Sumários
Lecture 18: Hedge Funds V and Private Debt I
12 Novembro 2025, 08:00 • Haoxu Wang
The session first discussed the limits to arbitrage, followed by an overview of the basics and historical performance of the three types of equity hedge funds. After this, the lecture introduced a new topic for the course, “Private Debt.” It began with an overview of the cash-based private credit market and its main strategies. The basics of credit risk analysis were then covered, including default risk, commonly used financial ratios, recovery rates, and credit ratings. Following a discussion on the key differences between bonds and loans, the lecture examined leveraged loans and then moved on to direct lending. The session concluded with an introduction to mezzanine debt, whose features will be explored in greater depth next week.
Lecture 17: Hedge Funds V
10 Novembro 2025, 12:00 • Haoxu Wang
The session first completed the remaining materials from the previous lecture (starting with the “volatility arbitrage risks” slide). It then moved on to the final part of the “Hedge Funds” topic of the course, Equity Hedge Funds, which represent the most popular category of hedge funds. After providing an overview of this category, the lecture analyzed the three main sources of equity hedge fund returns: providing liquidity, providing market efficiency, and identifying profitable factors (trading signals). Following this, the discussion turned to market anomalies, which form the foundation for many equity hedge fund strategies. The lecture examined issues related to their identification and persistence, as well as several prominent equity market anomalies, including momentum, accruals, and net stock issuance, along with their explanations. The session concluded with a discussion on how hedge funds implement anomaly strategies.
Lecture 16: Hedge Funds IV
5 Novembro 2025, 08:00 • Haoxu Wang
The lecture first concluded the remaining material on event-driven hedge funds, including capital structure arbitrage strategies, as well as multistrategy funds and special situation funds. Their historical performance was highlighted. Following this, the lecture moved to a new topic, “Relative Value Hedge Funds”, which include three major strategies—convertible bond arbitrage, volatility arbitrage, and fixed-income arbitrage—along with a multistrategy approach. In this course, however, only the first two strategies are explored in detail. For each arbitrage strategy, a description of the classic trade was provided along with examples designed to illustrate the return-generating channels and sources of risk. The lecture was also planned to analyze their historical performance. The specific trades covered included convertible bonds hedged with the underlying stock, variance (volatility) swaps, and dispersion trades. The session ended with a discussion of the risk analysis of volatility arbitrage strategies. Please note that some materials relied on basic knowledge of option pricing.
Lecture 15: Hedge Fund III
3 Novembro 2025, 12:00 • Haoxu Wang
This lecture concluded the remaining material on managed futures hedge fund strategies, covering momentum (trend-following), mean-reversion (countertrend), and relative value strategies, along with a review of the historical performance of systematic diversified funds and managed futures fund. It then moved to a new category of hedge funds, event-driven funds, including activist hedge funds, merger arbitrage funds, and distressed securities funds. For each strategy, the discussion outlined the typical trading approach(es), the channels through which returns are generated, and the key risks involved. The lecture also analyzed the historical performance of the first two types of event-driven funds. It ended just before the capital structure arbitrage section.
Lecture 14: Hedge Fund II
29 Outubro 2025, 08:00 • Haoxu Wang
The lecture mainly examined two topics related to hedge funds: 1) hedge fund fees and 2) macro and managed futures hedge fund strategies. The first part focused on the typical hedge fund fee structure and its influence on managerial behavior, analyzed through the views of annuity and optionality. Both theoretical and empirical evidence were presented to explain the implications of the hedge fund incentive mechanisms. The discussion then turned to macro and managed futures hedge fund strategies. Due to time constraints, the focus was primarily on macro strategies, illustrated with real-world examples that demonstrated how macro strategies operate in practice. The lecture concluded with an introduction to trend-following managed futures strategies based on moving averages. The next session will complete the discussion on managed futures strategies and continue examining other common hedge fund strategies.