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

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&PROFESSIONALSTANDARDS&(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EcffewiNEWiCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENTINEW FrameworkAlternative InvestmentsSSll:AlternativeInvestmentsforPortfolioManagementR26HedgeFundStrategiesR27AssetAllocationtoAlternativeInvestments专业创新T曾值HedgeFundStrategiesOverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-Strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund.FOFsEquityStrategiesEquity-relatedhedgefundstrategiesfocusPrimariIyOCStoCkmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundTheSiZeandSignOfequitymarketexposureoftendictatetheclassificationofequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategies1.ong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityStrategyImplementationIdentifyoverpricedandunderpricedstocks.Purchases(longpositions)stocksthatwillriseinvalue;Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/SmanagersUseindex-basedshorthedgestoreducemarketrisk.Useindexfundstoachieveadesiredexposure.Long/ShortEquityCharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughlyequivalenttoalong-onlyapproachbutwithastandarddeviation50%Iowerthanalong-onlyapproach.ThisstrategycantypicallybehddledbybothIimitedBeerandHFH共uaLfund-tvpevehicles.1.everageUsage:Variable:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningfulreturnprofile.Roleinportfolio1.iquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpotentialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedPooPymanagedcompanies,firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsShort-biasedActivistshortsellingOnemajorchallenge:marketsinevitablyriseovertime,whichcreatesatendencytowardnegativereturnsforshorts.StrategyImplementationTakeabottom-up叩PnDaChbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort.Methods:AltmanZ-score&BeneishM-score.DedicatedShortSellingandShort-BiasedCharacteristics1.owerreturnbutwithanegativeCOiTelatiOnbenefit.MorevolatilethanatypicalL/Sequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.Thisstrategyistypicallyhandledbestinalimitedpa<eFshipbecauseofdifficultoperationalaspectsofshortselling.1.everageUsage1.ow:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.Roleofportfolio1.iquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.与我创新增值EquityMarketNeutralEquitymarket-neutral(EMN)Takeopposite(i.e.,longandshort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfunds:1)togeneratealpha,2)tobeimmunetomovementsintheoverallmarketTypesofEMNPairstrading.Stubtrading.Multi-classtrading.Strategyimplementation1)toincludeOnlytradableSeCUritieSWithSUffiCientliqUidityandadequateShOHt-Sellingpotential2)toanalyzeforbuyandSellOPPortUnitieSIISingfundamentalmodelsand/orstatisticalandmomentum-basedmodels3)tomaintainmarketriskneutmlity4)toConsidertheavailabilityandcostofleverageintermsofdesiredreturnprofileandacceptablepotentialportfoliodrawdownriskEquityMarketNeutralCharacteristicsRelativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehiclesRoleinportfolioEMNstrategiesareespeciallyattractiveduringpefiedsOfmarketVUlnerabilityandweakness,sincetheirsourcesofreturnandalphadonotrequireacceptingbetarisk.Event-DrivenStrategiesToattempttoPrOfitfromPtediCtingtheOUtCOmeOfCOrPorateeventsTypesofevent-drivenapproachSoft-catalystevent-drivenapproachHard-catalystevent-drivenapproachThemainrisk:eventrisk.Event-drivenstrategiesMergerArbitHage;DistressedSecurities.MergerArbitrageStrategyimplementationCash-for-stockStock-for-stockacquisitionMergerarbitrageiscomparabletoWritinginsuranceonanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,thehedgefundstandstolosemoney.Cross-bordermergerandacquisition(M&A)wheretwocountriesandtworegulatoryauthoritiesareinvolvedaremorerisky.MergerArbitrageCharacteristicsRelativelyliquidstrategyMarketsensitivityandleft-tailriskattributes(ifthedealsfail)Insurance-Iikeplusashortputoption1.imited-PaKnerShiPvehicle1.everageUsage(high)RoleinportfolioRelativelyhighSharperatioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.DistressedSecuritiesTofocusonfirmsthateitherareinbankruptcy,facingpotentialbankruptcy,orunderfinancialstressFirmsfacethesecircumstancesforawidevarietyofreasons.Waningcompetitiveness,Excessiveleverage,Poorgovernance,Accountingirregularities,Outrightfraud.DistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thepriorityofclaimsSeniorsecureddebt(high),Juniorsecureddebt,Unsecureddebt,Convertibledebt,Preferredstock,Commonstock(finally).Inre-organization,afirm,scapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised.StrategyimplementationIRaliqLlidatiOnsituation,thefocusisondeterminingtheFeCQveiyvaIuefordifferentclassesofclaimants.InareorganizationSitUatiorbthefocusisonhowthefirm'sfinanceswillberestructuredandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.DistressedSecuritiesCharacteristicsMorevariabilityUsuallylong-biasedRelativelyhighlevelsofilliquidityRoleinportfolioReturnstendtobe"lumpy"andsomewhatcyclical.行业创新7曾值RelativeValuesStrategiesToexploitVaIUatiOndifferencesbetweenSeCUritieSRelativevaluesstrategiesFixed-IncomeArbitrage;ConvertibleBondArbitrage.Fixed-IncomeArbitrageToexploitpricinginefficienciesbytakinglongandshortpositionsacrossarangeofdebtsecuritiesArbitrageopportunitiessourcesDurationCreditquality1.iquidityOptionalityStrategyimplementationMostcommontypesoffixed-incomearbitragestrategiesConsideringyieldcurvetradesCarrytradesThepayoffprofileofthisfixed-incomearbitragestrategyresemblesashortPUtOPtiorLFixed-IncomeArbitrageCharacteristicsHighcorrelationsfoundacrossdifferentsecuritiesVeryliquidHighIeVeageIJSageRoleinportfolioAfunctionofcorrelationsbetweendifferentsecurities,theyieldspreadavailable,andthehighnumberandwidediversityofdebtsecuritiesacrossdifferentmarkets.ConvertibleBondArbitrageAcombinationofstraightdebtplusalongequitycalloptionwithanexercisepriceequaltothestrikepricetimestheconversionratio(conversionvalue).StrategyimplementationBuytheFelatiVelyUaderVa山edconvertiblebondTakeashortpositionintherelativelyOVerV日IUedunderlyingstockConvertibleBondArbitrageCharacteristicsToextractandbenefitfromthisstructurallycheapsourceofimpliedvolatilitybydeltahedgingandgammatradingshortequityhedgesagainsttheirlongconvertibleholdings1.iquidityissuessurfaceforconvertiblearbitragestrategiesintwoways:1)naturallyIess-Iiquidsecurities2)availabilityandcosttoborrowunderlyingequityforshortsellingHighlevelsofleverageRoleinportfolioConvertiblearbitrageworksbestduringPeFiodSOfhighCOnCertibIeisH3fe,FnodecateW)IKt斗让y,-aadFeasoaablemarketliquidity.OpportunisticHedgeFundStrategiesToprofitfrominvestmentopportunitiesacrossawiderangeofmarketsandsecuritiesusingavarietyoftechniquesCategorizationmethods1)Thetypeofanalysisandapproachthatdrivesthetradingstrategy.2)Howtradingdecisionsareimplemented(discretionaryorsystematic).3)Thetypesofinstrumentsand/marketsinwhichtheytrade.OpportunistichedgefundstrategiesGlobalmacrostrategies;Managedfutures.GlobalMacroStrategiesTofocusOnglobalrelationshipsacrossaWiderangeOfassetClaSSeSandinvestmentinstrumentsStrategyimplementationTop-downandarangeofmacroeconomicandfundamentalmodelsAmixtureofpositionsIndividualsecurities,Basketsofsecurities,Indexfutures,Foreignexchangefutures/forwards,Preciousorbasemetalsfutures,Agriculturalfutures,Fixed-incomeproductsorfutures,Derivativesoroptionsonanyofthese.GlobalMacroStrategiesCharacteristicsTheuseofleverageThekeysourceofreturnsrevolvesaroundcorrectlydiscerningandcapitalizingontrendsinglobalmarkets.RoleinportfolioGlobalmacrocanbeveryusefuloverafullmarketcycleintermsofportfoliodiversificationandalphageneration.ManagedFuturesTakeIOngandShortPoSitiOnSinaVarietyOfderivativesCOntraCtSFuturesdevelopmentGaininginsizeandliquidity;Tradingsectorandindustryindexfuturesaswellasmoreexoticnt把.StrategyimplementationTime-seriesmomentum(TSM)trendfollowingCross-sectionalmomentum(CSM)strategiesManagedFuturesCharacteristicsHighlyliquidMoresystematicapproachSomewhatcyclicalandmorevolatileendofthespectrumofhedgefundstrategies(withvolatilitypositivelyrelatedtothestrategy'stimehorizon)HighleverageRoleinportfolioReturnsofmanagedfuturesstrategiestypicallyexhibitpositiverighttailskewnessinperiodsofmarketstress,whichisveryusefulforportfoliodiversification.SpecialistStrategiesTorequirehighlyspecializedskillsetsfortradinginnichemarkets.Themainrisk:oftenuniqueSpecialiststrategiesVolatilitytrading;Reinsurance/lifesettlements.行业创新增值VolatilityTradingThegoalistosourceandbuycheapvolatilityandsellmoreexpensivevolatilitywhilenettingoutthetimedecayaspectsnormallyassociatedwithoptionsportfolios.TypeofrelativevaluevolatilitytradingTime-zonearbitrageCross-assetvolatilitytradingVolatilitytradingStrategyimplementation1)Toextractanoutrightlongvolatilityview2)ToimplementthevolatilitytradingstrategyusingOTCoptions.3)TomigratetotheuseofVIXIndexfutures(oroptionsonVIXfutures)4)TopurchaseanOTCvolatilityswaporavarianceswapfromacreditworthycounterpartyVolatilityTradingCharacteristicsPositiveconvexity1.iquidityvariesacrossthedifferentinstrumentsOutsizedgainswithverylittleup-frontrisk.RoleinportfolioAusefulsourceofportfolioreturnalphaacrossdifferentgeographiesandassetclasses.Reinsurance/LifeSettlementsTypesofinsurancecontractssoldbyinsuranceprovidersVehicleandhomeinsurance,1.ifeinsurance,CatastropheinsuranceReinsurance/LifeSettlementsStrategyimplementationThehedgefundwouldlookforthefollowingpolicycharacteristics:1)thelowsurrender2)thelowongoingpremiumpayments3)therelativelyhighprobabilitythatthedesignatedinsuredpersonisindeedlikelytodiewithinacertainperiodoftimeOnfindingtheapproPriate,topayalumpsum(viaabroker)tothepolicyholder(s)Valuationmethodsforcatastropheinsurancemayrequirethehedgefundmanagertoconsiderglobalweatherpatternsandmakeforecasts.Reinsurance/LifeSettlementsCharacteristics1.ifeinsuranceprotectsthepolicyholder,sdependentsinthecaseofhis/herdeath.Ahedgefundstrategyfocusingonlifesettlementsinvolvesanalyzingpoolsoflifeinsurancecontractsbeingofferedforsale.Organizedmarketsforcatastrophebondsandcatastropheriskfuturescontinuetodevelop.RoleinportfolioAveryappealingfeatureofinsuranceinvestmentsinaportfolioisthattheriskinherentinthesestrategiesisalmostentirelyuncorrelatedwithmarketrisksandbusinesscycles.Multi-ManagerStrategiesThreemainapproaches:1)Creatingone,sownmixofmanagersbyinvestingdirectlyintoindividualhedgefundsrunningdifferentstrategies;2)Fund-of-funds;3)Multi-Strategyfunds.Fund-of-FundsToaggregateinvestors1capitalandallocateittoaportfolioofseparate,individualhedgefundsfollowingdifferent,lesscorrelatedstrategiesStrategyimplementation1)Tobecomeacquaintedwithdifferenthedgefundmanagersviatheuseofvariousdatabasesandintroductionsatprimebroker-sponsoredcapitalintroductionevents2)Withbothquantitativeandqualitativetop-downandbottom-upapproaches,toinitiatetheformalmanagerselectionprocess3)Toreviewthefund'sOfferingMemorandumandLimitedPartnershipAgreement4)TomoveintotheongoingmonitoringandreviewphasesFund-of-FundsCharacteristicsTobeimportantforsmallerhigh-net-worthinvestorsandsmallerinstitutions1.everedcapitaltoFoFs.OtherattractivefeaturesMorediversestrategymixbutwithlesstransparencyandslowertacticalreactiontimeRoleinportfolioBycombiningdifferentandideallylesscorrelatedstrategies,aFoFportfolioshouldprovidemorediversification,lessextremeriskexposures,lowerrealizedvolatility,andgenerallylesssinglemanagertailriskthandirectinvestinginindividualhedgefundstrategies.Multi-StrategyHedgeFundsStrategyimplementationTocombinemultiplehedgefundstrategiesunderthesamehedgefundstructureCharacteristicsTOgenerallyOUtPerformWithmorevarianceandoccasionallargelossesoftenrelatedtotheirhigherleverageToofferpotentiallyfastertacticalassetallocationandimprovedfeeStrUCtUre(nettingriskhandledatstrategylevel)butwithhighermanager-specificoperationalrisksToimposeinvestor-levelorfund-levelgatesonmaximumredemptionsallowedperquarterTobesomewhatmorepronetoleft-tailblow-upriskinstressperiodsMoreresilientRoleinportfolioThemulti-strategymanagercanreactfastertodifferentreal-timemarketimpacts.ConditionalFactorRiskModelAlinearfactormodelcanprovideinsightsintotheintrinsiccharacteristicsandrisksinahedgefundinvestment.(FnontureR="H0gtore叱(+/?rtoc)f2i(+)ttrKtorcaF+)G圭倒依+。6卜OrCaF£。2十+)tDfiKKt°rcF+)ore()Thefollowingfourfactorsformeasuringriskexposures:1.Equityrisk(SNP500).2.Currencyrisk(USD).3.Creditrisk(CREDIT).4.Volatilityrisk(VIX).AssetAllocationtoAlternativeInv