CFA三级知识点必备：Alternative Investment_标准版.docx

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1、AlternativeInvestmentsforPortfolioManagemeCFA三级培训项目讲师：JCY1.HedgeFundStrategies1专业创新增值EquityStrategiesAEquity-relatedhedgefundstrategiesfocusPrimarilyOnStOCkmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundTheSiZeaRdSigRofequitymaFkeex

2、poseFeoftendictatetheclassificationofequityhedgefundstrategies.AThemainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategiesLong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityACharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughly

3、equivalenttoalong-onlyapproachbutwithastandarddeviation50%lowerthanalong-onlyapproach.ThisstrategycantypicallybehandledbybothIimitedPaIlnerandHaHfcH4-type-velLeverageUsage:/Variable:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningf

4、ulreturnprofile.RoleinportfolioLiquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpotentialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedACharacteristicsLowerreturnbutwithanegativeC

5、orTeIationbenefit.MorevolatilethanatypicalL/Sequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.ThisstrategyistypicallyhandledbestinaIimitedpartnerShiPbecauseofdifficultoperationalaspectsofshortsel

6、ling.LeverageUsage/Low:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.ARoleofportfolioLiquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.EquityMarketNeutralChar

7、acteristicsRelativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehiclesRoleinportfolioEMNstrategiesareespeciallyattractiveduringPeriodSOfmarketVUlneabilityandWeaknei

8、s,sincetheirsourcesofreturnandalphadonotrequireacceptingbetarisk.Event-DrivenStrategiesAToattempttoProfitfromPrediCtingtheOUtCOmeOfCOrPoQteeventsATypesofevent-drivenapproachSoft-catalystevent-drivenapproachHard-catalystevent-drivenapproachAThemainrisk:eventrisk.AEvent-drivenstrategiesMeirgerArbitrag

9、e;DistressedSecurities.MergerArbitrageAStrategyimplementationCash-for-stockStock-for-stockacquisitionMergerarbitrageiscomparabletowritinginsuranceOnanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,thehedgefundstandstolosemoney.ACross-border

10、mergerandacquisition(M&A)wheretwocountriesandtworegulatoryauthoritiesareinvolvedaremorerisky.MergerArbitrageACharacteristicsRelativelyliquidstrategyMarketsensitivityandleft-tailriskattributes(ifthedealsfail)Insurance-Iikeplusashortputoptionwte4artfehvehicleLeverageUsage(high)RoleinportfolioRelativel

11、yhighSharperatioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.DistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thepriorityofclaims/Seniorsecureddebt(high),

12、/Juniorsecureddebt,/Unsecureddebt,/Convertibledebt,/Preferredstock,/Commonstock(finally).Inre-organization,afirmscapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised.StrategyimplementationInaIiqUidationsituation,thefocusisondeterminingtheIreCoVeryVKlUefordifferentclassesofcl

13、aimants.InaFeOFgaRiZatk)nsit83tiea,thefocusisonhowthefirmsfinanceswillbeFe允FUGtUFedandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.DistressedSecuritiesCharacteristicsMorevariabilityUsuallylong-biasedRelativelyhighlevelsofilliquidityRoleinportfolioReturnstendt

14、obewlumpyz,andsomewhatcyclical.2.HedgeFundStrategies2Fixed-IncomeArbitrageAToexploitpricinginefficienciesbytakinglongandshortpositionsacrossarangeofdebtsecuritiesAArbitrageopportunitiessourcesDurationCreditqualityLiquidityOptionalityStrategyimplementationMostcommontypesoffixed-incomearbitragestrateg

15、ies/Consideringyieldcurvetrades/CarrytradesThepayoffprofileofthisfixed-incomearbitragestrategyresemblesaShortPUtC)PtiorLFixed-IncomeArbitrageCharacteristicsHighcorrelationsfoundacrossdifferentsecuritiesVeryliquidHighIeVerageUSageRoleinportfolioAfunctionofcorrelationsbetweendifferentsecurities,theyieldspreadavailable,andthehighnumberandwidediversityofdebtsecuritiesacrossdifferentmark