CFA三级强化班培训项目：投资组合的另类投资管理_标准版.docx

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1、AlternativeInvestmentsforPortfolioManagement匚fOISessionStudy Session 1-2Study Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11Study Session 12-13Study Session 14Study Session 15Study Session 16TopicinCFALevelIIIContentETHICS&PROFESSIONALSTANDA

2、RDS&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTATIONS!NEWASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVAESANDCURRENCYMANAGEMENT!NEWFIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)EQUITYPORTFOLIOMANAGEMENT(1)&(2)保隅智期Hl)脚NP&删ANAGEMENTNEWi耨；KK彳眼能帖朗留眩歌氏喋心似NX拴睡EcffewiNEWiCASESINPORTFOLIOMANAGEMENTANDRISK

3、MANAGEMENTINEW FrameworkAlternative InvestmentsSSll:AlternativeInvestmentsforPortfolioManagementR26HedgeFundStrategiesR27AssetAllocationtoAlternativeInvestments专业创新T曾值HedgeFundStrategiesOverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexib

4、lemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-

5、Strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund.FOFsEquityStrategiesEquity-relatedhedgefundstrategiesfocusPrimariIyOCStoCkmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundTheSiZ

6、eandSignOfequitymarketexposureoftendictatetheclassificationofequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategies1.ong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityStrategyImplementationIdentifyoverpricedandunderpricedstocks.Purchases(long

7、positions)stocksthatwillriseinvalue;Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/SmanagersUseindex-basedshorthedgestoreducemarketrisk.Useindexfundstoachieveadesiredexposure.

8、Long/ShortEquityCharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughlyequivalenttoalong-onlyapproachbutwithastandarddeviation50%Iowerthanalong-onlyapproach.ThisstrategycantypicallybehddledbybothIimitedBeerandHFH共uaLfund-tvpevehicles.1.everageUsage:Variable

9、:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningfulreturnprofile.Roleinportfolio1.iquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpote

10、ntialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedPooPymanagedcompanies,firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsShort-biasedActivistshortsellingOnemajorchallenge:marketsinevitablyriseovertime,whichcreatesatendencytowardne

11、gativereturnsforshorts.StrategyImplementationTakeabottom-up叩PnDaChbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort.Methods:AltmanZ-score&BeneishM-score.DedicatedShortSellingandShort-BiasedCharacteristics1.owerreturnbutwithanegativeCOiTelatiOnbenefit.MorevolatilethanatypicalL/Sequityh

12、edgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.ThisstrategyistypicallyhandledbestinalimitedpaeFshipbecauseofdifficultoperationalaspectsofshortselling.1.everageUsage1.ow:Thereistypicallysufficientnatur

13、alvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.Roleofportfolio1.iquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.与我创新增值EquityMarketNeutralEquitymarket-neutral(EMN)Takeopposite(i.e.,longandsh

14、ort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfunds:1)togeneratealpha,2)tobeimmunetomovementsintheoverallmarketTypesofEMNPairstrading.Stubtrading.Multi-classtrading.Strategyimplementation1)toincludeOnlytradableSeCUritieSWithSUffiCientliqUidityandadequateShOHt-

15、Sellingpotential2)toanalyzeforbuyandSellOPPortUnitieSIISingfundamentalmodelsand/orstatisticalandmomentum-basedmodels3)tomaintainmarketriskneutmlity4)toConsidertheavailabilityandcostofleverageintermsofdesiredreturnprofileandacceptablepotentialportfoliodrawdownriskEquityMarketNeutralCharacteristicsRelativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehiclesRoleinportfo