THIS IS A DRAFT SYLLABUS SUBJECT TO REVISION. PLEASE CHECK BACK PERIODICALLY FOR UPDATES.
AS OF MARCH 22, 2021

HARVARD

MGMT-2784 ONLINE
Hedge Funds: History, Strategies, and Practice
(Online Live Web Conference)
Course Syllabus – SUMMER 2021
Course Logistics

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Day and Time: [XXX and XXX 6:30PM – 9:30PM EST (GMT -4 & -5), online; starting [XXX]
Recorded Lectures (in addition to live online sessions)
Course site: on Canvas
Web conference link will be provided by the school (Canvas/Zoom).

About the Course
Course Format
PLEASE NOTE THIS IS AN ONLINE COURSE. Students are expected to attend each weekly online session on XXX from
6:30-9:30pm EST unless notified differently.
-------------------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.

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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
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 five (5) graded deliverables: one 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
Team Assignment (Team Case Presentation)
Individual Online Quizzes (3)
Individual Report (Strategy Analysis)
Class Participation (online discussions, presentations, etc.)
Total

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Weight
10%
45%
40%

5%
100%

Assignments #1: Team Case Presentation

Each team will be assigned a specific reading 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
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presentation. Sixteen (16) yellow highlighted sections below are the presentation topics to be covered. More details will be
given in the first online session.

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Individual Online Quizzes

Each student will be required to take online open-note quizzes consisting of approximately 15 multiple choice or true/false
questions scheduled three times during the semester. NO COLLBORATION IS ALLOWED ON THE INDIVIDUAL ONLINE
QUIZZES.

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Individual Report

Each student will be required to write a 1200-1500 word 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 Summer School’s
grading standards here: />
Your Instructors
Dr. Peter Marber
Office Hours: By appointment
Luis Miguel Echeverri, Teaching Assistant

Email:
Tel. 857-488-8478
Email:

PETER MARBER, PHD is a Wall Street veteran, professor, and writer focused on globalization and financial markets. Since
1987, he has professionally managed billions of dollars for many of the world’s largest institutions. An award-winning macro
investor, Marber currently is Chief Investment Officer for emerging markets at Aperture Investors in New York. He previously
headed 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 Investment
Officer 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 been a faculty member at Harvard since January 2014, and he received the J. Fussa Award for Distinguished
Teaching in 2017. In addition to Harvard, Dr. Marber lectures in finance at the Carey School of Business at Johns Hopkins. He
has also directed the Global Economy program at NYU’s Center for Global Affairs, and taught at Columbia University for
twenty years. An author of 100+ articles, Marber has been quoted by CNN, CNBC, the Financial Times, Reuters, Bloomberg,
and the Wall Street Journal. He serves on boards and/or is a member of Chatham House, the Emerging Markets Trade
Association, New America, the Royal Economic Society, and St. John’s College, among other institutions. Marber is also a
fellow of the Royal Society of Arts. He has published seven books including From Third World to World Class: The Future of
Emerging Markets in the Global Economy (1998, 1999; Basic) Money Changes Everything: How Global Prosperity is
Reshaping Our Needs, Values, and Lifestyles (2004, FT Prentice Hall); Seeing the Elephant: Understanding Globalization
from Trunk to Tail (2009, John Wiley); Higher Education in the Global Age: Policy, Practice and Promise in Emerging Societies
with (with Araya; 2013, Routledge); Brave New Math: Information, Globalization, and New Economic Thinking in the 21st

Century (2015, World Policy); and The Evolution of Liberal Arts in the Global Age (with Araya; 2017, Routledge). His latest
book is QUID PERICULUM? Measuring and Managing Political Risk in the Age of Uncertainty (with McKee; 2021, PRS). Dr.
Marber earned his bachelor’s from Johns Hopkins, master’s from Columbia, 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 energy and power sector. He currently works at Enel, Italian multinational in the energy
sector, where he holds the position of Sr. Director of Insurance. In this role, he leads the insurance unit and risk management
of all the Enel business lines and renewable energy plants across the United States and Canada.
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Over his career Echeverri has accumulated hands-on experience in North America and Latin America, as well as in start-up,
corporate, multinational, non-profit, academic, and board settings. He earned his bachelor’s 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, and also works
with E1925 Emerging Markets, E1780 Disrupting Economics and E500 Strategic Management graduate courses.
Course Outline and Schedule
Planned Classes (subject to change)
Due before start of class:
Student Financial Knowledge Survey (Link will be sent by instructors)
WEEK 1 – Module 1
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
WEEK 1 – Module 2
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)
Evestment (2012). Investment Statistics Guide
Michael Steinhardt in Mallaby, p.40-61 (TEAM 2 PRESENTS)
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
Bocconi Investment Club. “A Primer on Risk-Parity.”
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Da Silva et al. (2009). “The Black-Litterman Model For Active Portfolio Management,” Journal of Portfolio Management, Winter
2009, 35:2; 61-70
Idzorek, T. (2005). “A Step-by-Step Guide to the Black-Litterman Model.” Ibbotson & Associates
Mowery, K. (2013) “Position Sizing Using the Kelly Growth Criterion.” Unpublished.
WEEK 2 – Module 1
Lecture 3 Video
Risk Statistics and Ratios for Hedge Funds
• Standard Deviation (volatility)
• Sharpe Ratio
• Sortino Ratio
• Drawdown
• Value at Risk
Long/Short Equity
• Equity Factors
Pre-class Reading
Julian Robertson in Mallaby, p. 109-129 (TEAM 3 PRESENTS)
Pappas, S. & Dixon, C. (2015). “Factor-based Investing.” Vanguard Research (PDF on Canvas)
Blackstone Group (2016). “Taking Stock: Long/Short Hedge Funds and Equity Replacement.”(PDF on Canvas)
Optional Academic Readings
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: or />Jegadeesh and Titman (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,”

Journal of Finance, 48:1; 65-91.
WEEK 2 – Module 2
Lecture 4 Video
Tactical Trading: Global Macro
• Decomposing Risk Premiums in Global Macro
Pre-class Reading
Commodities Corporation in Mallaby, p.62-83 (TEAM 4 PRESENTS)
George Soros in Mallaby, p.83-108 (TEAM 5 PRESENTS)
Goodbar, E. (2012). “Global Macro Styles Examined.” Investment Insights, Mellon Capital.
Geoquant White Paper (PDF on Canvas)
Geoquant - Covid-19 (2020) (PDF on Canvas)
State Street (2020) – Alternative Data (PDF on Canvas)
WEEK 3 – Module 1
Lecture 5 Video
Tactical Trading: Global Macro (Cont’d)
• Carry Trading
• FX-focused Global Macro Strategies
Pre-class Readings
Paul Tudor Jones in Mallaby, p. 130-146 (TEAM 6 PRESENTS)
Stanley Druckenmiller in Mallaby, p. 147-171 (TEAM 7 PRESENTS)
Drobny, S. Inside the House of Money, xi -70 (PDF on Canvas)
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WEEK 3 – Module 2
Lecture 6 Video

Global Macro Wrap-up/Intro to Relative Value
1994 Crisis in Mallaby, p. 172-191 (TEAM 8 PRESENTS)
Long Term Capital, Mallaby, p. 220-247 (TEAM 9 PRESENTS)
Individual Online Quiz #1

WEEK 4 – Module 1
Intro to Technical Trading
Video Lecture Link
Pre-class Readings:
Dot.Com Bubble, Mallaby, p. 248-284 (TEAM 10 PRESENTS)
Codebreakers, Mallaby, p. 285-306 (TEAM 11 PRESENTS)
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 4 – Module 2
Video Lecture – Event-Driven Strategies
Video Lecture – Metalastan and Restructuring
Event-Driven Strategies
• Merger Arbitrage (Cash, Stock Swap, Hybrid)
• Distressed Strategies
Pre-Class Readings
Yale Men in Mallaby, p. 265-284 (TEAM 12 PRESENTS)
WEEK 5 – Module 1
Running a Hedge Fund Business
Pre-class Readings:
Battilana, J. & Kaplan, R. (2007). “Leslie Brinkman at Versutia Capital,” Harvard Business School, 9-407-089 (TEAM 13
PRESENTS)
WEEK 5 – Module 2

The Hedge Fund Industry
Online Quiz #2
Pre-Class Readings:
Harvard Business School (2013). “Blackstone Alternative Asset Management.” 9-213-129 (TEAM 14 PRESENTS)
ProShares Hedge Replication ETF (PDF on Canvas)
WEEK 6 – Module 1
Video Lecture – Relative Value
Relative Value Strategies
• Fixed Income Arbitrage, Statistical Arbitrage, Convertible Arbitrage, Pair Trades
Pre-Class Reading:
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Darden Business Publishing (2015). “CalPERS Alternative Return Strategies: Hedge Fund Risk and Return.” UVA-F-1735
(TEAM 15 PRESENTS)
WEEK 6 – Module 2
Video Lecture – Multistrategy/Fund-of-Funds
Pre-Class Readings
Amaranth, in Mallaby, p. 322 -347
WEEK 7 – Module 1
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 7– Module 2

Diversity and the Hedge Fund Industry
The Future of Hedge Funds
Class-wrap up
Individual Report Due – (final date TBD)
Pre-Class Readings
Assorted articles to be provided in PDF form
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
policies/accessibility-services for more information.
Academic Integrity
You are responsible for understanding Harvard Summer School policies on academic integrity
( 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 ( where you will
find links to the Harvard Guide to Using Sources () and two free online 15-minute tutorials
to test your knowledge of academic citation policy. The tutorials are anonymous open-learning tools.
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.

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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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