CFA三级基础段：投资组合管理的另类投资（标准版）.docx

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1、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 16TopicinCFALevelIIIConte

2、ntETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTABONSNEWassetAllocabonandrelateddecisionsinportfoliomanagementDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)EQUITYPORTFOLIOMANAGEMENT(l)8i(2)ALTERNA11VEINVESTMENTSFORPORTFOLIOMANAGEMENTNEWPRIVATEWEALT

3、HMANAGEMENT(l)8i(2)NEW)魄即微凿箫Nl三僚也喧肘郦袱NX拄躅EC三NEWCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENTNEW11 FrameworkAlternative InvestmentsSSll:AlternativeInvestmentsforPortfolioManagementR26HedgeFundStrategiesR27AssetAllocationtoAlternativeInvestments MllOverviewOfHedgeFundStrategiesAKeyfeaturesofhedgefundsLo

4、werregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.Liquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfund/Oneportfoli

5、omanagerinvestsinonestrategyorstyle.Multi-managerfund/Multi-strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund./FOFsOverviewOfHedgeFundStrategiesAKeyfeaturesofhedgefundsLowerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexi

6、bilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.Liquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfund/Oneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfund/Multi-strategyfund,in

7、whichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund./FOFs三三三mm?6.-SlnU-l-roEA-nb山,q0rouQSl-FIb：olls6uo-JsoglSPUnj6p-c-0l57w*Scoi37:*-CEqi.SgBBleeSPUnJ6pqA-nbjoo-w-一lllp-P仁土。JnsodxWBUJAI-nb40u6一SPUBaj5lPUnJmwxP2ea，33bJosdAl.srlum+-su-ps-JIAlbpu3A-nbU-PBlU-Idu-S-6

8、12Pun+p-CA-nbLLl5BWolsUoA-ELUnrDOJS-6IB=SPUnJ6pP一，A-nbujAASOBSeLS三7Long/ShortEquityAStrategyImplementationIdentifyoverpricedandunderpricedstocks,L/Sequityhedgefundsarestraightforwardtounderstand./Purchases(longpositions)stocksthatwillriseinvalue;/Sells(shortpositions)stocksthatwillfallinvalue.Sector

9、-specificfocus(specialistL/Sfundmanagers)/Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/Smanagers/Useindex-basedshorthedgestoreducemarketrisk./Theymayalsouseindexfundstoachieveadesiredexposure.Overall,long/shortequityinvestinginmostinstancesisamixofextractingalphaonth

10、elongandshortsidesfromsingle-namestockselectioncombinedwithsomenaturallynetlongembeddedbeta.AAnequity-relatedhedgefundstrategywithgrossexposuresof80%longand35%shortismostlikelytobeclassifiedas:A.adedicatedshortstrategy.B.ashort-biasedstrategy.C.along/shortequitystrategy.Solution:CEquityL/Sstrategies

11、typicallyhavegrossexposuresof70%90%longand20%-50%short.Dedicatedshortstrategiesareusually60%-120%shortatalltimes.Short-biasedstrategiesareusuallyaround30%60%netshort.DedicatedShortSellingandShort-BiasedAThesemanagersIOokforPoOrIymanagedComPani毁firmsindecliningmarketsegments,orevenfirmswithdeceitfula

12、ccounting.Dedicatedshort-sellingfundsseekoutsecuritiesthatareoverpricedinordertosellthemshort.Short-biasedmanagersuseasimilarstrategy,exceptthattheshortpositionissomewhatoffsetbyalongexposure.Activistshortselling,inwhichthefundmanagernotonlytakesashortpositioninastock,butalsopresentsresearchthatcont

13、endsthatthestockisoverpriced.Onemajorchallengeofbeingashortselleristhatmarketsinevitablyriseovertime,whichcreatesatendencytowardnegativereturnsforshorts.DedicatedShortSellingandShort-BiasedAStrategyImplementationShort-sellingmanagerstypicallytakeabottom-upOPPrOaChbyscanningtheuniverseofpotentialsell

14、targetstouncoverandsellshort./Methods:AltmanZ-score&BeneishM-score.However,althoughsomestockstendtobeattractivetargets,thestock,shighShort-interestratioandhighCoSttoborrow(onSPeCiaI)areveryconcerning.BothfactorssuggestsignificantpotentialthatadangerousShortTqUeeZ2situation.DedicatedShortSellingandSh

15、ort-BiasedACharacteristicsLowerreturnbutwithanegativeCorTeIationbenefit.MorevolatilethanatypicalL/Sequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.ThisstrategyistypicallyhandledbestinaIimitedpar

16、tnerShiPbecauseofdifficultoperationalaspectsofshortselling.LeverageUsage/Low:ThereistypicallySUffiCientnaturalVolatilitythatShOEt-Pellingmanagersdonotneedtoaddmuchleverage.ARoleofportfolioLiquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistori

17、creturnsgenerallydisappointing.EquityMarketNeutralAEquitymarket-neutral(EMN)Equitymarket-neutral(EMN)hedgefundstrategiestakeopposite(i.e.,longandshort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfundsistocreateaportfoliothatnotonlygeneratesalpha,butisalsorelativ

18、elyimmunetomovementsintheoverallmarket.ATypesofEMNPairstrading.Twostockswithsimilarcharacteristicsareidentifiedthatarerespectivelyovervaluedandundervalued.Stubtrading.ThisEMNstrategyinvolvesgoinglongandshortsharesofasubsidiaryanditsparentcompany.Multi-classtrading.Thisstrategyentailsgoinglongandshor

19、trelativelymispricedshareclassesofthesamefirm.EquityMarketNeutralCharacteristicsTheyhaverelativelymodestreturnprofiles,withportfoliosaimedtobemarketneutral,anddifferingconstraintstootherfactorsandsectorexposuresareallowed.Theygenerallyhavehighlevelsofdiversificationandliquidityandlowerstandarddeviat

20、ion.Shorterhorizonsandmoreactivetrading.HighleverageEMNstrategiestypicallydonotmeetregulatoryleveragelimitsformutualfundvehicles.So,IimitedpartnershipsarethePreferredvehicle.RoleinportfolioEMNstrategiesareespeciallyattractiveduringperiodsOfmarketVUlnerabilityandweakness,sincetheirsourcesofreturnanda

21、lphadonotrequireacceptingbetarisk.AConsideringvariousequity-relatedhedgefundstrategies,astrategythatismostlikelytoapplyrelativelyhighlevelsofleverageis:A.anEMNstrategy.B.adedicatedshortstrategy.C.ashort-biasedstrategy.Solution:AEMNstrategiesusuallyapplysomewhathighlevelsofleverageinordertoproducemea

22、ningfullevelsofreturn.Neitherdedicatedshortstrategiesnorshort-biasedstrategiestypicallymakesignificantuseofleverage.ARelativetootherhedgefundstrategies,EMNstrategiesaremostlikelyto:A.exhibitrelativelymodestreturns.B.bevulnerabletoperiodsofmarketweakness.C.earnreturnfromalphaandbetarisk.Solution:ACom

23、paredtovariousotherhedgefundstrategies,EMNstrategiesgenerallyhaverelativelymodestreturnprofiles.EMNfundsprimarysourceofreturnisalpha.Theydonottakeonbetarisk.TheirlackofmarketexposuremakeEMNstrategiesattractiveinperiodsofmarketweakness.LingChang,aHongKong-basedEMNmanager,hasbeenmonitoringPepsiCoInc.(

24、PEP)andCoca-ColaCo.(KO),twoglobalbeverageindustrygiants.AfterexaminingtheAsiamarketingstrategyforanewPEPdrink,Changfeelsthemarketingcampaignistoocontroversialandtheoverallmarketistoonarrow.AlthoughPEPhasrelativelyweakearningsprospectscomparedtoKO,3-monthvaluationmetricsshowPEPsharesaresubstantiallyo

25、vervaluedversusKOshares(relativevaluationshavemovedbeyondtheirhistoricalranges).Aspartofalargerportfolio,Changwantstoallocate$1milliontothePEPversusKOtradeandnotesthehistoricalbetasandS&P500Indexweights,asshowninthefollowingtable.StockBetaS&P500IndexWeightPEP0.650.663KO0.550.718DiscusshowChangmighti

26、mplementanEMNpairstradingstrategy.Solution:ChangshouldtakeashortpositioninPEPandalongpositioninKOwithequalbeta-weightedexposures.GivenChangwantstoallocate$1milliontothetrade,shewouldtakeonalongKOpositionof$1million.Assumingrealizedbetaswillbesimilartohistoricalbetas,toachieveanequalbeta-weightedexpo

27、surefortheshortPEPposition,Changneedstoshort$846,154worthofPEPshares=-$1,000,000/(0.65/0.55).OnlytheoveralldifferenceinperformancebetweenPEPandKOshareswouldaffecttheperformanceofthestrategybecauseitwillbeinsulatedfromtheeffectofmarketfluctuations.Ifoverthenext3monthsthevaluationsofPEPandKOreverttowi

28、thinnormalranges,thenthispairstradingEMNstrategyshouldreapprofits.Event-DrivenStrategiesAEvent-drivenhedgefundstrategiesarethosethatattempttoProfitfromPrediCtingtheOUtComeOfCOrPorateevents,suchasbankruptcies,mergers,restructurings,acquisitions,etcetera.”Typesofevent-drivenapproachSoft-catalystevent-

29、drivenapproach/InvestmentscanbemadeeitherproactivelyinanticipationofaneventthathasyettooccurHard-catalystevent-drivenapproach/investmentscanbemadeinreactiontoanalreadyannouncedcorporateeventinwhichsecuritypricesrelatedtotheeventhaveyettofullyconvergeThehardapproachisgenerallylessvolatileandlessrisky

30、thansoft-catalystinvesting.”Themainrisk:eventrisk.三三三mS三3Spass匕SQ6BccwAMcQcMergerArbitrageAStrategyimplementationCash-for-stock，Inacash-for-stockacquisition,theacquiringcompany（八）offersthetargetcompany(T)acashpricepersharetoacquireT./Themanagerbuysthetargetcompany(T).Stock-for-stockacquisition/Aoffe

31、rsaspecificnumberofitssharesinexchangefor1Tshare./ThemanagerbuysT日ndsel5the日CqUiFingcompany（八）inthesameratioastheoffer.MergerarbitrageiscomparabletoWFitinginsuranceOnanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,however,thenthehedgefunds

32、tandstolosemoney,analogoustoaninsurancecompanymakingapayout.ACross-bordermergerandacquisition(M&A)wheretwocountriesand23-133tworegulatoryauthoritiesareinvolvedaremorerisky.多此*创新ISiiMergerArbitrageACharacteristicsRelativelyliquidstrategy.Ifthedealsfail,thisstrategyhasmarketsensitivityandIeft-taiIrisk

33、attributes.Itsreturnprofileisinsurance-likeplusashortputoption.ThepreferredvehicleisIimitedPartnerShiPbecauseofmergerarbitragesuseofsignificantleverage,butsomelow-leverage,low-volatilityliquidaltsmergerarbitragefundsdoexist.LeverageUsage:/High:typicallyapply300%-500%leverageinordertoachieveIow-doubl

34、e-digitreturns.RoleinportfolioRelativelyhighSharperatioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.MergerArbitrageAAnacquiringfirm（八）istradingat$45/shareandhasoffere

35、dtobuytargetfirm(T)inastock-for-stockdeal.Theofferratiois1shareofAinexchangefor2sharesofT.TargetfirmTwastradingat$15persharejustpriortotheannouncementoftheoffer.Shortlythereafter,T,ssharepricejumpsupto$19whileA,ssharepricefallsto$42inanticipationofthemergerreceivingrequiredapprovalsandthedealclosing

36、successfully.Ahedgefundmanagerisconfidentthisdealwillbecompleted,sohebuys20,000sharesofTandsellsshort10,000sharesofA.AWhatarethepayoffsofthemergerarbitragestrategyifthedealissuccessfullycompletedorifthemergerfails?MergerArbitrageASolution:Atcurrentpricesitcosts$380,000tobuy20,000sharesofT,and$420,00

37、0wouldbereceivedforshortselling10,000sharesofA.Thisprovidesanetspreadof$40,000tothehedgefundmanagerifthemergerissuccessfullycompleted.Ifthemergerfails,thenpricesshouldreverttotheirpre-mergerannouncementlevels.Themanagerwouldneedtobuyback10,000sharesofAat$45(costing$450,000)toclosetheshortposition,wh

38、ilethelongpositionin20,000sharesofTwouldfallto$15pershare(valueat$300,000).Thiswouldcauseatotallossof$110,000=(A:+$420,000-$450,000)+(T:-$380,000+$300,000).Insum,thismergerstrategyisequivalenttoholdingarisklessbondwithafacevalueof$40,000(thepayoffforasuccessfuldeal)andashortbinaryputoption,whichexpi

39、resworthlessifthemergersucceedsbutpaysout$110,000ifthemergerfails.DistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thefirm,sassetsaresoldoffandsecuritiesholdersarepaidsequentiallybasedonpriorityoftheirclaims/Seniorsecureddebt(high),/Juniorsecureddebt,/Unsecureddebt,/Convertibledebt,/Pref

40、erredstock,/Commonstock(finally).Inre-organization,afirm,scapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised./Debtholderseithermayagreetomaturityextensionsortoexchangingtheirdebtfornewequityshares(existingsharesarecanceled)thataresoldtonewinvestorstoimprovethefirm,sfinanci

41、alcondition.DistressedSecuritiesStrategyimplementationInaIiqUidatiOnsituation,thefocusisondeterminingtherecoveryValUefordifferentclassesofclaimants./Ifthefundmanager,sestimateofrecoveryvalueishigherthanmarketexpectations,perhapsduetoilliquidityissues,thenhe/shecanbuytheundervalueddebtsecuritiesinhop

42、esofrealizingthehigherrecoveryrate.Inareorganizationsituation,thehedgefundmanager,sfocusisonhowthefirm,sfinanceswillberestructuredandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.DistressedSecuritiesCharacteristicsThereturnprofilefordistressedsecuritiesinvesti

43、ngistypicallyatthehigherendofevent-drivenstrategiesbutwithmorevariability.Outrightshortsorhedgedpositionsarepossible,butdistressedseHt4es4Rves4s5yaUy4otg-+Itissubjecttosecurityspecificoutcomesbutstillimpactedbythehealthofthemacroeconomy.Distressedsecuritiesinvestingtypicallyentailsrelativelyhighleve

44、lsofilliquidity,especiallyifusingaconcentratedactivistapproach.Leverage:generallyUHeSmoderatetoIOWleverage.RoleinportfolioReturnstendtobelumpyandsomewhatcyclical.Distressedinvestingisparticularlyattractiveintheearlystagesofaneconomicrecoveryafteraperiodofmarketdislocation.ExampleAninvestmentindistre

45、ssedsecuritiesismostlikelytobecharacterizedby:A.alongbias.B.ahighlevelofliquidity.C.alargeamountofleverage.Solution:AWhileshortpositionsarepossibleindistressedsecuritiesinvesting,itisusuallylongbiased.Illiquiditytendstobehigh,andthestrategygenerallyusesmoderatetolowleverage.ExampleInasequentialpayof

46、fduringaliquidation,thesecurityholderthatismostlikelytobepaidofffirstistheholderof:A.juniorsecureddebtB.convertibledebt.C.preferredstock.Solution:AWhenafirm,sassetsaresoldoffinliquidation,securitiesholdersarepaidsequentiallydependingonthepriorityoftheirclaims:firstseniorsecureddebt,thenjuniorsecureddebt,unsecureddebt,convertibledebt,preferredstock,andlastlycommonstock.三三三m)BJI-qVpuog-qtUODl6elclLUoZJUlplx