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

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1、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&PROFESSIONALSTANDA

2、RDS&(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EcffewiNEWiCASESINPORTFOLIOMANAGEMENTANDRISK

3、MANAGEMENTINEW FrameworkAlternative InvestmentsSSll:AlternativeInvestmentsforPortfolioManagementR26HedgeFundStrategiesR27AssetAllocationtoAlternativeInvestments专业创新T曾值HedgeFundStrategiesOverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexib

4、lemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-

5、Strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund.FOFsEquityStrategiesEquity-relatedhedgefundstrategiesfocusPrimariIyOCStoCkmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundTheSiZ

6、eandSignOfequitymarketexposureoftendictatetheclassificationofequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategies1.ong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityStrategyImplementationIdentifyoverpricedandunderpricedstocks.Purchases(long

7、positions)stocksthatwillriseinvalue;Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/SmanagersUseindex-basedshorthedgestoreducemarketrisk.Useindexfundstoachieveadesiredexposure.

8、Long/ShortEquityCharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughlyequivalenttoalong-onlyapproachbutwithastandarddeviation50%Iowerthanalong-onlyapproach.ThisstrategycantypicallybehddledbybothIimitedBeerandHFH共uaLfund-tvpevehicles.1.everageUsage:Variable

9、:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningfulreturnprofile.Roleinportfolio1.iquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpote

10、ntialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedPooPymanagedcompanies,firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsShort-biasedActivistshortsellingOnemajorchallenge:marketsinevitablyriseovertime,whichcreatesatendencytowardne

11、gativereturnsforshorts.StrategyImplementationTakeabottom-up叩PnDaChbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort.Methods:AltmanZ-score&BeneishM-score.DedicatedShortSellingandShort-BiasedCharacteristics1.owerreturnbutwithanegativeCOiTelatiOnbenefit.MorevolatilethanatypicalL/Sequityh

12、edgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.ThisstrategyistypicallyhandledbestinalimitedpaeFshipbecauseofdifficultoperationalaspectsofshortselling.1.everageUsage1.ow:Thereistypicallysufficientnatur

13、alvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.Roleofportfolio1.iquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.与我创新增值EquityMarketNeutralEquitymarket-neutral(EMN)Takeopposite(i.e.,longandsh

14、ort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfunds:1)togeneratealpha,2)tobeimmunetomovementsintheoverallmarketTypesofEMNPairstrading.Stubtrading.Multi-classtrading.Strategyimplementation1)toincludeOnlytradableSeCUritieSWithSUffiCientliqUidityandadequateShOHt-

15、Sellingpotential2)toanalyzeforbuyandSellOPPortUnitieSIISingfundamentalmodelsand/orstatisticalandmomentum-basedmodels3)tomaintainmarketriskneutmlity4)toConsidertheavailabilityandcostofleverageintermsofdesiredreturnprofileandacceptablepotentialportfoliodrawdownriskEquityMarketNeutralCharacteristicsRel

16、ativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehiclesRoleinportfolioEMNstrategiesareespeciallyattractiveduringpefiedsOfmarketVUlnerabilityandweakness,sincetheirs

17、ourcesofreturnandalphadonotrequireacceptingbetarisk.Event-DrivenStrategiesToattempttoPrOfitfromPtediCtingtheOUtCOmeOfCOrPorateeventsTypesofevent-drivenapproachSoft-catalystevent-drivenapproachHard-catalystevent-drivenapproachThemainrisk:eventrisk.Event-drivenstrategiesMergerArbitHage;DistressedSecur

18、ities.MergerArbitrageStrategyimplementationCash-for-stockStock-for-stockacquisitionMergerarbitrageiscomparabletoWritinginsuranceonanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,thehedgefundstandstolosemoney.Cross-bordermergerandacquisitio

19、n(M&A)wheretwocountriesandtworegulatoryauthoritiesareinvolvedaremorerisky.MergerArbitrageCharacteristicsRelativelyliquidstrategyMarketsensitivityandleft-tailriskattributes(ifthedealsfail)Insurance-Iikeplusashortputoption1.imited-PaKnerShiPvehicle1.everageUsage(high)RoleinportfolioRelativelyhighSharp

20、eratioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.DistressedSecuritiesTofocusonfirmsthateitherareinbankruptcy,facingpotentialbankruptcy,orunderfinancialstressFirmsfa

21、cethesecircumstancesforawidevarietyofreasons.Waningcompetitiveness,Excessiveleverage,Poorgovernance,Accountingirregularities,Outrightfraud.DistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thepriorityofclaimsSeniorsecureddebt(high),Juniorsecureddebt,Unsecureddebt,Convertibledebt,Preferred

22、stock,Commonstock(finally).Inre-organization,afirm,scapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised.StrategyimplementationIRaliqLlidatiOnsituation,thefocusisondeterminingtheFeCQveiyvaIuefordifferentclassesofclaimants.InareorganizationSitUatiorbthefocusisonhowthefirmsfin

23、anceswillberestructuredandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.DistressedSecuritiesCharacteristicsMorevariabilityUsuallylong-biasedRelativelyhighlevelsofilliquidityRoleinportfolioReturnstendtobelumpyandsomewhatcyclical.行业创新7曾值RelativeValuesStrategiesT

24、oexploitVaIUatiOndifferencesbetweenSeCUritieSRelativevaluesstrategiesFixed-IncomeArbitrage;ConvertibleBondArbitrage.Fixed-IncomeArbitrageToexploitpricinginefficienciesbytakinglongandshortpositionsacrossarangeofdebtsecuritiesArbitrageopportunitiessourcesDurationCreditquality1.iquidityOptionalityStrat

25、egyimplementationMostcommontypesoffixed-incomearbitragestrategiesConsideringyieldcurvetradesCarrytradesThepayoffprofileofthisfixed-incomearbitragestrategyresemblesashortPUtOPtiorLFixed-IncomeArbitrageCharacteristicsHighcorrelationsfoundacrossdifferentsecuritiesVeryliquidHighIeVeageIJSageRoleinportfo

26、lioAfunctionofcorrelationsbetweendifferentsecurities,theyieldspreadavailable,andthehighnumberandwidediversityofdebtsecuritiesacrossdifferentmarkets.ConvertibleBondArbitrageAcombinationofstraightdebtplusalongequitycalloptionwithanexercisepriceequaltothestrikepricetimestheconversionratio(conversionval

27、ue).StrategyimplementationBuytheFelatiVelyUaderVa山edconvertiblebondTakeashortpositionintherelativelyOVerV日IUedunderlyingstockConvertibleBondArbitrageCharacteristicsToextractandbenefitfromthisstructurallycheapsourceofimpliedvolatilitybydeltahedgingandgammatradingshortequityhedgesagainsttheirlongconve

28、rtibleholdings1.iquidityissuessurfaceforconvertiblearbitragestrategiesintwoways:1)naturallyIess-Iiquidsecurities2)availabilityandcosttoborrowunderlyingequityforshortsellingHighlevelsofleverageRoleinportfolioConvertiblearbitrageworksbestduringPeFiodSOfhighCOnCertibIeisH3fe,FnodecateW)IKt斗让y,-aadFeaso

29、aablemarketliquidity.OpportunisticHedgeFundStrategiesToprofitfrominvestmentopportunitiesacrossawiderangeofmarketsandsecuritiesusingavarietyoftechniquesCategorizationmethods1)Thetypeofanalysisandapproachthatdrivesthetradingstrategy.2)Howtradingdecisionsareimplemented(discretionaryorsystematic).3)Thet

30、ypesofinstrumentsand/marketsinwhichtheytrade.OpportunistichedgefundstrategiesGlobalmacrostrategies;Managedfutures.GlobalMacroStrategiesTofocusOnglobalrelationshipsacrossaWiderangeOfassetClaSSeSandinvestmentinstrumentsStrategyimplementationTop-downandarangeofmacroeconomicandfundamentalmodelsAmixtureo

31、fpositionsIndividualsecurities,Basketsofsecurities,Indexfutures,Foreignexchangefutures/forwards,Preciousorbasemetalsfutures,Agriculturalfutures,Fixed-incomeproductsorfutures,Derivativesoroptionsonanyofthese.GlobalMacroStrategiesCharacteristicsTheuseofleverageThekeysourceofreturnsrevolvesaroundcorrec

32、tlydiscerningandcapitalizingontrendsinglobalmarkets.RoleinportfolioGlobalmacrocanbeveryusefuloverafullmarketcycleintermsofportfoliodiversificationandalphageneration.ManagedFuturesTakeIOngandShortPoSitiOnSinaVarietyOfderivativesCOntraCtSFuturesdevelopmentGaininginsizeandliquidity;Tradingsectorandindu

33、stryindexfuturesaswellasmoreexoticnt把.StrategyimplementationTime-seriesmomentum(TSM)trendfollowingCross-sectionalmomentum(CSM)strategiesManagedFuturesCharacteristicsHighlyliquidMoresystematicapproachSomewhatcyclicalandmorevolatileendofthespectrumofhedgefundstrategies(withvolatilitypositivelyrelatedt

34、othestrategystimehorizon)HighleverageRoleinportfolioReturnsofmanagedfuturesstrategiestypicallyexhibitpositiverighttailskewnessinperiodsofmarketstress,whichisveryusefulforportfoliodiversification.SpecialistStrategiesTorequirehighlyspecializedskillsetsfortradinginnichemarkets.Themainrisk:oftenuniqueSp

35、ecialiststrategiesVolatilitytrading;Reinsurance/lifesettlements.行业创新增值VolatilityTradingThegoalistosourceandbuycheapvolatilityandsellmoreexpensivevolatilitywhilenettingoutthetimedecayaspectsnormallyassociatedwithoptionsportfolios.TypeofrelativevaluevolatilitytradingTime-zonearbitrageCross-assetvolati

36、litytradingVolatilitytradingStrategyimplementation1)Toextractanoutrightlongvolatilityview2)ToimplementthevolatilitytradingstrategyusingOTCoptions.3)TomigratetotheuseofVIXIndexfutures(oroptionsonVIXfutures)4)TopurchaseanOTCvolatilityswaporavarianceswapfromacreditworthycounterpartyVolatilityTradingCha

37、racteristicsPositiveconvexity1.iquidityvariesacrossthedifferentinstrumentsOutsizedgainswithverylittleup-frontrisk.RoleinportfolioAusefulsourceofportfolioreturnalphaacrossdifferentgeographiesandassetclasses.Reinsurance/LifeSettlementsTypesofinsurancecontractssoldbyinsuranceprovidersVehicleandhomeinsu

38、rance,1.ifeinsurance,CatastropheinsuranceReinsurance/LifeSettlementsStrategyimplementationThehedgefundwouldlookforthefollowingpolicycharacteristics:1)thelowsurrender2)thelowongoingpremiumpayments3)therelativelyhighprobabilitythatthedesignatedinsuredpersonisindeedlikelytodiewithinacertainperiodoftime

39、OnfindingtheapproPriate,topayalumpsum(viaabroker)tothepolicyholder(s)Valuationmethodsforcatastropheinsurancemayrequirethehedgefundmanagertoconsiderglobalweatherpatternsandmakeforecasts.Reinsurance/LifeSettlementsCharacteristics1.ifeinsuranceprotectsthepolicyholder,sdependentsinthecaseofhis/herdeath.

40、Ahedgefundstrategyfocusingonlifesettlementsinvolvesanalyzingpoolsoflifeinsurancecontractsbeingofferedforsale.Organizedmarketsforcatastrophebondsandcatastropheriskfuturescontinuetodevelop.RoleinportfolioAveryappealingfeatureofinsuranceinvestmentsinaportfolioisthattheriskinherentinthesestrategiesisalm

41、ostentirelyuncorrelatedwithmarketrisksandbusinesscycles.Multi-ManagerStrategiesThreemainapproaches:1)Creatingone,sownmixofmanagersbyinvestingdirectlyintoindividualhedgefundsrunningdifferentstrategies;2)Fund-of-funds;3)Multi-Strategyfunds.Fund-of-FundsToaggregateinvestors1capitalandallocateittoaportf

42、olioofseparate,individualhedgefundsfollowingdifferent,lesscorrelatedstrategiesStrategyimplementation1)Tobecomeacquaintedwithdifferenthedgefundmanagersviatheuseofvariousdatabasesandintroductionsatprimebroker-sponsoredcapitalintroductionevents2)Withbothquantitativeandqualitativetop-downandbottom-upapp

43、roaches,toinitiatetheformalmanagerselectionprocess3)ToreviewthefundsOfferingMemorandumandLimitedPartnershipAgreement4)TomoveintotheongoingmonitoringandreviewphasesFund-of-FundsCharacteristicsTobeimportantforsmallerhigh-net-worthinvestorsandsmallerinstitutions1.everedcapitaltoFoFs.Otherattractivefeat

44、uresMorediversestrategymixbutwithlesstransparencyandslowertacticalreactiontimeRoleinportfolioBycombiningdifferentandideallylesscorrelatedstrategies,aFoFportfolioshouldprovidemorediversification,lessextremeriskexposures,lowerrealizedvolatility,andgenerallylesssinglemanagertailriskthandirectinvestingi

45、nindividualhedgefundstrategies.Multi-StrategyHedgeFundsStrategyimplementationTocombinemultiplehedgefundstrategiesunderthesamehedgefundstructureCharacteristicsTOgenerallyOUtPerformWithmorevarianceandoccasionallargelossesoftenrelatedtotheirhigherleverageToofferpotentiallyfastertacticalassetallocationa

46、ndimprovedfeeStrUCtUre(nettingriskhandledatstrategylevel)butwithhighermanager-specificoperationalrisksToimposeinvestor-levelorfund-levelgatesonmaximumredemptionsallowedperquarterTobesomewhatmorepronetoleft-tailblow-upriskinstressperiodsMoreresilientRoleinportfolioThemulti-strategymanagercanreactfast

47、ertodifferentreal-timemarketimpacts.ConditionalFactorRiskModelAlinearfactormodelcanprovideinsightsintotheintrinsiccharacteristicsandrisksinahedgefundinvestment.(FnontureR=H0gtore叱(+/?rtoc)f2i(+)ttrKtorcaF+)G圭倒依+。6卜OrCaF。2十+)tDfiKKtrcF+)ore()Thefollowingfourfactorsformeasuringriskexposures:1.Equityrisk(SNP500).2.Currencyrisk(USD).3.Creditrisk(CREDIT).4.Volatilityrisk(VIX).AssetAllocationtoAlternativeInv