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YaleSOMFundofFunds
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: 958,578.55 Class Median: 976,054.37 Interest Only: 1,007,176.02 SP 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: 0.148 Trades: 1,276.00 Commissions: $32,274 at $25/trade 525 different securities Equities, options, futures Distribution Features Skewness = -0.756777705 Why? Is 1,351,966.60 unusual? std, leverage, etc. Is 457,890.76 unusual? Time Series of Activity Distribution of Trades Compensation: 1% 20% Fixed fees paid: $250,000 Incentive fees paid: $186,787.86 Total fees: $436,787.86 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 Frontiers Class 2: Andrew Redleaf, Whitebox Partners The 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” Where do Alphas come from? Class 4: Carl Schecter, Nomura Securities, Event Driven,? MA Arb. Hedge funds as insurers Role in MA Wrap-up Class 5: Alpha 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 Associates Counter-cultural view of the industry Risk is different -- Net benefit? Fees on Fees in Funds of Funds, Style Analysis Class 8: Multi Funds Building a fund of funds. High Water Mark contracts: motivations and incentives. Wra
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