Bachelor seminar: Hedge funds

Seminar Summer Term 2024

Hedge funds

Only for BA students in Economics and FiMa                                                 

Block seminar: in person,

  • A: June 28/29, 2024, F423 08:15-18:00
  • B: July 05/06, 2024, F429 08:15-18:00

First meeting: April 22, 2024, 13:30 in G227a

Registration: During the official registration period in January 2024.

We will learn about hedge funds and their particularities as alternative investments. Optimal risk taking and factor models for investments are two important models for hedge fund behavior. An in-depth study of the empirical results on hedge funds suggests how they are run in practice. Finally, we will look into the elusive alpha, which measures hedge fund performance and study cheating by hedge fund managers.

Topics:

1.         Legal Structure of Hedge Funds

            A The legal structure

            B Prospectuses

2.         Hedge Fund Data Sources

            A The big commercial databases

            B Nonstandard sources

3.         Hedge Fund Trading Strategies

            A Description of Strategies

            B Empirical Performance

4.         Risk Management

            A Hedge Fund Risk Management

            B Incentive Contracts

5.         Optimal Risk Taking Models

            A Hodder Jackwerth Style Models

            B Other Models of Hedge Fund Management

6.         Markets, Securities, and Styles

            A Markets and Securities

            B Hedge Fund Style and Style Drift

7.         Performance Measurement

            A Ratio-based Performance Measurement

            B Certainty Equivalents, Second Order Stochastic Dominance

8.         Factor Models

            A Fung and Hsieh

            B Other Factor Models

9.         Does Alpha exist?

            A Empirical Evidence on Alpha and Alpha Persistence

            B Bootstrap Studies of the Distribution of Alpha

10.       Cheating and Manipulation

            A Return Smoothing and How to Detect it

            B Other Cheating and Manipulation

11.       Fund Flow

            A How Do Hedge Funds Restrict and Manage Fund Flow

            B The Empirical Flow Return Relation

The requirements for this seminar are threefold and will all contribute to the final grade (all contributions are required to be in English):

  • The preparation of a short paper (at most 3 pages of text, no more than 6 pages in total). You are also asked to prepare a presentation at the block seminar. If you are a FiMa student and you do not want write your BA Thesis in this subject then you have to prepare a literature review (at most 10 pages of text, no more than 20 pages in total). You should send an electronic copy of the short paper or the literature review, due June 16, 2024, to my secretary Iris Mann (office.jackwerth@uni-konstanz.de). I will send you an electronic copy of the short paper or the literature review you are discussing soon after. I value if you find independent research papers or sources, starting points are www.ssrn.com and www.google.com for looking up authors or to find an electronic copy of a paper you would like to read. Another good source is www.repec.org. Historical data can at times be found on Yahoo Finance. Weight 50% of the grade.
    • A discussion of the paper of one of your colleagues (at most 2 pages of text, no more than 4 pages in total) and its presentation at the block seminar. Weight 25% of the grade. You need to hand in this discussion at the beginning of the seminar.
    • Oral participation in the discussions at the block seminar. Weight 25% of the grade.

You have to submit a short outline by May 20, 2024 I will look it over and warn you if you are going wrong. This is required but does not count towards the grade.

I am looking forward to seeing you.

Sincerely

Jens Jackwerth