Presentation on theme: "Yale SOM Fund of Funds Hedge Funds Class 2005 (Not for External Distribution)"— Presentation transcript:
Yale SOM Fund of Funds Hedge Funds Class 2005 (Not for External Distribution)
Summary Analysis Performance as a Group Distribution Compensation
Performance as a Group Start with $1,000,000 Transactions costs imputed. Feb 9, 2005 to April 22, 2005 Class Average: 958, Class Median: 976, Interest Only: 1,007, S&P 500: 987,612.69
Average Positions 729,408.86[Cash at End] 523,283.79[Long at End] 294,114.11[Short at the End] “Beta” at the end: Trades: 1, Commissions: $32,274 at $25/trade 525 different securities Equities, options, futures
Distribution Features Skewness = Why? Is 1,351, unusual? – std, leverage, etc. Is 457, unusual?
Time Series of Activity
Distribution of Trades
Compensation: 1% & 20% Fixed fees paid: $250,000 Incentive fees paid: $186, Total fees: $436, Suppose 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?
Summary Class 1: History and theory of hedge funds –Hedge Funds and Financial FrontiersHedge Funds and Financial Frontiers Class 2: Andrew Redleaf, Whitebox Partners –The End of Arbitrage 1The End of Arbitrage 1 –Capital Structure Arbitrage –Questions about value
Wrap-up Class 3: Theory of Hedge Funds II: Applications of linear models in performance evaluation – “Hedge Funds, Theory and Performance”“Hedge Funds, Theory and Performance –Where do Alphas come from? Class 4: Carl Schecter, Nomura Securities, Event Driven, M&A Arb. –Hedge funds as insurers –Role in M&A
Wrap-up Class 5: Alpha InvestingAlpha Investing –Quantitative applications for evaluation. –Pairs Trading: Characteristics of convergence strategies. Class 6: Fixed Income and MBS: Ming Fang. –Financial engineering –Arbing the yield curve
Wrap-up Class 7: Bob Jaeger, Evaluation AssociatesBob Jaeger, Evaluation Associates –Counter-cultural view of the industry –Risk is different -- Net benefit? –Fees on Fees in Funds of Funds, Style Analysis Class 8: Multi FundsMulti Funds –Building a fund of funds. –High Water Mark contracts: motivations and incentives.
Wrap-up Class 9: Fred Busk –Service part of the fund industry –Turn-key hedge funds? –Volatility and Operational Risk: horror stories to remember. Class 10: Richard Deitz VR Capital –How its done: Itl. opportunities –Hedge funds and Asian Crisis
Wrap-Up Class 11: Foote School Case –Hedge funds in the portfolio –Mean-variance model and alternative investments. Class 12: Regulation and Industry Evolution –Regulation is a two-edged sword.
Rankings as of 04/29/05 For school-professor.. YAL-GOE Rank Account Name(s) Cash MV Long MV Short Equity Trades 1 A42919 Scott Wallsmith Joe Leiwant 1,727, , ,069, ,351, A42901 Olukayode Aje 1,993, , ,019, ,244, A42910 David Lieberman Sean Myers 1,150, , ,234, A42916 Manuel Lecour Gerardo Garcia 1,110, , , ,094, A42911 Arunava Biswas William Haluska 595, ,138, , ,033, A42905 Qinhai Xia 651, , , ,013, A42948 Vaidas Navickas 1,011, ,011, A42998 PROF ACCT 1,007, ,007, A42999 YALE UNIV INTEREST ONLY 1,007, ,007, A42950 Ming Fang 1,005, , ,007, A42913 Michael Blue Peter Ammon 300, , , ,005, A42914 Brian Watson 943, , ,001, A42902 Suhail Chandy 765, , , ,000, A42912 Michael Benson 595, , , A42922 Ted Urban 98, ,341, , , A42915 Kate Marshall John Brydels 932, , , , A42907 Nick Halliwell 1,110, , , , A42926 Sharad Satia Gautam Nangia 918, , , A42904 Len Rittberg 941, , , , A42908 Jeff Kaczynski Sean Olesen 699, , , , A42917 M Baig 769, , , , A42920 Ryder Campbell Stephen Shea 886, , , , A42930 Billy Ng -410, ,329, , , A42906 Chet Prabhu 48, , , A42921 Paul Escott 511, , A42909 Ari Raivetz Oren Monhite-Yahav -125, , , Beginning Date: 01/31/05 Beginning S&P: 1, The class average is 961, Ending Date: 05/06/05 Current S&P: 1, The S&P500 account is 987,612.69