THIS IS A DRAFT SYLLABUS SUBJECT TO REVISION. PLEASE CHECK BACK PERIODICALLY FOR UPDATES.

AS OF JULY 25 , 2022

HARVARD

MGMT-2784
Hedge Funds: History, Strategies, and Practice
(Online Live Web Conference)
Course Syllabus – FALL 2022

Course Logistics

 Day and Time: Mondays 5:30PM – 7:30PM EST (GMT -4 & -5), online; starting August 29, 2022.
 Recorded Lectures (in addition to the Monday live online sessions)
 Course site: on Canvas
 Web conference link will be provided by the school (Canvas/Zoom).

Your Instructors

Dr. Peter Marber

Office Hours: By appointment Email: pmarber@[Link]

Luis Miguel Echeverri, Teaching Assistant Tel. 857-488-8478

Email: echeverri@[Link]

PETER MARBER, PHD is a Wall Street veteran, professor, and writer focused on globalization and financial markets. Since
1987, Marber has professionally managed billions of dollars for many of the world’s largest corporations and financial groups.
An award-winning investor, Marber is Chief Investment Officer for emerging markets at Aperture Investors in New York. He
was previously head of emerging markets for Loomis, Sayles & Co. and served as Chief Business Strategist and global head
of emerging markets debt at HSBC Global Asset Management. Before that, he was founding partner, president and chief
strategist for The Atlantic Funds, which was acquired by HSBC in 2005. He started his career as an emerging markets trader
at UBS Bank, and was founder and president of the emerging markets subsidiaries of Wasserstein, Perella & Company.

Marber has taught at the Harvard Extension School since January 2014 and received the JoAnne Fussa Distinguished
Teaching Award in 2017. He has also taught at Columbia University, Johns Hopkins, and New York University. A prolific
writer, he has authored more than 100 columns and is routinely quoted in the media including CNN, CNBC, The Financial
Times, Reuters, Bloomberg, and The Wall Street Journal. He has published seven books including his latest Quid Periculum?
Measuring and Managing Risk in the Age of Uncertainty (PRS, 2021).  His forthcoming book, Augmented Education in the
Global Age: Artificial Intelligence and the Future of Learning and Work  will be published by Routledge in 2023. He is a
member of Chatham House, the National Space Society, the Royal Economic Society, and a fellow at both the Royal
Astronomical Society and the Royal Society of Arts. Dr. Marber serves on boards for institutions including Columbia’s School
of International and Public Affairs, the Emerging Markets Trade Association, Geolinks, New America, and St. John’s College.
He earned his bachelor’s degree from Johns Hopkins University, master’s from Columbia University, and doctorate from the
University of Cambridge.

LUIS M. ECHEVERRI has over 15 years of corporate experience. He spent the first part of his career in the insurance
industry, transitioning later into the renewable energy and power sector. He currently works at Enel Group, Italian multinational
in the renewable energy sector, where he holds the position of Sr. Director of Insurance. In this role, he leads the insurance
unit of the Enel Group companies in North America, including renewable energy plants across the United States and Canada.
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MGMT 2784 – Fall 2022 Page 1 of 8
Over his career Echeverri has accumulated hands-on experience in North America and Latin America settings, as well as in
start-up, corporate, multinational, non-for-profit, academic, and board settings. He earned his bachelor’s degree in Economics
and International Business from ICESI University (Cali, Colombia) and his master’s degree in Management from Harvard
University. He was born and raised in Colombia and is bilingual. Luis has been a Teaching Fellow at Harvard since January
2014, has worked with M2784 Hedge Funds since its launch, and also works with E1925 Emerging Markets, E1780 Disrupting
Economics, and E5000 Strategic Management graduate courses.

About the Course

Course Format

PLEASE NOTE THIS IS AN ONLINE SYNCHRONOUS COURSE. Students are expected to attend each weekly online
session on Mondays from 5:30-7:30pm EST unless notified differently.
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Course Description and Overview

While beating the markets was long thought to be impossible, hedge funds have seemingly challenged many financial
theories, cracked the mysteries of Wall Street, and made fortunes in the process. They are also one of the fastest growing and
least understood areas in the asset management industry. What exactly are hedge funds? How has the sector developed?
What do hedge fund managers strive to capture and how do they do it? What are the major hedge fund strategies and their
mechanics? What are their hidden-risks and unique limitations? How important are hedge funds to investors, regulators, and
the public? What is it like to manage a hedge fund business?

From both a theoretical and practical perspective, this course is geared to help answer these questions. It surveys the hedge
fund industry from its origins in the 1940s, and explores hedge fund strategies including long/short, event-driven, market
neutral, relative value, dedicated short-bias, convertible arbitrage, emerging markets, fixed income arbitrage, global macro,
managed futures, and multi-sector investing. Students develop an understanding of how hedge fund managers—as well as
hedge fund investors—think, operate, and invest. We’ll also investigate trends affecting the industry.

To relate theories to current practice, weekly sessions will also feature a “Trade of the Week” with accompanying problem
sets. Weekly online session will also feature guest speakers from the finance industry.

While the course is not particularly quantitative, it does require a basic knowledge of math and finance, along with some
modest competency in MS Excel and/or a financial calculator. Prior classes or work experience in finance would also be
useful. Should you have concerns about your background, please contact one of the instructors before the class begins.

Course Materials

This course requires students to work continually throughout the spring term and entails a modest mix of video lectures,
reading, calculations, writing, and discussion. The readings vary each week – sometimes heavy, sometimes light.

Videos and readings should be complete before weekly online session class lectures. Students may find the reading easier
after watching the video lectures (recorded). To keep the class as fresh as possible, the reading list is generally supplemented
by recent Wall Street research, all of which will be posted on the course website. A few case studies will also be required for
purchase, and PDFs of academic literature will be provided on the course website.

The following book is required, and is also available in audiobook format.

Mallaby, Sebastian (2010). More Money than God: Hedge Funds and the Making of a New Elite.

Coursework/Assignments

This is a graduate-level course and graduate-level work, which includes active participation in class discussions and activities
and high-quality written work, is expected. Much of an investment manager’s success depends on a mix of analysis and
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MGMT 2784 – Fall 2022 Page 2 of 8
communication, therefore effective written and oral communication will constitute a significant portion of a student’s grade.
Written work should be clear, logical, grammatically correct, spell-checked, persuasive, supported by examples, and backed
up by citations for any data, ideas or other content used. It should represent the student’s best effort.

Class Participation

Online sessions will focus on current market phenomena, a “trade of the week” discussion, readings, as well as problem sets
to reinforce key concepts. Therefore, students are expected to attend all class sessions, view recorded lectures, and complete
all assigned readings and come prepared to participate. Attendance will be taken, and participation will be evaluated at each
class session. Guest lectures will be scheduled during several live sessions. An online discussion board will also be available
for questions and comments. Class participation will be graded more on quality than on quantity, so contributions should be
relevant, concise and aimed at moving the discussion forward and driving toward insight and understanding. You may miss
one online class session without penalty, but all other absences will result in a zero score for class participation for that
session. Please notify the teaching assistant (via email) prior to the start of class if you will not be in attendance.

Evaluation and Deliverables

This course includes a mix of individual and team deliverables. Students will have six (6) graded deliverables: two team case
presentations, three individual online quizzes, and one individual report. Class participation is also weighted.

A student’s final grade in this course will be based on the following weightings:

Assignment Weight
Team Assignment #1 (Team Case Presentation) 10%
Team Assignment #2 (Team Case Presentation) 10%
Individual Online Quizzes (3) 45%
Individual Report (Strategy Analysis) 30%
Class Participation (online discussions, presentations, etc.) 5%
Total 100%

 Assignments #1 and #2: Team Case Presentations

Each team will be assigned two specific readings that will require a PowerPoint summary of key takeaways, a strategy
example, and online presentation to the class for 20 minutes. All individual team members are required to present during the
two presentations. Sixteen (16) yellow highlighted sections below are the presentation topics to be covered. More details will
be given in the first online session.

 Individual Online Quizzes

Each student will be required to take online quizzes consisting of approximately 20-25 multiple choice or true/false questions
scheduled three times during the semester. NO COLLBORATION IS ALLOWED ON THE INDIVIDUAL ONLINE QUIZZES.

 Individual Report

Each student will be required to write a 1500-2000 report based on questions provided mid-semester due the last week of the
semester. NO COLLBORATION IS ALLOWED ON THE INDIVIDUAL REPORT

Grades reflect the quality of a student’s work submitted throughout the term according to the Harvard Extension School’s
grading standards ([Link]

Course Outline and Schedule

Planned Classes (subject to change)

Due before start of class:

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MGMT 2784 – Fall 2022 Page 3 of 8
Student Financial Knowledge Survey (Link will be sent by instructors)

WEEK 1 – August 29th, 2022

Intro and Lecture 1 Videos
Introduction to Hedge Funds
 History and Development of the Industry
 Academic Investment Theories and Hedge Fund Response
 Introduction to Class Deliverables

Pre-class Reading
Harvard Business School. (2010) “The Hedge Fund Industry,” 9-208-126
Mallaby, S., The Alpha Game, p. 1-14
Mallaby, S., AW Jones, p. 15-40

September 5th, 2022 – NO CLASS

WEEK 2 – September 12th, 2022

Lecture 2 Video
Taxonomy of Broad Hedge Fund Philosophies and Strategies
 Fundamental vs. Technical Philosophies
 Long/Short (including equity long/short, equity market neutral, long bias, short bias, variable bias)
 Tactical Trading (including global macro, managed futures, trend strategies)
 Relative Value (including arbitrage, statistical arbitrage, specialized credit, fixed income arbitrage, convertible)
 Event Driven (including event driven, merger risk arbitrage, distressed, special situation, dedicated short)

Financial Concepts Associated with Hedge Funds

 Standard Deviation/Volatility
 Correlation
 Drawdown
 Distribution of Returns (skewness, kurtosis)
 Leverage
 Risk Parity
 Kelly Criterion
 Efficient Frontier/Black-Litterman

Pre-class Reading
Darden Business Publishing (2003). Risk Exposure and Hedging. UVA-QA-0595 (TEAM 1 PRESENTS)
Harvard Business School (2012). “Teena Lerner: Dividing the Pie at Rx Capital (A).” 406088-PDF-ENG (TEAM 2 PRESENTS)
Evestment (2012). Investment Statistics Guide

Optional Academic Readings

Asness, et al. (2012).”Leverage Aversion and Risk Parity.” Financial Analysts Journal. 68:1
Asness et al., (2001).”Do Hedge Funds Hedge?” Journal of Portfolio Management, Fall 2001; 28, 1
Investment Club. “A Primer on Risk-Parity.”
Da Silva et al. (2009). “The Black-Litterman Model For Active Portfolio Management,” Journal of Portfolio Management, Winter
200 Bocconi 9, 35:2; 61-70 
Idzorek, T. (2005). “A Step-by-Step Guide to the Black-Litterman Model.” Ibbotson & Associates
Malkiel and Saha (2005), “Hedge Funds: Risk and Return,” Financial Analysts Journal, vol. 61, no. 6, 80-88.
Mowery, K. (2013) “Position Sizing Using the Kelly Growth Criterion.” Unpublished.

WEEK 3 – September 19th, 2022:

Lecture 3 Video
Risk Statistics and Ratios for Hedge Funds
• Standard Deviation (volatility)
• Sharpe Ratio
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MGMT 2784 – Fall 2022 Page 4 of 8
 • Sortino Ratio
• Drawdown
• Value at Risk
Long/Short Equity
 Equity Factors

Pre-class Reading
Michael Steinhardt in Mallaby, p.40-61 (TEAM 3 PRESENTS)
Julian Robertson in Mallaby, p. 109-129 (TEAM 3 PRESENTS)
Pappas, S. & Dixon, C. (2015). “Factor-based Investing.” Vanguard Research
Blackstone Group (2016). “Taking Stock: Long/Short Hedge Funds and Equity Replacement.”

Optional Academic Readings

Asness, Moskowitz, and Pedersen (2008), “Value and Momentum Everywhere”.
Brightman, C., & Shepherd, S. (2016). “Systematic Global Macro.” Research Affiliates.
Fama & French (2007), “Dissecting Anomalies,” working paper.
Fama & French (1992), “The Cross-Section of Expected Stock Returns,” Journal of Finance, 47:2 427-465.
Fama & French (1993), “Common Risk Factors in the Return on Stocks and Bonds,” Journal of Financial Economics, 33: 3-56.
Garff, D. (2013).” Multi-Style Global Equity Investing: A Statistical Study on Combining Fundamentals, Momentum, Risk and
Valuation for Improved Performance. Available at SSRN: [Link]
ssrn.2367400
Jegadeesh and Titman (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,”
Journal of Finance, 48:1; 65-91.

WEEK 4 – September 26th, 2022

Lecture 4 Video
Tactical Trading: Global Macro
 Decomposing Risk Premiums in Global Macro

Pre-class Reading
Commodities Corporation in Mallaby, p.62-83 (TEAM 5 PRESENTS)
George Soros in Mallaby, p.83-108 (TEAM 6 PRESENTS)
Goodbar, E. (2012). “Global Macro Styles Examined.” Investment Insights, Mellon Capital.

Optional Academic Readings

Brunnermeier, Nagel, and Pedersen (2008) “Carry Trades and Currency Crashes,” NBER Macroeconomics Annual, 23, 313-
348.
Burnside, Eichenbaum, Kleshchelski, and Rebelo (2006), “The Returns to Currency Speculation,” working paper.

WEEK 5 – October 3rd, 2022

Lecture 5 Video
Guest Lecture (online)
Tactical Trading: Global Macro (Cont’d)
 Carry Trading

Pre-class Readings
Paul Tudor Jones in Mallaby, p. 130-146 (TEAM 7 PRESENTS)
Stanley Druckenmiller in Mallaby, p. 147-171 (TEAM 8 PRESENTS)
Individual Online Quiz #1

Optional Academic Readings

Jurek (2009), “Crash-Neutral Currency Carry Trades,” working paper, Princeton University.
Pojarliev and Levich (2010),”Detecting Crowded Trades in Currency Funds,” Financial Analysts Journal, Jan/Feb, 2011, 26-
39.

October 10th – NO CLASS

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WEEK 6 – October 17th, 2022
Lecture 6 Video
1994 Crisis in Mallaby, p. 172-191 (TEAM 1 PRESENTS)
Long Term Capital, Mallaby, p. 220-247 (TEAM 2 PRESENTS)

Tactical Trading: Global Macro (Cont’d)

Drobny, S. Inside the House of Money (2006); p. xi -70

Optional Academic Readings

Edwards & Liew (1999), “Hedge Funds versus Managed Futures as Asset Classes,” The Journal of Derivatives, Summer.
Harding et al. (2003), “Efficient Diversification: Managed Futures in Portfolios of Hedge Funds,” Winton Capital Management.
Liew (2012) CAIA Level II Book: Chapter 37 Hedge Fund Strategies Trends on Know Factors.
Ribeiro and Loeys (2006), “Exploiting Cross-Market Momentum,” JPMorgan Investment Strategy.
Ribeiro and Loeys (2009), “Markowitz in Tactical Asset Allocation,” JPMorgan Investment Strategy.
Wilcox, C. and Crittenden E. (2005), “Does Trend Following Work on Stocks?” Working Paper Blackstar Funds

WEEK 7 – October 24th, 2022

Guest Lecture Video – Live Q&A

Pre-class Readings:
[Link] Bubble, Mallaby, p. 248-284 (TEAM 3 PRESENTS)
Codebreakers, Mallaby, p. 285-306 (TEAM 4 PRESENTS)

WEEK 8 – October 31st, 2022

Lecture Video: Shorting
Individual Online Quiz #2

Pre-class Readings:
Yale Men in Mallaby, p. 265-284 (TEAM 5 PRESENTS)

WEEK 9 – November 7th, 2022

Lecture Video: Technical Trading
Guest Lecture (live online)
Tactical Trading (Cont’d)
 Exploring Momentum Models

JP Morgan (2015). “Momentum Strategies Across Asset Classes: Risk Factor Approach to Trend Following”

Optional Academic Readings

Dow Theory Forecasts (2015). The Dow Theory
Faith, C. (2002). The Original Turtle Rules
Marber, B. (2007). Marber on Markets: How to make money from charts

WEEK 10 – November 14th, 2022

Video Lecture – Event-Driven Strategies
Video Lecture – Metalastan and Restructuring
Event-Driven Strategies
 Merger Arbitrage (Cash, Stock Swap, Hybrid)
 Distressed Strategies

Pre-Class Readings
Paulson 2008-09 in Mallaby, 323-347
Battilana, J. & Kaplan, R. (2007). “Leslie Brinkman at Versutia Capital,” Harvard Business School, 9-407-089

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MGMT 2784 – Fall 2022 Page 6 of 8
Optional Academic Readings:
Mitchell and Pulvino (2001), “Characteristics of Risk and Return in Risk Arbitrage,” Journal of Finance, 56: 6; 2135-2176
Mitchell, Pulvino, and Stafford (2002), “Limited Arbitrage in Equity Markets,” Journal of Finance, 57; 551-584.

WEEK 11 – November 21st, 2022

Video Lecture – Relative Value
Relative Value Strategies
 Fixed Income Arbitrage, Statistical Arbitrage, Convertible Arbitrage, Pair Trades

Pre-Class Readings:
Banks as Hedge Funds, Mallaby, p. 349-372

Optional Academic Readings:

Avellaneda and Lee (2009), “Statistical Arbitrage in the U.S. Equity Market,” NYU Courant.
Loncarski, Igor, Jenke ter Horst, and Chris Veld (2009),”The Rise and Demise of the Convertible Arbitrage Strategy,” SSRN:
[Link]

WEEK 12 – November 28th, 2022

Video Lecture – Multistrategy/Fund-of-Funds

Pre-Class Readings
Amaranth, in Mallaby, p. 322 -347
Harvard Business School (2013). “Blackstone Alternative Asset Management.” 9-213-129 (TEAM 6 PRESENTS)
Darden Business Publishing (2015). “CalPERS Alternative Return Strategies: Hedge Fund Risk and Return.” UVA-F-1735
(TEAM 7 PRESENTS)

WEEK 13 – December 5th, 2022

No Video
Institutional and Retail Investors in Hedge Funds
Frauds

Pre-Class Readings
Collins, B. “Bernie Madoff’s Ponzi Scheme: Reliable Returns from a Trustworthy Financial Adviser.“ Working paper; Securities
Exchange Commission (TEAM 8 PRESENTS)
Individual Online Quiz #3

WEEK 14 – December 12th, 2022

Diversity and the Hedge Fund Industry
The Future of Hedge Funds
Class-wrap up
Individual Report Due – Thursday December, 16thth midnight (EST)

Pre-Class Readings
Aggarwal, R. & Boyson, N. (2016). “The Performance of Female Hedge Fund Managers,” Review of Financial Economics,
Elsevier, vol. 29©, pages 23-36.
Fletcher, et al (2022). “The Mauling of Tiger Global Tech Stock Sell-off Has Lost Chase Coleman’s Hedge fund $17bn This
Year.” Financial Times.
Schatzer, et al (2022). “Bill Hwang Had $20 Billion, Then Lost It All in Two Days: The fast rise and even faster fall of a trader
who bet big with borrowed money.” Bloomberg

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MGMT 2784 – Fall 2022 Page 7 of 8
 Other Important Information

Accessibility

The Summer School is committed to providing an accessible academic community. The Accessibility Office offers a variety of
accommodations and services to students with documented disabilities. Please visit
[Link] policies/accessibility-services for more information.

Academic Integrity

You are responsible for understanding Harvard Summer School policies on academic integrity
([Link] and how to use sources responsibly. Not knowing the rules,
misunderstanding the rules, running out of time, submitting the wrong draft, or being overwhelmed with multiple demands are
not acceptable excuses. To support your learning about academic citation rules, please visit the Resources to Support
Academic Integrity ([Link] where you will
find links to the Harvard Guide to Using Sources ([Link] and two free online 15-minute tutorials
to test your knowledge of academic citation policy. The tutorials are anonymous open-learning tools.

Publishing or Distributing Course Materials policy information

Students may not post, publish, sell, or otherwise publicly distribute course materials without the written permission of the
course instructor. Such materials include, but are not limited to, the following: lecture notes, lecture slides, video, or audio
recordings, assignments, problem sets, examinations, other students’ work, and answer keys. Students who sell, post,
publish, or distribute course materials without written permission, whether for the purposes of soliciting answers or otherwise,
may be subject to disciplinary action, up to and including requirement to withdraw from the Summer School. Further, students
may not make video or audio recordings of class sessions for their own use without written permission of the instructor.

The Fine Print

Workload. The value you receive from this course will be commensurate with the thought and effort that you put into the
endeavor. Students should expect to spend approximately 6 hours outside of class each week to view the video lectures first,
then read the assigned materials, reflect, and prepare for the next class session.

On Time. Students are expected to arrive to the online classroom on time and stay for the duration of the class session. If
you expect to be late or absent from class – or need to leave early – let the instructors know prior to the start of class.

Deadlines. All assignments must be submitted to the correct assignment drop box on the course website at the specified day
and time and late submissions will not be accepted. Should you experience any internet problems, please call/leave a
message for the instructor – this call should occur before the submission deadline passes. If you are absent the day an
assignment is due, the assignment is still due at the specified day and time. True medical or family emergencies will be dealt
with on a case-by-case basis.

Professional Conduct. Professional behavior is expected throughout the class. This means respectful communication both
inside and outside of class. During discussions, civil discourse should be maintained at all times and comments should be
aimed at moving the discussion forward. This does not mean that students must always agree with others since reasoned,
respectful dissention may be part of the discovery process and lead to previously unconsidered options.

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