NYU Stern School of Business

Undergraduate College

FINC-UB.0066.001 (C15.0066): Hedge Fund Strategies

Fall 2012

Instructor Details

Jog, Manjiree


By appointment (please email), Thursday 10am-

KMC 9-152

Please email if you want to come by on any other day.


Course Meetings

MW, 11:00am to 12:15pm

Tisch T-LC25

Schedule exceptions
    Class will not meet on: October 15
    Class will meet on:


Course Description and Learning Goals


Welcome to Hedge Fund Strategies! 

The objective of the course is to provide an overview of the hedge fund industry and discuss some of the investment strategies used by hedge funds, employing a hands-on approach based on case studies and real data. The hedge fund industry has grown rapidly over the last decade. It is estimated that the industry has grown to over $1 trillion dollars. The private nature of funds and ‘light’ regulation allows the funds to employ innovative approaches to invest money using strategies not available to traditional fund managers. The course examines all aspects of various styles of investing by hedge funds including the mechanism of the trade, limitations, cost, and reasons for failure. Cases will be discussed to acquire a more in-depth understanding of the strategies. Strategies covered include event driven strategies, equity, debt, across market strategies, global macro and shareholder activism. The course will also discuss institutional issues relating to investing in and by hedge funds such as portfolio formation, risk management and performance measurement. Distinguished guest speakers will be invited to provide a real-life perspective and to discuss key issues.


Course Pre-Requisites


The students are required to have basic understanding of valuation, options and futures and bond pricing. 


Course Outline

 Tentative List of Topics

Session 1: Introduction: September 5, 2012

The session will introduce the course and provide an overview of the hedge fund industry. Topics will include brief history of the industry, current trends, investing styles, hedge fund indices, and regulation.

Reading: Hedge Funds: Past, Present and Future

Session 2: Leverage: September 10, 2012

We will learn how to define and calculate leverage. We will then discuss different ways hedge funds lever up.

Next few sessions will examine strategies in greater detail. The discussion will include an overview of the strategy, its economic and financial logic, empirical evidence, case studies/examples and risks involved. Equity market strategies, fixed income market strategies and distress investing will be covered before the first in-class exam.

Session 3: Leverage continues, Distress investing: September 12, 2012

Reading: (Available in course pack) Chapter 1-Business Failures and Chapter 2-Alternatives for Distressed Companies

Session 4: distress investing: September 17, 2012

Reading: (Available in course pack) Chapter 1-Business Failures and Chapter 2-Alternatives for Distressed Companies

Session 5: Equity Based Strategies: September 19, 2012

  Reading: Numeric Investors L. P.

Session 6: Fixed Income Strategies : September 24, 2012

Reading: Chapter 4 Bond Mathematics, Long-Term Capital Management L.P. (A)

Session 7: : Guest Speaker: September 26, 2012

Reading: None

Session 8: Fixed Income Strategies Continued: October 1, 2012

Reading: Chapter 4 Bond Mathematics, Long-Term Capital Management L.P. (A)

Session 9: Fixed Income Strategies Continued: October 3, 2012

Reading: Fixed Income Arbitrage in a Financial Crisis (A): US Treasuries in November 2008

Session 10: Exam: October 8, 2012


Session 11: Guest speaker: October 10, 2012

Reading: None

Session 12: Merger Arbitrage : October 17, 2012

Reading: Glencore/Xstrata available on the web. Relevant articles will be distributed close to the session

Session 13: Merger Arbitrage: October 22, 2012

Reading: Glencore/Xstrata available on the web. Relevant articles will be distributed close to the session

Session 14: Hedge Funds and Shareholder Activism: October 24, 2012

Reading:  Hedge Funds in Corporate Governance and Corporate Control

Session 15: No Class due to Hurricane Sandy October 29, 2012


Session 16: No Class due to Hurricane Sandy October 31, 2012


Session 17: Convertible Arbitrage: November 5, 2012

Reading: KBC Alternative Investment Management (A): Convertible Bond Arbitrage  

Session 18: Capital Structure Arbitrage: November 7, 2012

Reading: KBC Alternative Investment Management (B): Capital Structure Arbitrage

Session 19: Guest Speaker: Oscar Leal November 12, 2012

Session 20: Performance Measurement: November 14, 2012

Reading: Measuring Investment Performance

Session 21: Performance Measurement: November 19, 2012

Reading: The Dynamis Fund: An Energy Hedge Fund

Session 22: Exam Review: November 21, 2012

Session 23: Second In-class Exam: November 26, 2012


Session 24: Guest Speaker : November 28, 2012

Session 25: Why Do Strategies Fail?: December 3, 2012

Reading:  Betting the House and Losing Big (distributed in second class)
Long-Term Capital Management L.P. (C)

Session 26: Why Do Strategies Fail?: December 5, 2012

Reading: Risk Management Lessons from Long-Term Capital Management

Session 27: Hedge Fund Risk Management: December 10, 2012

Reading: Letter to the SEC: The World's Largest Hedge Fund is a Fraud, Investigation of Failure of the SEC to uncover Bernard Madoff's Ponzi Scheme

Session 28: Hedge Fund Risk Management: December 12, 2012



Required Course Materials

 A course pack is available in the bookstore. Presentation slides and additional reading material will be distributed in class.


Assessment Components

The students must form groups of 5 for group assignments. There will be two group assignments; case study and a group project. Those who are not able to find a group will be assigned a group by me. 

Case Study:

Each group will be asked to present a case. The group will make a 15-minute presentation, which will be followed by questions from the audience. Your presentation should include:

            Background of the case

            Analyses of the situation

            Models/valuations/any other calculations clearly stating the assumptions


The questions for the case study will be handed in the class before the case is due.

In-class Exams:

In-class exams will be individual exams. Details will be discussed closer to the exam dates.

Group Project:

Each group is required to form a hedge fund. Each fund will have $100 million to invest in any market/securities. Assume no liquidity and transaction cost constraints. Each group will make a 20-minute presentation to potential investors at the end of the semester. The presentation should include a description of strategy, reasoning behind it, performance evaluation, risk management practices, organizational and legal structure.

Class Participation:

A part of your grade will depend on your contribution to the class discussion. Those who bring press articles relevant to what is being taught in class will receive extra credit. You should email me the link/files ahead of the class or post them to the facebook group.

To request to join the facebook group, login to facebook and go to: http://www.facebook.com/groups/hedgefundstrategies/. Then, I'll accept your request to join and you can begin sharing relevant content with the group. Joining the facebook group is optional.



Group Projects

Guidelines for Group Projects

Business activities involve group effort. Consequently, learning how to work effectively in a group is a critical part of your business education.

Every member is expected to carry an equal share of the group’s workload. As such, it is in your interest to be involved in all aspects of the project. Even if you divide the work rather than work on each piece together, you are still responsible for each part. The group project will be graded as a whole:   its different components will not be graded separately. Your exams may contain questions that are based on aspects of your group projects.

It is recommended that each group establish ground rules early in the process to facilitate your joint work including a problem-solving process for handling conflicts. In the infrequent case where you believe that a group member is not carrying out his or her fair share of work, you are urged not to permit problems to develop to a point where they become serious. If you cannot resolve conflicts internally after your best efforts, they should be brought to my attention and I will work with you to find a resolution.

You will be asked to complete a peer evaluation form to evaluate the contribution of each of your group members (including your own contribution) at the conclusion of each project. If there is consensus that a group member did not contribute a fair share of work to the project, I will consider this feedback during grading.



 Group Project                        35%

Case Analysis                        15%

Class Participation                 10%

In-class Exam 1& 2                 20% each



The process of assigning grades is intended to be one of unbiased evaluation. Students are encouraged to respect the integrity and authority of the professor’s grading system and are discouraged from pursuing arbitrary challenges to it.

If you believe an inadvertent error has been made in the grading of an individual assignment or in assessing an overall course grade, a request to have the grade re-evaluated may be submitted. You must submit such requests in writing to me within 7 days of receiving the grade, including a brief written statement of why you believe that an error in grading has been made.


Professional Responsibilities For This Course




In-class contribution is a significant part of your grade and an important part of our shared learning experience. Your active participation helps me to evaluate your overall performance.
You can excel in this area if you come to class on time and contribute to the course by:




Classroom Norms


Stern Policies

General Behavior
The School expects that students will conduct themselves with respect and professionalism toward faculty, students, and others present in class and will follow the rules laid down by the instructor for classroom behavior.  Students who fail to do so may be asked to leave the classroom. 


Collaboration on Graded Assignments
Students may not work together on graded assignment unless the instructor gives express permission. 


Course Evaluations
Course evaluations are important to us and to students who come after you.  Please complete them thoughtfully.


Academic Integrity

Integrity is critical to the learning process and to all that we do here at NYU Stern. As members of our community, all students agree to abide by the NYU Stern Student Code of Conduct, which includes a commitment to:

The entire Stern Student Code of Conduct applies to all students enrolled in Stern courses and can be found here:

Undergraduate College: http://www.stern.nyu.edu/uc/codeofconduct
Graduate Programs: http://w4.stern.nyu.edu/studentactivities/involved.cfm?doc_id=102505

To help ensure the integrity of our learning community, prose assignments you submit to Blackboard will be submitted to Turnitin.  Turnitin will compare your submission to a database of prior submissions to Turnitin, current and archived Web pages, periodicals, journals, and publications.  Additionally, your document will become part of the Turnitin database.


Recording of Classes

Your class may be recorded for educational purposes


Students with Disabilities

If you have a qualified disability and will require academic accommodation of any kind during this course, you must notify me at the beginning of the course and provide a letter from the Moses Center for Students with Disabilities (CSD, 998-4980, www.nyu.edu/csd) verifying your registration and outlining the accommodations they recommend.  If you will need to take an exam at the CSD, you must submit a completed Exam Accommodations Form to them at least one week prior to the scheduled exam time to be guaranteed accommodation.


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