CFA三级基础段：投资组合管理的另类投资（标准版）.docx

AlternativeInvestmentsforPortfolioManagemeCFA三级培训项目讲师：Jcy0%8前城3断A裾PY寸铀i。MtiSessionStudy 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&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTABONSNEWassetAllocabonandrelateddecisionsinportfoliomanagementDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)EQUITYPORTFOLIOMANAGEMENT(l)8i(2)ALTERNA11VEINVESTMENTSFORPORTFOLIOMANAGEMENTNEWPRIVATEWEALTHMANAGEMENT(l)8i(2)NEW)魄即微凿箫Nl三僚也喧肘郦袱NX拄躅EC÷三NEWCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENTNEW11 FrameworkAlternative Investments>SSll:AlternativeInvestmentsforPortfolioManagementR26HedgeFundStrategiesR27AssetAllocationtoAlternativeInvestments MllOverviewOfHedgeFundStrategiesAKeyfeaturesofhedgefundsLowerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.Liquidityconstraintsforinvestors.Highercoststructures.>TypesofhedgefundSingle-managerfund/Oneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfund/Multi-strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund./FOFsOverviewOfHedgeFundStrategiesAKeyfeaturesofhedgefundsLowerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.Liquidityconstraintsforinvestors.Highercoststructures.>TypesofhedgefundSingle-managerfund/Oneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfund/Multi-strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund./FOFs三三三mm?6.-SlnU-l-roEA-nb山,q0rouQSl-FIb：olls6uo-Jsog££lSPUnj6p-c-0l>57w*Scoi>37:*-CEqi.SgBBleeSPUnJ6pqA-nbjoo-w-一lllp-P仁土。Jnsodx¾WBUJAI-nb40u6一SPUBaj5lPUnJmwxP2ea，33b®JosdAl.srlum+-su-ps-JIAlbpu3A-nbU-PBlU-Id>u-S-612Pun+p-CA-nbLLl5>>BWolsUoA-ELUnrDOJS-6IB=SPUnJ6pP一，A-nbujAASOBSeLS>三7Long/ShortEquityAStrategyImplementationIdentifyoverpricedandunderpricedstocks,L/Sequityhedgefundsarestraightforwardtounderstand./Purchases(longpositions)stocksthatwillriseinvalue;/Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)/Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/Smanagers/Useindex-basedshorthedgestoreducemarketrisk./Theymayalsouseindexfundstoachieveadesiredexposure.Overall,long/shortequityinvestinginmostinstancesisamixofextractingalphaonthelongandshortsidesfromsingle-namestockselectioncombinedwithsomenaturallynetlongembeddedbeta.AAnequity-relatedhedgefundstrategywithgrossexposuresof80%longand35%shortismostlikelytobeclassifiedas:A.adedicatedshortstrategy.B.ashort-biasedstrategy.C.along/shortequitystrategy.Solution:CEquityL/Sstrategiestypicallyhavegrossexposuresof70%90%longand20%-50%short.Dedicatedshortstrategiesareusually60%-120%shortatalltimes.Short-biasedstrategiesareusuallyaround30%60%netshort.DedicatedShortSellingandShort-BiasedAThesemanagersIOokforPoOrIymanagedComPani毁firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsseekoutsecuritiesthatareoverpricedinordertosellthemshort.Short-biasedmanagersuseasimilarstrategy,exceptthattheshortpositionissomewhatoffsetbyalongexposure.Activistshortselling,inwhichthefundmanagernotonlytakesashortpositioninastock,butalsopresentsresearchthatcontendsthatthestockisoverpriced.>Onemajorchallengeofbeingashortselleristhatmarketsinevitablyriseovertime,whichcreatesatendencytowardnegativereturnsforshorts.DedicatedShortSellingandShort-BiasedAStrategyImplementationShort-sellingmanagerstypicallytakeabottom-upOPPrOaChbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort./Methods:AltmanZ-score&BeneishM-score.However,althoughsomestockstendtobeattractivetargets,thestock,shighShort-interestratioandhighCoSttoborrow("onSPeCiaI")areveryconcerning.BothfactorssuggestsignificantpotentialthatadangerousShortTqUeeZ2situation.DedicatedShortSellingandShort-BiasedACharacteristicsLowerreturnbutwithanegativeCorTeIationbenefit.MorevolatilethanatypicalL/Sequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.ThisstrategyistypicallyhandledbestinaIimitedpartnerShiPbecauseofdifficultoperationalaspectsofshortselling.LeverageUsage/Low:ThereistypicallySUffiCientnaturalVolatilitythatShOEt-Pellingmanagersdonotneedtoaddmuchleverage.ARoleofportfolioLiquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.EquityMarketNeutralAEquitymarket-neutral(EMN)Equitymarket-neutral(EMN)hedgefundstrategiestakeopposite(i.e.,longandshort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfundsistocreateaportfoliothatnotonlygeneratesalpha,butisalsorelativelyimmunetomovementsintheoverallmarket.ATypesofEMNPairstrading.Twostockswithsimilarcharacteristicsareidentifiedthatarerespectivelyovervaluedandundervalued.Stubtrading.ThisEMNstrategyinvolvesgoinglongandshortsharesofasubsidiaryanditsparentcompany.Multi-classtrading.Thisstrategyentailsgoinglongandshortrelativelymispricedshareclassesofthesamefirm.EquityMarketNeutral>CharacteristicsTheyhaverelativelymodestreturnprofiles,withportfoliosaimedtobemarketneutral,anddifferingconstraintstootherfactorsandsectorexposuresareallowed.Theygenerallyhavehighlevelsofdiversificationandliquidityandlowerstandarddeviation.Shorterhorizonsandmoreactivetrading.HighleverageEMNstrategiestypicallydonotmeetregulatoryleveragelimitsformutualfundvehicles.So,IimitedpartnershipsarethePreferredvehicle.>RoleinportfolioEMNstrategiesareespeciallyattractiveduringperiodsOfmarketVUlnerabilityandweakness,sincetheirsourcesofreturnandalphadonotrequireacceptingbetarisk.AConsideringvariousequity-relatedhedgefundstrategies,astrategythatismostlikelytoapplyrelativelyhighlevelsofleverageis:A.anEMNstrategy.B.adedicatedshortstrategy.C.ashort-biasedstrategy.Solution:AEMNstrategiesusuallyapplysomewhathighlevelsofleverageinordertoproducemeaningfullevelsofreturn.Neitherdedicatedshortstrategiesnorshort-biasedstrategiestypicallymakesignificantuseofleverage.ARelativetootherhedgefundstrategies,EMNstrategiesaremostlikelyto:A.exhibitrelativelymodestreturns.B.bevulnerabletoperiodsofmarketweakness.C.earnreturnfromalphaandbetarisk.Solution:AComparedtovariousotherhedgefundstrategies,EMNstrategiesgenerallyhaverelativelymodestreturnprofiles.EMNfunds'primarysourceofreturnisalpha.Theydonottakeonbetarisk.TheirlackofmarketexposuremakeEMNstrategiesattractiveinperiodsofmarketweakness.>LingChang,aHongKong-basedEMNmanager,hasbeenmonitoringPepsiCoInc.(PEP)andCoca-ColaCo.(KO),twoglobalbeverageindustrygiants.AfterexaminingtheAsiamarketingstrategyforanewPEPdrink,Changfeelsthemarketingcampaignistoocontroversialandtheoverallmarketistoonarrow.AlthoughPEPhasrelativelyweakearningsprospectscomparedtoKO,3-monthvaluationmetricsshowPEPsharesaresubstantiallyovervaluedversusKOshares(relativevaluationshavemovedbeyondtheirhistoricalranges).Aspartofalargerportfolio,Changwantstoallocate$1milliontothePEPversusKOtradeandnotesthehistoricalbetasandS&P500Indexweights,asshowninthefollowingtable.StockBetaS&P500IndexWeightPEP0.650.663KO0.550.718DiscusshowChangmightimplementanEMNpairstradingstrategy.Solution:ChangshouldtakeashortpositioninPEPandalongpositioninKOwithequalbeta-weightedexposures.GivenChangwantstoallocate$1milliontothetrade,shewouldtakeonalongKOpositionof$1million.Assumingrealizedbetaswillbesimilartohistoricalbetas,toachieveanequalbeta-weightedexposurefortheshortPEPposition,Changneedstoshort$846,154worthofPEPshares=-$1,000,000/(0.65/0.55).OnlytheoveralldifferenceinperformancebetweenPEPandKOshareswouldaffecttheperformanceofthestrategybecauseitwillbeinsulatedfromtheeffectofmarketfluctuations.Ifoverthenext3monthsthevaluationsofPEPandKOreverttowithinnormalranges,thenthispairstradingEMNstrategyshouldreapprofits.Event-DrivenStrategiesAEvent-drivenhedgefundstrategiesarethosethatattempttoProfitfromPrediCtingtheOUtComeOfCOrPorateevents,suchasbankruptcies,mergers,restructurings,acquisitions,etcetera.”Typesofevent-drivenapproachSoft-catalystevent-drivenapproach/InvestmentscanbemadeeitherproactivelyinanticipationofaneventthathasyettooccurHard-catalystevent-drivenapproach/investmentscanbemadeinreactiontoanalreadyannouncedcorporateeventinwhichsecuritypricesrelatedtotheeventhaveyettofullyconvergeThehardapproachisgenerallylessvolatileandlessriskythansoft-catalystinvesting.”Themainrisk:eventrisk.三三三mS三3Spass匕SQ6Bc<JP工sgnsc>c>wAMc>Q>c>«MergerArbitrageAStrategyimplementationCash-for-stock，Inacash-for-stockacquisition,theacquiringcompany（八）offersthetargetcompany(T)acashpricepersharetoacquireT./Themanagerbuysthetargetcompany(T).Stock-for-stockacquisition/Aoffersaspecificnumberofitssharesinexchangefor1Tshare./ThemanagerbuysT日ndsel5the日CqUiFingcompany（八）inthesameratioastheoffer.>MergerarbitrageiscomparabletoWFitinginsuranceOnanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,however,thenthehedgefundstandstolosemoney,analogoustoaninsurancecompanymakingapayout.ACross-bordermergerandacquisition(M&A)wheretwocountriesand23-133tworegulatoryauthoritiesareinvolvedaremorerisky.多此*创新ISiiMergerArbitrageACharacteristicsRelativelyliquidstrategy.Ifthedealsfail,thisstrategyhasmarketsensitivityandIeft-taiIriskattributes.Itsreturnprofileisinsurance-likeplusashortputoption.ThepreferredvehicleisIimitedPartnerShiPbecauseofmergerarbitrage'suseofsignificantleverage,butsomelow-leverage,low-volatilityliquidaltsmergerarbitragefundsdoexist.LeverageUsage:/High:typicallyapply300%-500%leverageinordertoachieveIow-double-digitreturns.>RoleinportfolioRelativelyhighSharperatioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.MergerArbitrageAAnacquiringfirm（八）istradingat$45/shareandhasofferedtobuytargetfirm(T)inastock-for-stockdeal.Theofferratiois1shareofAinexchangefor2sharesofT.TargetfirmTwastradingat$15persharejustpriortotheannouncementoftheoffer.Shortlythereafter,T,ssharepricejumpsupto$19whileA,ssharepricefallsto$42inanticipationofthemergerreceivingrequiredapprovalsandthedealclosingsuccessfully.Ahedgefundmanagerisconfidentthisdealwillbecompleted,sohebuys20,000sharesofTandsellsshort10,000sharesofA.AWhatarethepayoffsofthemergerarbitragestrategyifthedealissuccessfullycompletedorifthemergerfails?MergerArbitrageASolution:Atcurrentpricesitcosts$380,000tobuy20,000sharesofT,and$420,000wouldbereceivedforshortselling10,000sharesofA.Thisprovidesanetspreadof$40,000tothehedgefundmanagerifthemergerissuccessfullycompleted.Ifthemergerfails,thenpricesshouldreverttotheirpre-mergerannouncementlevels.Themanagerwouldneedtobuyback10,000sharesofAat$45(costing$450,000)toclosetheshortposition,whilethelongpositionin20,000sharesofTwouldfallto$15pershare(valueat$300,000).Thiswouldcauseatotallossof$110,000=(A:+$420,000-$450,000)+(T:-$380,000+$300,000).Insum,thismergerstrategyisequivalenttoholdingarisklessbondwithafacevalueof$40,000(thepayoffforasuccessfuldeal)andashortbinaryputoption,whichexpiresworthlessifthemergersucceedsbutpaysout$110,000ifthemergerfails.DistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thefirm,sassetsaresoldoffandsecuritiesholdersarepaidsequentiallybasedonpriorityoftheirclaims/Seniorsecureddebt(high),/Juniorsecureddebt,/Unsecureddebt,/Convertibledebt,/Preferredstock,/Commonstock(finally).Inre-organization,afirm,scapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised./Debtholderseithermayagreetomaturityextensionsortoexchangingtheirdebtfornewequityshares(existingsharesarecanceled)thataresoldtonewinvestorstoimprovethefirm,sfinancialcondition.DistressedSecuritiesStrategyimplementationInaIiqUidatiOnsituation,thefocusisondeterminingtherecoveryValUefordifferentclassesofclaimants./Ifthefundmanager,sestimateofrecoveryvalueishigherthanmarketexpectations,perhapsduetoilliquidityissues,thenhe/shecanbuytheundervalueddebtsecuritiesinhopesofrealizingthehigherrecoveryrate.Inareorganizationsituation,thehedgefundmanager,sfocusisonhowthefirm,sfinanceswillberestructuredandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.DistressedSecuritiesCharacteristicsThereturnprofilefordistressedsecuritiesinvestingistypicallyatthehigherendofevent-drivenstrategiesbutwithmorevariability.Outrightshortsorhedgedpositionsarepossible,butdistressedseHt4es4Rves4s5yaUy4otg-+Itissubjecttosecurityspecificoutcomesbutstillimpactedbythehealthofthemacroeconomy.Distressedsecuritiesinvestingtypicallyentailsrelativelyhighlevelsofilliquidity,especiallyifusingaconcentratedactivistapproach.Leverage:generallyUHeSmoderatetoIOWleverage.RoleinportfolioReturnstendtobe"lumpy"andsomewhatcyclical.Distressedinvestingisparticularlyattractiveintheearlystagesofaneconomicrecoveryafteraperiodofmarketdislocation.Example>Aninvestmentindistressedsecuritiesismostlikelytobecharacterizedby:A.alongbias.B.ahighlevelofliquidity.C.alargeamountofleverage.Solution:AWhileshortpositionsarepossibleindistressedsecuritiesinvesting,itisusuallylongbiased.Illiquiditytendstobehigh,andthestrategygenerallyusesmoderatetolowleverage.Example>Inasequentialpayoffduringaliquidation,thesecurityholderthatismostlikelytobepaidofffirstistheholderof:A.juniorsecureddebtB.convertibledebt.C.preferredstock.Solution:AWhenafirm,sassetsaresoldoffinliquidation,securitiesholdersarepaidsequentiallydependingonthepriorityoftheirclaims:firstseniorsecureddebt,thenjuniorsecureddebt,unsecureddebt,convertibledebt,preferredstock,andlastlycommonstock.三三三m)BJI-qVpuog-qt>UODl6elc<lLUoZJU'lplx