Presentation on theme: "Hedge Funds Class 2005 (Not for External Distribution)"— Presentation transcript:
1Hedge Funds Class 2005 (Not for External Distribution) Yale SOM Fund of FundsHedge Funds Class 2005(Not for External Distribution)
2Summary AnalysisPerformance as a GroupDistributionCompensation
3Performance as a Group Start with $1,000,000 Transactions costs imputed.Feb 9, 2005 to April 22, 2005Class Average: 958,578.55Class Median: 976,054.37Interest Only: 1,007,176.02S&P 500: 987,612.69
4Average Positions 729,408.86 [Cash at End] 523,283.79 [Long at End] 294, [Short at the End]“Beta” at the end: 0.148Trades: 1,276.00Commissions: $32,274 at $25/trade525 different securitiesEquities, options, futures
9Compensation: 1% & 20% Fixed fees paid: $250,000 Incentive fees paid: $186,787.86Total fees: $436,787.86Suppose you only paid incentive fees if the client made money?Fixed fees $250,000, Incentive = 0%Who “eats” the sub-advisor fee?How much would you charge to eat this fee?
10Summary Class 1: History and theory of hedge funds Hedge Funds and Financial FrontiersClass 2: Andrew Redleaf, Whitebox PartnersThe End of Arbitrage 1Capital Structure ArbitrageQuestions about value
11Wrap-upClass 3: Theory of Hedge Funds II: Applications of linear models in performance evaluation“Hedge Funds, Theory and Performance”Where do Alphas come from?Class 4: Carl Schecter, Nomura Securities, Event Driven, M&A Arb.Hedge funds as insurersRole in M&A
12Wrap-up Class 5: Alpha Investing Quantitative applications for evaluation.Pairs Trading: Characteristics of convergence strategies.Class 6: Fixed Income and MBS: Ming Fang.Financial engineeringArbing the yield curve
13Wrap-up Class 7: Bob Jaeger, Evaluation Associates Counter-cultural view of the industryRisk is different -- Net benefit?Fees on Fees in Funds of Funds, Style AnalysisClass 8: Multi FundsBuilding a fund of funds.High Water Mark contracts: motivations and incentives.
14Wrap-up Class 9: Fred Busk Class 10: Richard Deitz VR Capital Service part of the fund industryTurn-key hedge funds?Volatility and Operational Risk: horror stories to remember.Class 10: Richard Deitz VR CapitalHow its done: Itl. opportunitiesHedge funds and Asian Crisis
15Wrap-Up Class 11: Foote School Case Hedge funds in the portfolioMean-variance model and alternative investments.Class 12: Regulation and Industry EvolutionRegulation is a two-edged sword.
16Rankings as of 04/29/05For school-professor . . YAL-GOERank Account Name(s) Cash MV Long MV Short Equity Trades1 A Scott Wallsmith Joe Leiwant ,727, , ,069, ,351,2 A Olukayode Aje ,993, , ,019, ,244,3 A David Lieberman Sean Myers ,150, , ,234,4 A Manuel Lecour Gerardo Garcia ,110, , , ,094,5 A Arunava Biswas William Haluska , ,138, , ,033,6 A Qinhai Xia , , , ,013,7 A Vaidas Navickas ,011, ,011,8 A PROF ACCT ,007, ,007,9 A YALE UNIV INTEREST ONLY ,007, ,007,10 A Ming Fang ,005, , ,007,11 A Michael Blue Peter Ammon , , , ,005,12 A Brian Watson , , ,001,13 A Suhail Chandy , , , ,000,14 A Michael Benson , , ,15 A Ted Urban , ,341, , ,16 A Kate Marshall John Brydels , , , ,17 A Nick Halliwell ,110, , , ,18 A Sharad Satia Gautam Nangia , , ,19 A Len Rittberg , , , ,20 A Jeff Kaczynski Sean Olesen , , , ,21 A M Baig , , , ,22 A Ryder Campbell Stephen Shea , , , ,23 A Billy Ng , ,329, , ,24 A Chet Prabhu , , ,25 A Paul Escott , ,26 A Ari Raivetz Oren Monhite-Yahav , , ,Beginning Date: 01/31/ Beginning S&P: 1, The class average is ,223.13Ending Date: 05/06/ Current S&P: 1, The S&P500 account is ,612.69