CFA三级知识点必备:Alternative Investment_标准版.docx
AlternativeInvestmentsforPortfolioManagemeCFA三级培训项目讲师:JCY1.HedgeFundStrategies1专业创新增值EquityStrategiesAEquity-relatedhedgefundstrategiesfocusPrimarilyOnStOCkmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.>Typesofequity-relatedhedgefundTheSiZeaRdSigRofequitymaFkeexposeFeoftendictatetheclassificationofequityhedgefundstrategies.AThemainrisk:equity-orientedrisk.>Equity-relatedhedgefundstrategiesLong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityACharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughlyequivalenttoalong-onlyapproachbutwithastandarddeviation50%lowerthanalong-onlyapproach.ThisstrategycantypicallybehandledbybothIimitedPaIlnerandHaHfcH4-type-velLeverageUsage:/Variable:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningfulreturnprofile.>RoleinportfolioLiquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpotentialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedACharacteristicsLowerreturnbutwithanegativeCorTeIationbenefit.MorevolatilethanatypicalL/Sequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.ThisstrategyistypicallyhandledbestinaIimitedpartnerShiPbecauseofdifficultoperationalaspectsofshortselling.LeverageUsage/Low:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.ARoleofportfolioLiquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.EquityMarketNeutral>CharacteristicsRelativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehicles>RoleinportfolioEMNstrategiesareespeciallyattractiveduringPeriodSOfmarketVUlneabilityandWeakneis,sincetheirsourcesofreturnandalphadonotrequireacceptingbetarisk.Event-DrivenStrategiesAToattempttoProfitfromPrediCtingtheOUtCOmeOfCOrPoQteeventsATypesofevent-drivenapproachSoft-catalystevent-drivenapproachHard-catalystevent-drivenapproachAThemainrisk:eventrisk.AEvent-drivenstrategiesMeirgerArbitrage;DistressedSecurities.MergerArbitrageAStrategyimplementationCash-for-stockStock-for-stockacquisition>MergerarbitrageiscomparabletowritinginsuranceOnanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,thehedgefundstandstolosemoney.ACross-bordermergerandacquisition(M&A)wheretwocountriesandtworegulatoryauthoritiesareinvolvedaremorerisky.MergerArbitrageACharacteristicsRelativelyliquidstrategyMarketsensitivityandleft-tailriskattributes(ifthedealsfail)Insurance-Iikeplusashortputoptionwte4artfe¾hvehicleLeverageUsage(high)>RoleinportfolioRelativelyhighSharperatioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.DistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thepriorityofclaims/Seniorsecureddebt(high),/Juniorsecureddebt,/Unsecureddebt,/Convertibledebt,/Preferredstock,/Commonstock(finally).Inre-organization,afirm'scapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised.StrategyimplementationInaIiqUidationsituation,thefocusisondeterminingtheIreCoVeryVKlUefordifferentclassesofclaimants.InaFeOFgaRiZatk)nsit83tiea,thefocusisonhowthefirm'sfinanceswillbeFe允FUGtUFedandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.DistressedSecuritiesCharacteristicsMorevariabilityUsuallylong-biasedRelativelyhighlevelsofilliquidityRoleinportfolioReturnstendtobewlumpyz,andsomewhatcyclical.2.HedgeFundStrategies2Fixed-IncomeArbitrageAToexploitpricinginefficienciesbytakinglongandshortpositionsacrossarangeofdebtsecuritiesAArbitrageopportunitiessourcesDurationCreditqualityLiquidityOptionality>StrategyimplementationMostcommontypesoffixed-incomearbitragestrategies/Consideringyieldcurvetrades/CarrytradesThepayoffprofileofthisfixed-incomearbitragestrategyresemblesaShortPUtC)PtiorLFixed-IncomeArbitrage>CharacteristicsHighcorrelationsfoundacrossdifferentsecuritiesVeryliquidHighIeVerageUSage>RoleinportfolioAfunctionofcorrelationsbetweendifferentsecurities,theyieldspreadavailable,andthehighnumberandwidediversityofdebtsecuritiesacrossdifferentmark