Documenti di Didattica
Documenti di Professioni
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Thanh-Long Huynh M.S. in Financial Mathematics (2000), The University of Chicago Lake Partners LLC, Partner K&K Capital Management, Chief Strategist Email : thuynh@kkcapital.com
Risk Management
Traders
Pricers
Quants
Sales
Fundamental Research
Clients
Quantitative Strategies
Asset Management
Financial advise to governments, corporations, endowments, foundations and individuals worldwide from traditional cash management, equity, fixed income and asset allocation to alternative asset classes such as private equity and real estate. Growing demand not just for performance but for sustainable performance with emphasis on the quality of investment styles and risk management. Quantitative Jobs Portfolio modeling Structured products Risk management
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Interviews
Do NOT go to interview without basic knowledge of finance -> value of Dow Jones, volatility of index (S&P or Eurostoxx50), LIBOR, Examples of interview questions ->If I have a call on SPX and hundreds of calls on all the stocks in SPX weighted in the way as the SPX , what would you prefer? (Goldman Sachs, Fixed Income Strategies, 26 oct 2005) Book about interview questions : Heard on The Street: Quantitative Questions from Wall Street Job Interviews
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Tendency
Numerous opportunities in risk management with very competitive salary and bonus Fixed Income Market : Numerous opportunities in structured products, proprietary trading due to equity uncertainty Equity Market : Numerous opportunities in structured products Europe : Strong hiring in investment banks US : Many opportunities in alternative investment industry and investment banks Asia : Japan starts to recruit intensively Highest bonuses in 2005 in proprietary trading and equity markets for investment banks Highest bonuses in 2004 in proprietary trading and fixed income markets for investment banks
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About my work
Manager of a multi-strategy statistical arbitrage on-shore fund (80% of my time) LK2 Partners Consultant for a fund of funds (20% of my time) Lionheart L.P. Help other people to set up their own fund to develop their own trading strategies
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DUE DILIGENCE
In-depth research on a selected subset of managers
PORTFOLIO CONSTRUCTION
1 to 5 new managers become eligible for funding per year
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Referrals Strong professional and personal relationships create access to a network of managers with proven track records and high potential for future success.
Screening Managers are selected based on matching risk and return profiles with expectations. Basic qualitative and quantitative screening is performed utilizing information from various sources including, but not limited to, Bloomberg, Firstcall, Compustat, Dow Jones/Reuters News, SEC filings, company interviews and discussions with competitors, suppliers and distributors.
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Qualitative and quantitative due diligence continues with a more comprehensive analysis of specific managers and an assessment of their individual investment process and business structure with a specific focus on sources of return, strategy risks and business risks.
QUALITATIVE
QUANTITATIVE
Reference check Benchmarking against appropriate indices Client base Risk/Reward study Management/Organization Volatility analysis VaR analysis, correlation studies, etc. Professionalism of manager Peer group studies Track record Review of leverage Investment objectives Diversification Performance consistent with investment philosophy Drawdown and time to recover analysis Ability to produce appropriate returns in the future Trading style Risk management (liquidity, credit and market) Potential conflicts of interest 100% investment committee approval is required to add a new manager. Reporting capabilities Legal/Regulatory
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Portfolio is constructed to achieve overall investment objectives by combining and balancing funds with appropriate characteristics and investment strategies.
Bottom-up manager selection from the best managers Top-down strategy allocation based on economic and market conditions Target returns and volatility Risk and exposure analysis: Sector concentration/Diversification Hedging techniques Leverage Stress testing Scenario analysis
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The portfolio and portfolio managers are monitored on a comprehensive and proactive basis to ensure adherence to investment guidelines and appropriate risk management. Attribution analysis of concentration by industry, position and geography Portfolio and manager level monitoring and analysis Quantitative models used to analyze risk exposures Assessment of leverage, credit and net exposures Stress tests and correlation analysis Review transparency and liquidity issues Informal review of monthly financial data Periodic audit of financial records and operational controls Adherence to investment guidelines Frequent communication with managers Ongoing review of market, manager and industry Review changes in managers style and investment strategy
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Environmental Credits Equity L/S 1% 17% Asset Backed CBO 1% Distr./Hi Yld 10% Relative Value 1% Mortgage Arbitrage 2% Conv. Arb 3%
Fixed Inc. 14% CTA/ Macro 7% Stat Arb 4% Multi-Strategy 3% Event Driven 9%
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