COURSE on Efficiently Inefficient: How Smart Money Invests and Market Prices are Determined I have used early versions of the book to teach MBA students at NYU Stern School of Business and Masters students at Copenhagen Business School. Already before its publication, the book is also being introduced to students at UCLA, Harvard University, the Wharton School of the University of Pennsylvania, UC Berkeley, London Business School, HEC Paris, and Stockholm School of Economics in courses such as Investments, Hedge Fund Strategies, Asset Management, Alternative Investments, Behavioral Finance, and Institutional Finance. FEEDBACK FROM PROFESSORS: "The book fills a huge void and was a big success in my MBA class at UCLA Anderson School of Management. This impressive work blends a coherent conceptual framework that professors seek for their classes with a hedge fund manager's insight and practical knowledge that students crave." -- Mikhail Chernov "This valuable book offers a unique combination of practical insights, cutting-edge research, and institutional facts. Lasse Pedersen is a brilliant scholar and he’s written a brilliant book. I'm delighted to find a book that is both cutting edge and accessible to advanced undergraduates. I plan to use it again next year at Harvard!" -- Owen Lamont COURSE CONTENT: The course describes some of the main trading strategies used by active traders and provides a methodology to analyze them. The course covers individual equity markets (discretionary equity investing, short selling, quantitative equity strategies), tactical asset allocation across equity indices, currencies, fixed-income, and commodities (global macro investing, managed futures strategies), and relative-value arbitrage strategies (fixed income arbitrage, convertible bond arbitrage, event driven investments). In class and through exercises, the trading strategies are illustrated using real data and students learn to use "backtesting" to evaluate a strategy. The course also covers issues related to how trading works, performance measurement, transaction costs and liquidity risk, optimal trading, margin requirements, risk management, and portfolio construction. EXERCISES: SAMPLE LECTURE PLAN:
Each lecture is 3 hours. This is a tight schedule, some courses spend more time or cover less. TABLE OF CONTENTS of the book Efficiently Inefficient The Main Themes in Three Simple Tables Preface Introduction Part I Active Investment Chapter 1 Understanding Hedge Funds and Other Smart Money Chapter 2 Evaluating Trading Strategies: Performance Measures Chapter 3 Finding and Backtesting Strategies: Profiting in Efficiently Inefficient Markets Chapter 4 Portfolio Construction and Risk Management Chapter 5 Trading and Financing a Strategy: Market and Funding Liquidity Part II Equity Strategies Chapter 6 Introduction to Equity Valuation and Investing Chapter 7 Discretionary Equity Investing Interview with Lee S. Ainslie III of Maverick Capital Chapter 8 Dedicated Short Bias Interview with James Chanos of Kynikos Associates Chapter 9 Quantitative Equity Investing Interview with Cliff Asness of AQR Capital Management Part III Asset Allocation and Macro Strategies Chapter 10 Introduction to Asset Allocation: The Returns to the Major Asset Classes Chapter 11 Global Macro Investing Interview with George Soros of Soros Fund Management Chapter 12 Managed Futures: Trend-Following Investing Interview with David Harding of Winton Capital Management Part IV Arbitrage Strategies Chapter 13 Introduction to Arbitrage Pricing and Trading Chapter 14 Fixed-Income Arbitrage Interview with Nobel Laureate Myron Scholes Chapter 15 Convertible Bond Arbitrage Interview with Ken Griffin of Citadel Chapter 16 Event-Driven Investments Interview with John A. Paulson of Paulson & Co. References BUY THE BOOK The book is published by Princeton University Press and should be broadly available in late May, 2015. It is now shipping from these sites among many others: |