Twicet

Indices for Alternative Assets is a one-day course that will examine all aspects of alternative index construction including commodity, real estate and hedge fund benchmarks. Delegates will learn about the rules, tools and techniques needed to construct an alternative index, as well as the methodology behind establishing an appropriate benchmark, understanding the nature of the underlying return series and differentiating between derivative and synthetic ways to gain exposure to an index.

Who should attend: fund managers, hedge funds, quantitative analysts, institutional investors, private equity managers.

	TBC
	Duration: One day (9.00am to 5.00pm)
	Location: The Tower Hotel – London E1, UK
	Trainer: Daniel Broby
	Course fee: £1190 + VAT – Register online

Course Outline

Introduction

+ Background
+ The index as a benchmark
+ Equity indices and theory
+ Defining Alternative Assets
+ The impact of liquidity and leverage
+ Academic relevance
+ Practical relevance
+ Defining the asset class through regression of excess returns
+ Skewness and kurtosis in alternative assets
+ Alternative asset risk factors
+ Sampling the universe
+ Top down versus bottom up

Commodity benchmarks, challenges and refinements

+ Commodities as an asset
+ Financialization
+ Commodity futures
+ Roll Yield
+ Existing Benchmarks

Hedge fund benchmarks, challenges and refinements

+ Hedge funds as an asset class
+ Peer Group indices
+ Challenges in developing an alternative to peer
+ Survivorship issues
+ Synthetic hedge fund returns
+ Synthetic hedge fund replication
+ Hedge funds and factor model benchmarks

Real estate benchmarks, challenges and refinements

+ Return
+ Real estate as an asset class
+ Inefficiencies in real estate price
+ Real Estate cross section of returns
+ Skewness
+ Real Estate Benchmark approaches
+ Repeat sales method
+ Multiplicative chain method
+ Mix adjustment and hedonic regression
+ Intelligence and property valuations
+ Real Estate Investment Trusts (REITs)
+ Real Estate Investment Trust index methodology