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,andthehighnumberandwidediversityofdebtsecuritiesacrossdifferentmarkets.ConvertibleBondArbitrageAAcombinationofstraightdebtplusalongequitycalloptionwithanexercisepriceequaltothestrikepricetimestheconversionratio(ConVerSiOnvalue).>StrategyimplementationBuythefetivelym4e÷=VakedconvertiblebondTakeashortpositionintherelativelyOVerValUCdunderlyingstockConvertibleBondArbitrageACharacteristicsToextractandbenefitfromthisstructurallycheapsourceofimpliedvolatilitybydeltahedgingandgammatradingshortequityhedgesagainsttheirlongconvertibleholdingsLiquidityissuessurfaceforconvertiblearbitragestrategiesintwoways:/1)naturallyIess-Iiquidsecurities/2)availabilityandcosttoborrowunderlyingequityforshortsellingHighlevelsofleverageARoleinportfolioConvertiblearbitrageworksbestduringPerie)dsofhighConVCIlibleissuance,Pnoderatevogtility,andreasonablemarketliquidity.GlobalMacroStrategiesACharacteristicsTheuseofleverageThekeysourceofreturnsrevolvesaroundcorrectlydiscerningandcapitalizingontrendsinglobalmarkets.ARoleinportfolioGlobalmacrocanbeveryusefuloverafullmarketcycleintermsofportfoliodiversificationandalphageneration.ManagedFuturesACharacteristicsHighlyliquidMoresystematicapproachSomewhatcyclicalandmorevolatileendofthespectrumofhedgefundstrategies(withvolatilitypositivelyrelatedtothestrategy'stimehorizon)HighleverageARoleinportfolioReturnsofmanagedfuturesstrategiestypicallyexhibitpositiverighttailskewnessinperiodsofmarketstress,whichisveryusefulforportfoliodiversification.VolatilityTradingAThegoalistosourceandbuycheapvolatilityandsellmoreexpensivevolatilitywhilenettingoutthetimedecayaspectsnormallyassociatedwithoptionsportfolios.>TypeofrelativevaluevolatilitytradingTime-zonearbitrageCross-assetvolatilitytradingVolatilityTradingACharacteristicsPositiveconvexityLiquidityvariesacrossthedifferentinstrumentsOutsizedgainswithverylittleup-frontrisk.ARoleinportfolioAusefulsourceofportfolioreturnalphaacrossdifferentgeographiesandassetclasses.Reinsurance/LifeSettlementsAStrategyimplementationThehedgefundwouldlookforthefollowingpolicycharacteristics:/1)thelowsurrender/2)thelowongoingpremiumpayments/3)therelativelyhighprobabilitythatthedesignatedinsuredpersonisindeedlikelytodiewithinacertainperiodoftimeOnfindingtheGPProPriate,topayalumpsum(viaabroker)tothepolicyholder(s)Valuationmethodsforcatastropheinsurancemayrequirethehedgefundmanagertoconsiderglobalweatherpatternsandmakeforecasts.Reinsurance/LifeSettlementsACharacteristicsLifeinsuranceprotectsthepolicyholder'sdependentsinthecaseofhis/herdeath.Ahedgefundstrategyfocusingonlifesettlementsinvolvesanalyzingpoolsoflifeinsurancecontractsbeingofferedforsale.Organizedmarketsforcatastrophebondsandcatastropheriskfuturescontinuetodevelop.ARoleinportfolioAveryappealingfeatureofinsuranceinvestmentsinaportfolioisthattheriskinherentinthesestrategiesisalmostentirelyuncorrelatedwithmarketrisksandbusinesscycles.3.Multi-ManagerStrategiesMulti-ManagerStrategiesAThreemainapproaches:1)Creatingone'sownmixofmanagersbyinvestingdirectlyintoindividualhedgefundsrunningdifferentstrategies;2)Fund-of-funds;3)Multi-Strategyfunds.Fund-of-FundsCharacteristicsTobeimportantforsmallerhigh-net-worthinvestorsandsmallerinstitutionsLeveredcapitaltoFoFs.OtherattractivefeaturesMorediversestrategymixbutwithlesstransparencyandSlowertacticalreactiontimeRoleinportfolioBycombiningdifferentandideallylesscorrelatedstrategies,aFoFportfolioshouldprovidemorediversification,lessextremeriskexposures,lowerrealizedvolatility,andgenerallylesssinglemanagertailriskthandirectinvestinginindividualhedgefundstrategies.Multi-StrategyHedgeFundsAStrategyimplementationTocombinemultiplehedgefundstrategiesunderthesamehedgefundstructureACharacteristicsTogenerallyOUtPerformWithmorevarianceandoccasionallargelossesoftenrelatedtotheirhigherleverageToofferpotentiallyfastertaeticalassetallocativnandimpfovedfeestructure(nettingriskhandledatstrategylevel)butwithhighermanager-specificoperationalrisksToimposeinvestor-levelorfund-levelgatesonmaximumredemptionsallowedperquarterTobesomewhatmorepronetoleft-tailblow-upriskinstressperiodsMoreresilientARoleinportfolioThemulti-strategymanagercanreactfastertodifferentreal-timemarketimpacts.B4.AssetAllocationtoAlternativeInvestments专业创新增值RolesinMulti-AssetPortfolios-AlternativesAOverall,thegoalofaddingalternativeinvestmentstoaportfolioismostoftentoimprovetheportfolio'sriskandreturnsprofile.Exhibit1AlternativeInvestmentsintheRisk/RewardContinuumHedgeFundsRealAssetsPrivateCreditRiskReducingPrivateRealAssetsPrivateEquityRiskEnhancingDiversifyingEquityrisks:ShortTimeHorizonAForashortinvestmenthorizon,theprimaryriskisreturnsvolatility.ATobebiaseddownwardforanumberofreasons:Appraisal-basedvaluationsSamplingbiases,suchassurvivorshipbiasandbackfillbiasIl鹿围三muo=eys.lo>p,OM-wolpequevc三>c>ra<AluU-OAOtumoo0uPEnbCUUlntU-U-EB6U-AglPBJoFI=BJLS->S一A-JBijU一ddoNOX三6uo-Bq-MAUONKOHH6uo"j:S*-A-nbujc>三3.InvestmentOpportunitySetExhibit14(Continued)AssetClassesEquitySizeValueLiquidityNominalDurationInflationCreditSpreadCurrencyR-squaredHedgeFunds0.30.10.60.74HFMacro0.20.21.93.1-0.90.10.28HFEquityMkt.0.10.14Neut.HFEquityHedged0.50.72HFDistressed0.10.21.80.72Commodities18.00.80.36PublicRealEstate0.94.60.90.38PrivateRealEstate0.20.12.40.20Buyout&Growth0.60.2-0,30.10.70EquitiesVentureCapital0.80.6-L80.20.385.ApproachestoAssetAllocation专业创新增值AAsuggestedapproachtoincludingalternativeinvestmentsinanassetallocationdecisionistodoitintwostages:Firstwithonlythetraditionalassetclasses;Thenalsoconsideringalternativeinvestments./Thesecondprocesscanbeassistedbystatisticaltoolssuchas:MonteCarlosimulation.Mean-varianceoptimization.Riskfactorbasedoptimization./Theseapproachescanbeusedindividuallyorincombination.AMonteCarlosimulation1)TosimulateriskfactororassetreturnscenariosthatexhibittheSkeWneSSandkurtosisCOmmonlyseeninalternativeinvestments.2)ToillustrateSimOlation-basedriskKndreturnanalyticsoveralongtimehorizoninabroadassetallocationcontext.Stepsofmodelconstructionprocess/1.DecidebetweenassetclassreturnsOrriskfactorsasthevariablestobesimulated/2.EStabliShthequantitativeframework/3.Totranslatethemtoassetclassreturns(basedonriskfactors)/4.TousetheresultingassetclassreturnscenariostodevelopmeaningfuloutputsAOptimizationtechniquesMean-varianceoptimization(MVO)typicallyC)Ver-allocatestoalternativeassetclasses,because:/riskisunderestimatedbecauseofstaleorinfrequentpricing;/theunderlyingassumptionthatreturnsarenormallydistributed.PractitionersusuallyaddressthisbiastowardsalternativesbyestabUshg4ims0n4laU0cationsaUernativesOptimizationmethodsthatincorporatedownsiderisk(mean-CVaRoptimization)ortakeintoaccountSkeWmaybeusedtoenhancetheassetallocationprocess.Limitation/SmallChangeSintheinputsmaygenerateSignifiCantChangeSinOPtimala$SetalloCations.>RiskfactorbasedoptimizationRiskfactorbasedoptimizationissimilartoMVO,butinsteadofmodelingassetclassesbytheirreturnandriskcharacteristics,theinvestormodelsriskfactorsandfactorreturnexpectations.AriskfactorbasedapproachrequirestheadditionalstepOftranslatingtheC)PtimiZedriskexposurestoanassetallocationtoachievethem.Limitations/Assetclasses'returnsensitivitytosomeriskfactorexposuresmightnotbeStableOVertime./CorrelationsamongriskfactorsmaybehavelikecorrelationsamongassetclassreturnsandincreaseduringPeriodSOffinancial6.LiquidityPlanning专业创新增值LiquidityPlanning>AchieveandmaintainthedesiredallocationCashflowsforatypicalprivateinvestmentpartnershiparecapitalcallsintheearlyyearsanddistributionsinthelateryears.AAsimplemodel(estimatethecashflowstoandfromafund)CapitalContribution=RateofContribution×(CapitalCommitment-Paid-in-Capital)Ct=C%t×(CC-PIC)Distributionsfromafundcanbemodeledaspercentagesofitsnetassetvalue.Distributionsinperiodt=percentagetobedistributedinperiodtXNAVinperiodt.1×(1+growthrate)/Dt=D%t×NAVt.1×(l+g)/growthrate=IRRofitsinvestments/NAVt=NAVt.1X(l+g)+q-DtExample>LiquidityPlanningforPrivateInvestmentsTheNAVofaninvestor'sshareinaprivaterenewableenergyfundwas30millionattheendof2020.Allcapitalhasbeencalled.Theinvestorexpectsa20%distributiontobepaidattheendof2021.Theexpectedgrowthrateis12%.WhatistheexpectedNAVatyear-end2022?ASolutionTheexpecteddistributionattheendof2021is6.72million(30millionX1.12)X20%.TheNAVatyear-end2021istherefore30X(1+12%)+0-6.72=26.88TheNAVatyear-end2022=26.88X(1+12%)=30.1056millionConsiderationsinMonitoringProgramsAPerformanceEvaluationMonitoringofalternativeinvestmentscanbechallengingbecausetheirperformancereportingCanbeinfrequentrodComeWithSignifiCallttimelags.AfurthercomplicationwithprivateinvestmentsisthattheyoftenreportinternalratesOfreturnratherthantime-weightedQteSOfreturn./IRRisinfluencedbythetimingofcapitalcallsanddistributions,andtherefore,maybesubjecttomanipulation./InvestorsmayPrefertomonitoraPriVatefund'smultipleOninvestedCaPit-(McIIC).Ifcapitalisreturnedquickly(therebypossiblyproducingextraordinarilyhighIRRs),theinvestormaywanttoputgreateremphasisontheMOICmeasure.Similarly,fundsthatreturncapitalmoreslowlythanexpectedmightwanttoputgreaterweightontheIRRmeasure.It'snotanendbutjustthebeginning.Searchforknowledge,readmore,sitonyourfrontporchandadmirethevie