To achieve the grade 12, students should meet the
following learning objectives with no or only minor mistakes or
errors: The grading of the class is based on the students’ proven
ability to understand active investment strategies and analyze them
using rigorous quantitative methods. This includes, among other
things,
- Understanding each of the trading strategies covered in class,
including an ability to analyze them conceptually/mathematically
and apply them in specific examples. (This is an important part of
the class.)
- Understanding why strategies might work, and why they might
not.
- Computing performance measures and critically evaluate the
output.
- Simulating backtests of investment strategies.
- Understanding liquidity and transaction costs, and deriving the
net returns in a backtest.
- Understanding margin requirements, computing an investment
strategy’s capital use, including knowledge of when it would
receive a margin call.
- Applying regression analysis, including in return
forecasting
- Understanding biases, including being able to avoid such
pitfalls as look-ahead bias, selection bias, and survivorship
bias.
- Knowledge of the historical events connected to hedge funds and
markets covered in class.
- Working independently on projects involving mathematical
analysis and data analysis
- Generalizing arguments, methods, and concepts to problems that
have not been analyzed explicitly throughout the
course.
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Hedge Fund
Strategies:
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| Exam
ECTS |
7,5 |
| Examination form |
Written sit-in exam on CBS'
computers |
| Individual or group exam |
Individual exam |
| Assignment type |
Multiple choice |
| Duration |
3 hours |
| Grading scale |
7-step scale |
| Examiner(s) |
One internal examiner |
| Exam period |
Winter |
| Aids |
Limited aids, see the list below:
The student is allowed to bring - Non-programmable, financial calculators: HP10bll+ or Texas BA
II Plus
- Language dictionaries in paper format
The student will have access to - Advanced IT application package
At all written
sit-in exams the student has access to the basic IT application
package (Microsoft Office (minus Excel), digital pen and paper,
7-zip file manager, Adobe Acrobat, Texlive, VLC player, Windows
Media Player). PLEASE NOTE: Students are not allowed to communicate
with others during the exam :
Read more about exam aids and IT application
packages here |
| Make-up exam/re-exam |
Same examination form as the ordinary exam
If the number of registered candidates for the make-up
examination/re-take examination warrants that it may most
appropriately be held as an oral examination, the programme office
will inform the students that the make-up examination/re-take
examination will be held as an oral examination
instead.
|
Description of the exam
procedure
The exam answer is made in Excel and should be uploaded as an
Excel file.
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The class describes some of the main strategies used by active
investors such as hedge funds and proprietary traders and provides
a methodology to analyze them. In class and through exercises, the
strategies are illustrated using real data and students learn to
use “backtesting” to evaluate a strategy. The class also covers
institutional issues related to liquidity, margin requirements,
risk management, and performance measurement.
The class discusses the main strategies used by active investors in
individual equity markets (equity long-short, equity market
neutral, dedicated short bias), in tactical asset allocation of
equity indices, currencies, fixed-income, and commodities (global
macro, managed futures), and in relative-value arbitrage strategies
(event driven investments, convertible bond arbitrage, fixed income
arbitrage).
To analyze these active investment strategies, the class 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 optimization. Also, the class discusses the
economics underlying these strategies, why certain strategies might
work and why others might not.
The class is quantitative. As a result of the techniques used in
state-of-the-art investments, the class requires the students to
work independently, analyze and manipulate real data, and use
mathematical modeling.
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