Neutralizing betas without neutralizing alphas in funds of hedge funds
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Date: 11-29-2004
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Craig French & Jimmy Liew, Dubin & Swieca Capital Management, LLC.
Location: 412 Shapiro CEPSR, Davis Auditorium
ABSTRACT
Identification of the relevant factors that drive hedge fund returns is an important component to institutional quality fund of funds investing. We find that for specific hedge fund strategies: equity long-short, convert arb, event-driven, global macro, etc. we can actually fine tune our set of relevant factors. We focus specifically on the importance of analyzing the alpha return generators. Additionally, we discuss tail risk management and the practical methods for mitigation of the point mis-estimation in mean-variance optimization of portfolios of hedge funds. This talk attempts to provide a lively discussion of the relevant practical issues faced by hedge fund investors.
BIO
Jimmy Liew, Ph.D., Investment Manager at Dubin & Swieca Capital Management, LLC, is responsible for research and management for the firm's multi-manager hedge fund business, with a focus on Global Trading and CTA strategies. Dr. Liew also contributes to the firm's risk management and quantitative analysis effort. Prior to joining Dubin & Swieca, Dr. Liew worked as a Principal Investment Officer at The World Bank where he co-managed a $750 million in assets portfolio of hedge funds. Before working at The World Bank, Dr. Liew was a Vice President at Carlyle Asset Management with responsibility for performing due diligence on hedge fund managers that specialized in a variety of strategies. Dr. Liew began his career at Morgan Stanley in Equity Derivatives Research as a Quantitative Strategist. His research has been published in the Journal of Portfolio Management, the Journal of Derivatives and the Journal of Financial Economics. Dr. Liew graduated from the University of Chicago with a B.A. in Mathematics with general honors. Dr. Liew earned his M.Phil and Ph.D in Finance and Economics at the Columbia Business School.
Craig French, Director of Quantitative Analysis at Dubin & Swieca Capital Management, LLC, is responsible for portfolio construction and risk management for the firm's multi-manager hedge fund business. Prior to joining the firm, he was the U.S. equity strategist for SEI Investments, where he was responsible for portfolio strategy and risk management of approximately $20 billion. Before that, Mr. French was an associate with Goldman Sachs Asset Management, where he worked as a product manager responsible for quantitative strategies. Prior to this, Mr. French traded currency derivatives on the Philadelphia Stock Exchange and the Chicago Mercantile Exchange for Societe Generale Options, N.A. and Susquehanna Investment Group. His research has been published in the Journal of Investment Management. Mr. French graduated summa cum laude from the University of Pennsylvania's Wharton School of Business with a B.B.A., concentrating in Finance and Management.