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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
