Title: Forensic Analysis of Hedge Funds - Detecting Leverage and Fraud
Speaker: Michael Markov, Markov Processes International LLC (MPI)
Date: Monday, May 7, 2007 11:15 - 12:45 pm**
Location: DyDan Center, CoRE Bldg, Room 431, Rutgers University, Busch Campus, Piscataway, NJ
**Please note special time
Abstract:
The subject of this talk is the application of dynamic analysis of financial time series data in detecting of fraud and other suspicious and de-stabilizing activity of financial institutions. Mr. Markov will present a methodology - Dynamic Style Analysis (DSA) that helps to detect hidden risks, leverage and even alert to possible fraud using only financial performance data. The focus of this presentation will be on hedge funds - extremely active, secretive and largely unregulated pools of assets.
The hedge fund industry has grown rapidly over the past decade to over $1 trillion in assets and over 8,000 funds. At the same time, the amount of information on hedge funds available to investors is negligible as compared to traditional investment products such as mutual funds. In most cases, the only available information on a hedge fund is a time series of monthly performance numbers and a vague description of the strategy.
The hedge fund industry for the most part remains unregulated. Hedge funds amassed significant amounts of assets and investment in very risky assets and through leverage could lead to destabilizing world markets. In addition, some hedge funds frequently manipulate their performance data and unsuspected investors become victims of outright fraud.
A number of case studies will be presented. These include cases of fraud such as The Bayou Fund and The Manhattan Fund where investors were defrauded of hundreds of millions of dollars, and also cases of extremely high leverage which caused disruption of world financial markets like the Soros' Quantum Fund and Long Term Capital (LCTM).
Speaker Information:
MPI is a world leading provider of analytical financial software with offices in the USA, Europe and Japan. Michael Markov is a co-founder of MPI and a developer of the core analytical methodologies. He is a recognized expert in performance analysis and hedge fund forensics and is a frequent speaker at industry conferences and seminars both in the US and overseas.