Programa Directivo en Inversiones Alternativas (Global Alternative Investment) Preparatorio Acreditación CAIA

Convocatoria NOVIEMBRE 2016

PREPARACIÓN PARA LA ACREDITACIÓN PROFESIONAL CAIA SM DEL PROGRAMA DIRECTIVO EN INVERSIONES ALTERNATIVAS

Se trata del primer Programa Directivo en España íntegramente centrado en la Gestión Alternativa, que aporta a los profesionales de los Mercados Financieros los conocimientos necesarios para comprender en profundidad todas las peculiaridades de esta clase de activos. Por otro lado, el Programa Directivo en Inversiones Alternativas está diseñado para la preparación del asistente a la Acreditación CAIA SM.

OBJETIVOS EL PROGRAMA DIRECTIVO EN INVERSIONES ALTERNATIVAS

Por un lado, el Programa pretende analizar en profundidad los Hedge Funds y la Gestión Alternativa como instrumentos financieros de vanguardia. Además, se estudiarán las particularidades de la nueva normativa sobre Instituciones de Inversión Colectiva en todo aquello que afecta y regula a la Gestión Alternativa. Por otro lado, se dotará a los profesionales de una formación muy práctica sobre la industria de los Hedge Funds (diseño y gestión de los productos de Gestión Alternativa, medición de los riesgos de las posiciones, comercialización de las diferentes estructuras de inversión...).

ACREDITACIÓN PROFESIONAL CAIA SM DEL PROGRAMA DIRECTIVO EN INVERSIONES ALTERNATIVAS

El IEB es el proveedor exclusivo del programa formativo de la Acreditación CAIASM ("Chartered Alternative Investment Analyst") en España. Esta Acreditación se ha convertido en la referencia para todos profesionales del ámbito de los Hedge Funds y Gestión Alternativa y ya cuenta con más de 4.000 candidatos presentados provenientes de 50 países.

Para la obtención de la certificación CAIASM es necesario presentarse a los dos niveles que conforman la Acreditación. Dichos exámenes se realizan en los meses de marzo y septiembre de cada año. Por otra parte, los exámenes de ambos niveles se realizarán íntegramente en inglés.

CUADRO DOCENTE DEL PROGRAMA DIRECTIVO EN INVERSIONES ALTERNATIVAS

El Programa cuenta con un Cuadro Docente técnicamente muy sólido y altamente experimentado en el ámbito de la Gestión de Carteras, en particular de la Gestión Alternativa. Está compuesto no sólo por reconocidos profesionales que desempeñan su quehacer diario en el competitivo Mercado Financiero Español, sino que además cuenta con la participación de un selecto grupo de profesionales provenientes de la City Londinense, que aportarán todo su "know how" y experiencia.

DESTINATARIOS:

A profesionales con una experiencia demostrable en:

• Gestión de Fondos de Inversión
• Gestión de Carteras
• Gestión de Banca Privada
• Family Office
• Departamentos de Productos Estructurados
• Todas aquellas personas interesadas en conocer en profundidad la industria de los Hedge Funds y la Gestión Alternativa
• Profesionales involucrados en la Gestión Alternativa en general (productos inmobiliarios, capital riesgo, traders en los mercados de futuros , etc…)

CONVOCATORIA: NOVIEMBRE 2014

Modulo 1

MARKETS AND INSTRUMENTS

Overview: The Investment Environment

• It introduces a myriad of investment terms.
• Real assets are differentiated from financial assets, and the major categories of financial assets are defined.
• The risk/return trade off and the reality that most assets are efficiently (fairly) priced is introduced.
• The role of financial intermediaries and the increased globalization of financial markets are discussed.

Overview: Asset Classes and Financial Instruments

• It describes the financial instruments that trade in primary and secondary markets as well as various indices used as market indicators.
• There is an introductory discussion of options and futures.

Overview: How Securities Are Traded

• It covers the trading of securities in primary and secondary markets on organized exchanges as well as in over the counter markets.
• Margin trading and short selling are discussed along with detailed examples of margin agreements.
• The chapter discusses elements of regulation and ethics associated with security transactions.

Overview: Mutual Funds and Other Investment Companies

• It covers investment companies and mutual funds.
• The chapter discusses services provided by mutual funds as well as associated fees.
• Performance of investment companies and impact of taxation are presented.
• Investment policies of different funds are described and sources of information on investment companies are identified.

FIXED INCOME SECURITIES

Overview: Bond Prices and Yields

• It provides a discussion of the various types of bonds, bond ratings, and the determinants of bond risk.
• You will be shown how to calculate yields and bond prices and to identify factors used by the agencies in rating bonds.
• Characteristics such as call options and default potential, and the implication of these characteristics in bond pricing, are described.

Overview: The Term Structure of Interest Rates

• It describes the term structure of interest rates including the use of one-year rates in developing yields on longer- term securities, as well as forward rates as a means of valuing coupon instruments.
• The major theories used to explain interest rate movements are developed.
• Overview: Managing Bond Portfolios
• It uses the concepts and tools of the previous two chapters to develop active and passive bond portfolio management strategies.
• Convexity and duration are introduced as interest rate risk management tools, highlighting the latter's use as a key input to portfolio immunization strategies.
• In addition, various active strategies are described.

EQUITY SECURITIES

Overview: Equity Valuation Models

• It discusses the valuation of common stock.
• The relationships between intrinsic, market and book values are presented. Various valuation techniques are presented, and their relative strengths and weaknesses discussed.

THE BASIC RELATIONSHIP BETWEEN RISK AND RETURN

Overview: Learning about Return and Risk from the Historical Record

• It describes the factors influencing the level of interest rates and discusses the Fisher Effect.
• It shows how to calculate holding period returns for different time periods and presents information about the historical risk/return record for different classes of financial assets. Also provided are statistical calculations of risk and returns measures.

Overview: Risk Aversion and Capital Allocation to Risky Assets

• It describes the process of constructing a portfolio by combining risky assets with risk free assets.
• The concepts of risk aversion and utility are used to illustrate how one might go about determining an appropriate allocation mix.

Overview: Optimal Risky Portfolios

• It provides an understanding of systematic and firm-specific risk, and of how investors can reduce the amount of firm-specific risk through diversification.
• The chapter examines portfolio formation using a combination of two risky assets first, and then later using multiple risky assets.
• The concept of an efficient portfolio is introduced.

Overview: Index Models

• It derives the single-factor index model and illustrates how risk can be decomposed into a systematic and an unsystematic component.
• It introduces the terms beta and alpha as portfolio management tools.

Overview: The Capital Asset Pricing Modelbr />

• It presents the capital asset pricing model (CAPM), an equilibrium model for the pricing of assets based upon a systematic risk factor known as beta.
• The presentation includes the assumptions that underlie the CAPM, the major implications of the CAPM model, and the development of the security market line.

MARKET EFFICIENCY

Overview: The Efficient Market Hypothesis

• It introduces market efficiency as a hypothesis that securities are fairly priced.
• The implications of market efficiency for investors and studies of the efficient capital market hypothesis are presented in detail.

Overview: Behavioral Finance and Technical Analysis

• It discusses a school of thought known as behavioral finance and its implications for the theory of efficient markets.
• By questioning investor rationality, the chapter provides evidence of errors made by individuals in processing information and by biases observed in human behavior.
• The chapter also examines technical analysis and relates such analysis to behavioral finance.

APPLIED PORTFOLIO MANAGEMENT

Overview: Portfolio Performance Evaluation

• It evaluates various risk-adjusted return measures used by portfolio managers.
• The process of decomposing portfolio returns into the various components of the portfolio-building process is presented.

Overview: International Diversification

• It expands the concepts and theories discussed thus far to international markets.
• One of the important implications of global investing is the impact on portfolio value brought about by changes in foreign exchange rates.
• Another important implication of global investing is the potential benefit of increased diversification.
• The chapter illustrates that international indexes are available for passive investing purposes.

OPTIONS AND THE BLACK-SCHOLES OPTION PRICING MODEL

Overview: Option Markets: Introduction

• It describes characteristics of options, the terminology used in the options markets, payoffs and profits to option owners and writers, and the put call parity relationship.
• It discussed are assets having embedded options such as callable bonds, warrants, and collateralized loans.
• It explains how to calculate potential profits resulting from various option trading strategies and formulate portfolio management strategies to modify the risk-return attributes of the portfolio.

Overview: Option Valuation

• It examines factors affecting the value of an option, determination of option pricing in a two-state world (binomial option pricing), hedge ratios, and the Black-Scholes option-pricing model.
• Portfolio insurance techniques are also presented.
• The chapter concludes with a presentation of a hedging application using mispriced options.

OTHER DERIVATIVES AND MARKET STRATEGIES

Overview: Futures Markets

• It describes the mechanics of futures markets including the strategies, risks, and pricing of futures contracts.
• The chapter provides background material on stock index contracts and how these contracts can be used for hedging and speculation.

Overview: Futures and Swaps: Markets and Applications

• It discusses the various stock index futures as well as market applications of futures index arbitrage, hedging of foreign exchange risk, hedging of interest rate risk, and the use of interest rate swaps.

MODULO 2

CERTIFICACIÓN CAIA® Nivel 1

PART 1: QUANTITATIVE METHODS

CHARACTERISTICS OF HEDGE FUNDS

• Tactical investment styles
• Equity long/short styles
• Event-driven styles
• Relative value arbitrage styles
• Funds of funds and multi-strategy funds
• Current state of the hedge fund industry

MEASURING RETURN

• Transparency
• Net asset value calculation
• Performance fee accounting
• Return calculation
• Return aggregation

RETURN AND RISK STATISTICS

• Return statistics
• Risk measurement
• Managing portfolio risk
• Diversification
• Downside risk
• Benchmark-related statistics
• Return aggregation

RISK-ADJUSTED PERFORMANCE MEASURES

• Sharpe ratio
• Treynor ratio
• Jensen's alpha
• Statistical significance of measures
• M-square
• Downside risk measures

DATABASES, INDICES, AND BENCHMARKS

• Hedge fund data biases
• Hedge fund index construction
• Comparison of various hedge fund indices
• Pure hedge fund indices
• Return benchmarking
• True benchmarks

COVARIANCE AND CORRELATION

• Covariance and correlation calculation
• Drawbacks of correlation
• Statistical significance of correlation
• Heteroscedasticity

REGRESSION ANALYSIS

• Simple linear regression
• Quality of regression
• Prediction
• Multiple linear regression
• Model specification
• Alternative regression approaches

ASSET PRICING MODELS

• Need for factor models
• Linear single-factor models
• Linear multi-factor models
• Accounting for non-linearity
• Hedge funds as option portfolios
• Alpha generation versus leveraged beta exposure

STYLES, CLUSTERS, AND CLASSIFICATION

• Self-classification and qualitative classification
• Fundamental classification
• Return-based style analysis
• Cluster-based style analysis

BENEFITS AND RISKS REVISITED

• Historical hedge fund performance
• Diversification potential of hedge fund investments
• Bull and bear market performance comparisons
• Historical hedge fund strategy performance
• Caveats of hedge fund investing

STRATEGIC ASSET ALLOCATION

• Investor utility functions
• Strategic asset allocation
• Hedge funds as asset classes
• Mean-variance allocation to hedge funds
• Portable alpha
• Alternative risk exposures and risk budgeting

RISK MEASUREMENT AND MANAGEMENT

• Risk management process
• VaR measures
• Extreme values
• Style analysis based VaR measures
• Limitations of VaR measures

PART 2: PROFESSIONAL STANDARDS AND ETHICS

CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT (STANDARDS I AND II)

• Purpose and scope of Standards I and II
• Procedures for compliance with Standards I and II

CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT (STANDARDS III AND IV)

• Purpose and scope of Standards III and IV
• Procedures for compliance with Standards III and IV

CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT (STANDARDS V AND VI)

• Purpose and scope of Standards V and VI
• Application of Standards V and VI

PART 3: REAL ESTATE

INTRODUCTION TO REAL ESTATE VALUATION

• Discounting and compounding
• Discounted cash flow valuation
• Investment decision rules
• Loan amortization
• Pro forma analysis
• Company valuation

DEBT AND MORTGAGES

• Debt ratios
• Loan terms
• Pooling and tranching mortgages
• Risk characteristics of a commercial mortgage-backed security (CMBS)

REAL ESTATE RETURNS

• Exiting real estate investments
• Real estate opportunity funds
• Return waterfalls
• Real estate supply and demand imbalances
• National Association of Real Estate Investment Trusts (NAREIT) and National Council of Real Estate Investment Fiduciaries (NCREIF) property indices

PART 4: HEDGE FUNDS

INTRODUCTION TO HEDGE FUNDS

• Market directional funds
• Corporate restructuring funds
• Convergence trading funds
• Opportunistic funds

ESTABLISHING A HEDGE FUND INVESTMENT PROGRAM

• Academic evidence on the historical performance of hedge funds
• Persistence in hedge fund performance
• Hedge funds and financial markets
• Hedge fund investment strategies
• Rationale behind hedge fund investments

DUE DILIGENCE

• Structural review
• Strategic review
• Performance review
• Risk review
• Administrative review
• Legal review
• Reference checks

RISK MANAGEMENT

• Academic research on hedge funds in a portfolio context
• Risk exposure of categories of hedge funds
• Hedge fund return distributions
• Process risk
• Mapping risk
• Transparency risk
• Risk management risk
• Data risk
• Performance measurement risk
• Event risk

REGULATION OF HEDGE FUNDS

• Securities Act of 1933
• Securities Exchange Act of 1934
• Investment Company Act of 1940
• Investment Advisers Act of 1940
• Commodity Exchange Act of 1974
• President's Working Group on Financial Markets
• The Group of Five Hedge Funds
• Current legislative initiatives

PART 5: COMMODITIES AND MANAGED FUTURES

INTRODUCTION TO COMMODITY MARKETS

• Capital assets versus commodities
• Exposure to commodities
• Relationship between futures and spot prices
• Normal backwardation versus contango

INVESTING IN COMMODITY FUTURES

• Economics of the commodity markets
• Exposure to event risk
• Commodity futures indices
• Characteristics of commodity futures indices

COMMODITY FUTURES IN A PORTFOLIO CONTEXT

• Inflation protection
• Average return and the volatility of commodities
• Commodity futures and the efficient frontier
• Commodities as a defensive investment

MANAGED FUTURES

• History of managed futures
• Empirical research on managed futures
• Return distributions of managed futures
• Managed futures as portfolio diversifiers

PART 6: PRIVATE EQUITY

INTRODUCTION TO PRIVATE EQUITY

• History of venture capital
• Role of the venture capitalist
• Structure of the venture capitalist industry
• Introduction to leveraged buyouts (LBOs)
• Leveraged buyout fund structures
• Corporate governance and leveraged buyouts
• Mezzanine debt
• Distressed debt
• Performance of private equity
• Prívate equity return distributions
• Private equity within a diversified portfolio
• Information asymmetry and liquidity
• Stale and managed pricing
• Marking private equity investment to market
• Analysis of private equity performance
• Managed pricing in private equity strategies

TRENDS IN PRIVATE EQUITY

• Secondary market
• Hedge funds
• Leveraged loans
• Private Investment in Public Entities (PIPEs)

PART 7: CREDIT DERIVATIVES

INTRODUCTION TO CREDIT DERIVATIVES

• Sources of credit risk
• Credit risky investments
• Credit options
• Credit default swaps

INTRODUCTION TO COLLATERALIZED DEBT OBLIGATIONS

• General structure of collateralized debt obligations (CDOs)
• Balance sheet CDO structures
• Arbitrage CDOs
• New developments in CDOs
• Risks of CDOs

Modulo 3

CERTIFICACIÓN CAIA® Nivel 1I

PART 1: PROFESSIONAL STANDARDS AND ETHICS

CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT (I, II, AND III)

• Application of Standard I
• Application of Standard II
• Application of Standard III

CFA INSTITUTE STANDARDS OF PROFESSIONAL CONDUCT (IV, V, AND VI)

• Application of Standard IV
• Application of Standard V
• Application of Standard VI

PART 2: HEDGE FUNDS AND MANAGED FUTURES.

SELECTED HEDGE FUND STRATEGY - CONVERTIBLE ARBITRAGE

• Basics of convertible arbitrage
• Types of convertible securities
• Valuation models
• Key components of a successful convertible arbitrage strategy
• Credit analysis and asset value credit evaluation
• Building a trading strategy using hedging techniques
• Risk management

QUANTITATIVE TRADING STRATEGIES

• Quantitative trading as an investment strategy
• Market psychology, market inefficiency, and trend following strategies
• Limitations of fundamental analysis
• The building blocks of trading strategies
• Evaluating trading strategy performance
• Entries, exits, and filters
• Money management

PART 3: VENTURE CAPITAL AND PRIVATE EQUITY

VENTURE CAPITAL AND PRIVATE EQUITY FUNDS

• The J curve of private equity returns
• The private equity environment
• The private equity investment process
• Design tools in private equity
• Monitoring private equity investments

PART 4: REAL ESTATE

REAL ESTATE INVESTMENT TRUSTS

• History of the real estate investment trust (REIT) industry
• Tax reform impact on the REIT industry
• Regulatory environment for REITs
• Alternative REIT structures
• REITs, and use of leverage and dividend payouts
• REIT performance factors and issues

PART 5: INTEGRATED TOPICS (MATERIAL DE AUTOESTUDIO)

STRUCTURED PRODUCTS, NEW PRODUCTS AND NEW STRATEGIES

• Structure, characteristics, benefits and risks of investing in CFOs
• Characteristics of infrastructure investments and the practical use of infrastructure indices
• Potential for financial markets and instruments to play a role in alleviating negative climate change consequences
• Factor-based and pay-off distribution approaches to hedge fund replication
• Factors that contributed to convergence between private equity and hedge fund strategies as well as concerns and risks regarding the past trend

ASSET ALLOCATION

• Buy-and hold, constant mix, and constant-proportion portfolio insurance strategies
• A wealth allocation framework that accounts for various dimensions of risk and deriving an ideal asset allocation for an individual
• The term structure of futures prices, the components of futures returns for individual contracts, returns for portfolios constructed and rebalanced with various methods, and the implications of tactical asset allocation strategies using commodity futures contracts
• Methods of including global commercial real estate in a strategic asset allocation

CURRENT TOPICS

• What happened in the Amaranth debacle, how it happened and how it could have been avoided?
• Applying the market events of August 2007 to the concept of systemic risk
• Factors contributing to the subprime credit crisis and recommending policies and practices to address them

PORTFOLIO AND RISK MANAGEMENT

• Methods of hedging against tail risk and their relative merits
• Implications of complex and adaptive capital markets for risk management methods
• Factors leading to portfolio allocation drift

RESEARCH ISSUES IN ALTERNATIVE INVESTMENTS

• The risk and return components of commodity futures returns from various perspectives
• Approaches to evaluate smoothing effects in the real estate market
• Research on hedge fund risk factors and biases in hedge fund databases
• The impact of unique characteristics of private equity returns on investor decision-making

Modulo 4

FORMACION COMPLEMENTARIA A LA ACREDITACIÓN CAIA®

OTHER ADDITIONAL COMPLEMENTARY ISSUES IN ALTERNATIVE INVESTMENTS

DISTRESSED INVESTING

• The private equity versus the hedge fund perspective
• Timing skills
• Legal and operating processes

RENEWABLE ENERGIES

ALTERNATIVE INVESTMENTS APPLIED TO PRIVATE WEALTH MANAGEMENT STRATEGIES (Private Equities, Dynamic strategies, Structured Products, etc.).

WORKSHOP ABOUT "EVENT DRIVEN" STRATEGIES

DARWINISM IN THE HEDGE FUND INDUSTRY. CURRENT ENVIRONMENT

EU LEGAL TRENDS IN ALTERNATIVE MANAGEMENT

• UCITS III structures
• The new UCITS IV Directive
• Legal scenario 2011 or the new AIFM

STRUCTURED PRODUCTS BASED IN ALTERNATIVE INVESTMENTS

• Certificates
• Options
• "Portable Alpha Swaps"
• CPPI Based (Constant Proportion Portfolio Insurance)
• "Alpha & Beta Products"