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The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
(
http://www.gutmann-center.at)
is pleased to announce the following
PUBLIC LECTURE:
Date: May 14th, 2003 (Wednesday), 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16 (Mezzanin), 1010 Wien
(
http://www.gutmann.at)
Speaker: Prof. William K H FUNG, London Business School
http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Faculty/faculty.html
Bill Fung is Visiting Research Professor of Finance at the Centre for
Hedge Fund Research and Education, London Business School and advisor to
the Education and Research Foundation of the Chicago Board of Trade. He
has published in renowned finance journals and has extensive experience
in the hedge fund industry. Currently, he is Chair, Board of Directors,
Maple Financial Group, Canadan and co-CEO at PI Asset
Management,LLC,USA.
Title:
"The Risk in Hedge Fund Strategies: Alternative Alphas and Alternative
Betas"
Abstract:
"This paper presents a unifying framework for estimating risk factors in
hedge fund strategies. A simple model with only a handful of
Asset-Based Style (ABS) factors is shown to capture both cross-sectional
variations of hedge fund returns and the time-varying dynamics of
hedge-fund portfolios. In addition, these ABS factors can be directly
linked to observable market prices through rule-based models of
hedge-fund strategies. We discuss the implications of such a model as a
complete extension of Sharpes (1992) style model for hedge funds beyond
Fung and Hsieh (1997) as well as applications for portfolio management
hedge funds and benchmarking hedge fund performance."
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +42-1-50220-249