannesburg, Milan, Sydney, Singapore, andSeoul.Before he founded APT, John was a professor of mathematicaleconomics, econometrics and international finance at NorthwesternUniversity's Kellogg Graduate School of Management. He thenserved as senior vice president of the New York Futures Exchange,a wholly-owned subsidiary of the New York Stock Exchange,focusing on the trading of financial derivatives. John has also servedas a consultant to governments, leading corporations, securitiesfirms and exchanges in the U.S. and abroad. He has publishedmore than 70 articles and books, and his articles have appeared insuch journals as Econometrica, Investment Management Review,The Journal of Business, The Journal of Forecasting, The Journalof Futures Markets, The Journal of Investing, The Review ofEconomic and Statistics, and The Review of Economic Studies.
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