CONVOCATORIA: NOVIEMBRE 2014
Modulo 1
MARKETS AND INSTRUMENTS
Overview: The Investment Environment
- It introduces a myriad of investment terms.
- Real assets are differentiated from financial assets, and the major categories of financial assets are defined.
- The risk/return trade off and the reality that most assets are efficiently (fairly) priced is introduced.
- The role of financial intermediaries and the increased globalization of financial markets are discussed.
Overview: Asset Classes and Financial Instruments
- It describes the financial instruments that trade in primary and secondary markets as well as various indices used as market indicators.
- There is an introductory discussion of options and futures.
Overview: How Securities Are Traded
- It covers the trading of securities in primary and secondary markets on organized exchanges as well as in over the counter markets.
- Margin trading and short selling are discussed along with detailed examples of margin agreements.
- The chapter discusses elements of regulation and ethics associated with security transactions.
Overview: Mutual Funds and Other Investment Companies
- It covers investment companies and mutual funds.
- The chapter discusses services provided by mutual funds as well as associated fees.
- Performance of investment companies and impact of taxation are presented.
- Investment policies of different funds are described and sources of information on investment companies are identified.
FIXED INCOME SECURITIES
Overview: Bond Prices and Yields
- It provides a discussion of the various types of bonds, bond ratings, and the determinants of bond risk.
- You will be shown how to calculate yields and bond prices and to identify factors used by the agencies in rating bonds.
- Characteristics such as call options and default potential, and the implication of these characteristics in bond pricing, are described.
Overview: The Term Structure of Interest Rates
- It describes the term structure of interest rates including the use of one-year rates in developing yields on longer- term securities, as well as forward rates as a means of valuing coupon instruments.
- The major theories used to explain interest rate movements are developed.
- Overview: Managing Bond Portfolios
- It uses the concepts and tools of the previous two chapters to develop active and passive bond portfolio management strategies.
- Convexity and duration are introduced as interest rate risk management tools, highlighting the latter's use as a key input to portfolio immunization strategies.
- In addition, various active strategies are described.
EQUITY SECURITIES
Overview: Equity Valuation Models
- It discusses the valuation of common stock.
- The relationships between intrinsic, market and book values are presented. Various valuation techniques are presented, and their relative strengths and weaknesses discussed.
THE BASIC RELATIONSHIP BETWEEN RISK AND RETURN
Overview: Learning about Return and Risk from the Historical Record
- It describes the factors influencing the level of interest rates and discusses the Fisher Effect.
- It shows how to calculate holding period returns for different time periods and presents information about the historical risk/return record for different classes of financial assets. Also provided are statistical calculations of risk and returns measures.
Overview: Risk Aversion and Capital Allocation to Risky Assets
- It describes the process of constructing a portfolio by combining risky assets with risk free assets.
- The concepts of risk aversion and utility are used to illustrate how one might go about determining an appropriate allocation mix.
Overview: Optimal Risky Portfolios
- It provides an understanding of systematic and firm-specific risk, and of how investors can reduce the amount of firm-specific risk through diversification.
- The chapter examines portfolio formation using a combination of two risky assets first, and then later using multiple risky assets.
- The concept of an efficient portfolio is introduced.
Overview: Index Models
- It derives the single-factor index model and illustrates how risk can be decomposed into a systematic and an unsystematic component.
- It introduces the terms beta and alpha as portfolio management tools.
Overview: The Capital Asset Pricing Modelbr />
- It presents the capital asset pricing model (CAPM), an equilibrium model for the pricing of assets based upon a systematic risk factor known as beta.
- The presentation includes the assumptions that underlie the CAPM, the major implications of the CAPM model, and the development of the security market line.
MARKET EFFICIENCY
Overview: The Efficient Market Hypothesis
- It introduces market efficiency as a hypothesis that securities are fairly priced.
- The implications of market efficiency for investors and studies of the efficient capital market hypothesis are presented in detail.
Overview: Behavioral Finance and Technical Analysis
- It discusses a school of thought known as behavioral finance and its implications for the theory of efficient markets.
- By questioning investor rationality, the chapter provides evidence of errors made by individuals in processing information and by biases observed in human behavior.
- The chapter also examines technical analysis and relates such analysis to behavioral finance.
APPLIED PORTFOLIO MANAGEMENT
Overview: Portfolio Performance Evaluation
- It evaluates various risk-adjusted return measures used by portfolio managers.
- The process of decomposing portfolio returns into the various components of the portfolio-building process is presented.
Overview: International Diversification
- It expands the concepts and theories discussed thus far to international markets.
- One of the important implications of global investing is the impact on portfolio value brought about by changes in foreign exchange rates.
- Another important implication of global investing is the potential benefit of increased diversification.
- The chapter illustrates that international indexes are available for passive investing purposes.
OPTIONS AND THE BLACK- SCHOLES OPTION PRICING MODEL
Overview: Option Markets: Introduction
- It describes characteristics of options, the terminology used in the options markets, payoffs and profits to option owners and writers, and the put call parity relationship.
- It discussed are assets having embedded options such as callable bonds, warrants, and collateralized loans.
- It explains how to calculate potential profits resulting from various option trading strategies and formulate portfolio management strategies to modify the risk-return attributes of the portfolio.
Overview: Option Valuation
- It examines factors affecting the value of an option, determination of option pricing in a two-state world (binomial option pricing), hedge ratios, and the Black-Scholes option-pricing model.
- Portfolio insurance techniques are also presented.
- The chapter concludes with a presentation of a hedging application using mispriced options.
OTHER DERIVATIVES AND MARKET STRATEGIES
Overview: Futures Markets
- It describes the mechanics of futures markets including the strategies, risks, and pricing of futures contracts.
- The chapter provides background material on stock index contracts and how these contracts can be used for hedging and speculation.
Overview: Futures and Swaps: Markets and Applications
- It discusses the various stock index futures as well as market applications of futures index arbitrage, hedging of foreign exchange risk, hedging of interest rate risk, and the use of interest rate swaps.
MODULO 2
CERTIFICACIÓN CAIA® Nivel 1
PART 1: QUANTITATIVE METHODS
CHARACTERISTICS OF HEDGE FUNDS
- Tactical investment styles
- Equity long/short styles
- Event-driven styles
- Relative value arbitrage styles
- Funds of funds and multi-strategy funds
- Current state of the hedge fund industry
MEASURING RETURN
- Transparency
- Net asset value calculation
- Performance fee accounting
- Return calculation
- Return aggregation
RETURN AND RISK STATISTICS
- Return statistics
- Risk measurement
- Managing portfolio risk
- Diversification
- Downside risk
- Benchmark-related statistics
- Return aggregation
RISK- ADJUSTED PERFORMANCE MEASURES
- Sharpe ratio
- Treynor ratio
- Jensen's alpha
- Statistical significance of measures
- M-square
- Downside risk measures
DATABASES, INDICES, AND BENCHMARKS
- Hedge fund data biases
- Hedge fund index construction
- Comparison of various hedge fund indices
- Pure hedge fund indices
- Return benchmarking
- True benchmarks
COVARIANCE AND CORRELATION
- Covariance and correlation calculation
- Drawbacks of correlation
- Statistical significance of correlation
- Heteroscedasticity
REGRESSION ANALYSIS
- Simple linear regression
- Quality of regression
- Prediction
- Multiple linear regression
- Model specification
- Alternative regression approaches
ASSET PRICING MODELS
- Need for factor models
- Linear single-factor models
- Linear multi-factor models
- Accounting for non-linearity
- Hedge funds as option portfolios
- Alpha generation versus leveraged beta exposure
STYLES, CLUSTERS, AND CLASSIFICATION
- Self-classification and qualitative classification
- Fundamental classification
- Return-based style analysis
- Cluster-based style analysis
BENEFITS AND RISKS REVISITED
- Historical hedge fund performance
- Diversification potential of hedge fund investments
- Bull and bear market performance comparisons
- Historical hedge fund strategy performance
- Caveats of hedge fund investing
STRATEGIC ASSET ALLOCATION
- Investor utility functions
- Strategic asset allocation
- Hedge funds as asset classes
- Mean-variance allocation to hedge funds
- Portable alpha
- Alternative risk exposures and risk budgeting
RISK MEASUREMENT AND MANAGEMENT
- Risk management process
- VaR measures
- Extreme values
- Style analysis based VaR measures
- Limitations of VaR measures
PART 2: PROFESSIONAL STANDARDS AND ETHICS
CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT ( STANDARDS I AND II)
- Purpose and scope of Standards I and II
- Procedures for compliance with Standards I and II
CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT ( STANDARDS III AND IV)
- Purpose and scope of Standards III and IV
- Procedures for compliance with Standards III and IV
CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT ( STANDARDS V AND VI)
- Purpose and scope of Standards V and VI
- Application of Standards V and VI
PART 3: REAL ESTATE
INTRODUCTION TO REAL ESTATE VALUATION
- Discounting and compounding
- Discounted cash flow valuation
- Investment decision rules
- Loan amortization
- Pro forma analysis
- Company valuation
DEBT AND MORTGAGES
- Debt ratios
- Loan terms
- Pooling and tranching mortgages
- Risk characteristics of a commercial mortgage-backed security (CMBS)
REAL ESTATE RETURNS
- Exiting real estate investments
- Real estate opportunity funds
- Return waterfalls
- Real estate supply and demand imbalances
- National Association of Real Estate Investment Trusts (NAREIT) and National Council of Real Estate Investment Fiduciaries (NCREIF) property indices
PART 4: HEDGE FUNDS
INTRODUCTION TO HEDGE FUNDS
- Market directional funds
- Corporate restructuring funds
- Convergence trading funds
- Opportunistic funds
ESTABLISHING A HEDGE FUND INVESTMENT PROGRAM
- Academic evidence on the historical performance of hedge funds
- Persistence in hedge fund performance
- Hedge funds and financial markets
- Hedge fund investment strategies
- Rationale behind hedge fund investments
DUE DILIGENCE
- Structural review
- Strategic review
- Performance review
- Risk review
- Administrative review
- Legal review
- Reference checks
RISK MANAGEMENT
- Academic research on hedge funds in a portfolio context
- Risk exposure of categories of hedge funds
- Hedge fund return distributions
- Process risk
- Mapping risk
- Transparency risk
- Risk management risk
- Data risk
- Performance measurement risk
- Event risk
REGULATION OF HEDGE FUNDS
- Securities Act of 1933
- Securities Exchange Act of 1934
- Investment Company Act of 1940
- Investment Advisers Act of 1940
- Commodity Exchange Act of 1974
- President's Working Group on Financial Markets
- The Group of Five Hedge Funds
- Current legislative initiatives
PART 5: COMMODITIES AND MANAGED FUTURES
INTRODUCTION TO COMMODITY MARKETS
- Capital assets versus commodities
- Exposure to commodities
- Relationship between futures and spot prices
- Normal backwardation versus contango
INVESTING IN COMMODITY FUTURES
- Economics of the commodity markets
- Exposure to event risk
- Commodity futures indices
- Characteristics of commodity futures indices
COMMODITY FUTURES IN A PORTFOLIO CONTEXT
- Inflation protection
- Average return and the volatility of commodities
- Commodity futures and the efficient frontier
- Commodities as a defensive investment
MANAGED FUTURES
- History of managed futures
- Empirical research on managed futures
- Return distributions of managed futures
- Managed futures as portfolio diversifiers
PART 6: PRIVATE EQUITY
INTRODUCTION TO PRIVATE EQUITY
- History of venture capital
- Role of the venture capitalist
- Structure of the venture capitalist industry
- Introduction to leveraged buyouts (LBOs)
- Leveraged buyout fund structures
- Corporate governance and leveraged buyouts
- Mezzanine debt
- Distressed debt
- Performance of private equity
- Prívate equity return distributions
- Private equity within a diversified portfolio
- Information asymmetry and liquidity
- Stale and managed pricing
- Marking private equity investment to market
- Analysis of private equity performance
- Managed pricing in private equity strategies
TRENDS IN PRIVATE EQUITY
- Secondary market
- Hedge funds
- Leveraged loans
- Private Investment in Public Entities (PIPEs)
PART 7: CREDIT DERIVATIVES
INTRODUCTION TO CREDIT DERIVATIVES
- Sources of credit risk
- Credit risky investments
- Credit options
- Credit default swaps
INTRODUCTION TO COLLATERALIZED DEBT OBLIGATIONS
- General structure of collateralized debt obligations (CDOs)
- Balance sheet CDO structures
- Arbitrage CDOs
- New developments in CDOs
- Risks of CDOs
Modulo 3
CERTIFICACIÓN CAIA® Nivel 1I
PART 1: PROFESSIONAL STANDARDS AND ETHICS
CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT (I, II, AND III)
- Application of Standard I
- Application of Standard II
- Application of Standard III
CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT (IV, V, AND VI)
- Application of Standard IV
- Application of Standard V
- Application of Standard VI
PART 2: HEDGE FUNDS AND MANAGED FUTURES.
SELECTED HEDGE FUND STRATEGY - CONVERTIBLE ARBITRAGE
- Basics of convertible arbitrage
- Types of convertible securities
- Valuation models
- Key components of a successful convertible arbitrage strategy
- Credit analysis and asset value credit evaluation
- Building a trading strategy using hedging techniques
- Risk management
QUANTITATIVE TRADING STRATEGIES
- Quantitative trading as an investment strategy
- Market psychology, market inefficiency, and trend following strategies
- Limitations of fundamental analysis
- The building blocks of trading strategies
- Evaluating trading strategy performance
- Entries, exits, and filters
- Money management
PART 3: VENTURE CAPITAL AND PRIVATE EQUITY
VENTURE CAPITAL AND PRIVATE EQUITY FUNDS
- The J curve of private equity returns
- The private equity environment
- The private equity investment process
- Design tools in private equity
- Monitoring private equity investments
PART 4: REAL ESTATE
REAL ESTATE INVESTMENT TRUSTS
- History of the real estate investment trust (REIT) industry
- Tax reform impact on the REIT industry
- Regulatory environment for REITs
- Alternative REIT structures
- REITs, and use of leverage and dividend payouts
- REIT performance factors and issues
PART 5: INTEGRATED TOPICS ( MATERIAL DE AUTOESTUDIO)
STRUCTURED PRODUCTS, NEW PRODUCTS AND NEW STRATEGIES
- Structure, characteristics, benefits and risks of investing in CFOs
- Characteristics of infrastructure investments and the practical use of infrastructure indices
- Potential for financial markets and instruments to play a role in alleviating negative climate change consequences
- Factor-based and pay-off distribution approaches to hedge fund replication
- Factors that contributed to convergence between private equity and hedge fund strategies as well as concerns and risks regarding the past trend
ASSET ALLOCATION
- Buy-and hold, constant mix, and constant-proportion portfolio insurance strategies
- A wealth allocation framework that accounts for various dimensions of risk and deriving an ideal asset allocation for an individual
- The term structure of futures prices, the components of futures returns for individual contracts, returns for portfolios constructed and rebalanced with various methods, and the implications of tactical asset allocation strategies using commodity futures contracts
- Methods of including global commercial real estate in a strategic asset allocation
CURRENT TOPICS
- What happened in the Amaranth debacle, how it happened and how it could have been avoided?
- Applying the market events of August 2007 to the concept of systemic risk
- Factors contributing to the subprime credit crisis and recommending policies and practices to address them
PORTFOLIO AND RISK MANAGEMENT
- Methods of hedging against tail risk and their relative merits
- Implications of complex and adaptive capital markets for risk management methods
- Factors leading to portfolio allocation drift
RESEARCH ISSUES IN ALTERNATIVE INVESTMENTS
- The risk and return components of commodity futures returns from various perspectives
- Approaches to evaluate smoothing effects in the real estate market
- Research on hedge fund risk factors and biases in hedge fund databases
- The impact of unique characteristics of private equity returns on investor decision-making
Modulo 4
FORMACION COMPLEMENTARIA A LA ACREDITACIÓN CAIA®
OTHER ADDITIONAL COMPLEMENTARY ISSUES IN ALTERNATIVE INVESTMENTS
DISTRESSED INVESTING
- The private equity versus the hedge fund perspective
- Timing skills
- Legal and operating processes
RENEWABLE ENERGIES
ALTERNATIVE INVESTMENTS APPLIED TO PRIVATE WEALTH MANAGEMENT STRATEGIES (Private Equities, Dynamic strategies, Structured Products, etc.).
WORKSHOP ABOUT " EVENT DRIVEN" STRATEGIES
DARWINISM IN THE HEDGE FUND INDUSTRY. CURRENT ENVIRONMENT
EU LEGAL TRENDS IN ALTERNATIVE MANAGEMENT
- UCITS III structures
- The new UCITS IV Directive
- Legal scenario 2011 or the new AIFM
STRUCTURED PRODUCTS BASED IN ALTERNATIVE INVESTMENTS
- Certificates
- Options
- "Portable Alpha Swaps"
- CPPI Based (Constant Proportion Portfolio Insurance)
- "Alpha & Beta Products"
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