CFA三级强化班培训项目：投资组合的另类投资管理.docx

FAlternativeInvestments卜forPortfoliokManagementCFAs£0Ir,乎"史6祖典力叶3gliwTopic in CFA Level IIISessionContentStudy Session 1-2Study Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11ETHICS & PROFESSIONAL STANDARDS (1)&(2) BEHAVIORAL FINANCECAPITAL MARKET EXPECTATIONS I NEW 1ASSET ALLOCATION AND RELATED DEQSIONS IN PORTFOUO MANAGEMENTDERIVATIVES AND CURRENCY MANAGEMENT iNEWFIXED-INCOME PORTFOUO MANAGEMENT (1)(2)EQUITY PORTFOUO MANAGEMENT (l8i(2)ALTERNATIVE INVESTMENTS FOR PORTFOUO MANAGEMENT NEWStudy Session 12-13Study Session 14Study Session 15Study Session 16PRIVATE WEALTH MANAGEMENT (1)&(2) NEW, PORTFOUO MANAGEMENT FOR INSTITUTIONAL INVESTORS NEW1 TRADING, PERFORMANCE EVALUATION, AND MANAGER SELECTION I N EW CASES IN PORTFOUO MANAGEMENT AND RISK MANAGEMENT NEW 2-80M世 nra _ FrameworkAlternative InvestmentsSSll: Alternative Investmentsfor Portfolio Management* R26 Hedge Fund Strategies R27 Asset Allocation toAlternative InvestmentsM驳 W !4-80HedgeFundStrategiesuy-Mfi*meOverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund.FOFsmmMfitanCategorizationO-ChartEquitystrategiesHedgeFundStrategiesEquityStrategiesEquity-relatedhedgefundstrategiesfocusprimarilyonstockmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundThesizeandsignofequitymarketexposureoftendictatetheclassificationofequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategies1.ong/shortequity;Dedicatedshortbias;7-80Equitymarketneutral.MllWiMTLong/ShortEquityStrategyImplementationIdentifyoverpricedandunderpricedstocks.Purchases(longpositions)stocksthatwillriseinvalue;Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/SmanagersUseindex-basedshorthedgestoreducemarketrisk.8-80Useindexfundstoachieveadesiredexposure.MHanLong/ShortEquityCharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughlyequivalenttoalong-onlyapproachbutwithastandarddeviation50%lowerthanalong-onlyapproach.Thisstrategycantypicallybehandledbybothlimitedpartnerandmutualfund-typevehicles.1.everageUsage:Variable:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningfulreturnprofile.Roleinportfolio1.iquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpotentialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedPoorlymanagedcompanies,firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsShort-biasedActivistshortsellingOnemajorchallenge:marketsinevitablyriseovertime,whichcreatesatendencytowardnegativereturnsforshorts.StrategyImplementationTakeabottom-upapproachbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort.10-80Methods:AltmanZ-score&BeneishM-SCore.uy-Mfi*meDedicatedShortSellingandShort-BiasedCharacteristics1.owerreturnbutwithanegativecorrelationbenefit.MorevolatilethanatypicalLzSequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.Thisstrategyistypicallyhandledbestinalimitedpartnershipbecauseofdifficultoperationalaspectsofshortselling.1.everageUsage1.ow:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.Roleofportfolio1.iquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.11-80Buthistoricreturnsgenerallydisappointing.MMMfitanEquityMarketNeutralEquitymarket-neutral(EMN)Takeopposite(i.e.,longandshort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfunds:1)togeneratealpha,2)tobeimmunetomovementsintheoverallmarketTypesofEMNPairstrading.Stubtrading.Multi-classtrading.Strategyimplementation1)toincludeonlytradablesecuritieswithsufficientliquidityandadequateshort-sellingpotential2)toanalyzeforbuyandsellopportunitiesusingfundamentalmodelsand/orstatisticalandmomentum-basedmodels3)tomaintainmarketriskneutrality4)toconsidertheavailabilityandcostofleverageintermsofdesiredreturnprofileandacceptablepotentialportfoliodrawdownriskEquityMarketNeutralCharacteristicsRelativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehiclesRoleinportfolio13-80EMNstrategiesareespeciallyattractiveduringperiodsofmarketvulnerabilityandweakness,sincetheirsourcesofreturnandalphadonotrequireacceptingbetarisk.MllWiMTEvent-DrivenStrategiesToattempttoprofitfrompredictingtheoutcomeofcorporateeventsTypesofevent-drivenapproachSoft<catalystevent-drivenapproachHard-catalystevent-drivenapproachThemainrisk:eventrisk.Event-drivenstrategiesMergerArbitrage;DistressedSecurities.14-80MergerArbitrageStrategyimplementationCash-for-stockStock-for-stockacquisitionMergerarbitrageiscomparabletowritinginsuranceonanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.飙章更课程JMHrMI储：meguniIfthetransactionfails,thehedgefundstandstolosemoney.Cross-bordermergerandacquisition(M&A)wheretwocountriesandtworegulatoryauthoritiesareinvolvedaremorerisky.MergerArbitrageCharacteristicsRelativelyliquidstrategyMarketsensitivityandleft-tailriskattributes(ifthedealsfail)Insurance-Iikeplusashortputoption1.imited-partnershipvehicle1.everageUsage(high)Roleinportfolio16-80RelativelyhighSharperatioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.零皿国flitin_DistressedSecuritiesTofocusonfirmsthateitherareinbankruptcy,facingpotentialbankruptcy,orunderfinancialstressFirmsfacethesecircumstancesforawidevarietyofreasons.17-80Waningcompetitiveness,Excessiveleverage,Poorgovernance,Accountingirregularities,Outrightfraud.mmMfttanDistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thepriorityofclaimsSeniorsecureddebt(high)rJuniorsecureddebt,Unsecureddebt,Convertibledebt,Preferredstock,Commonstock(finally).Inre-organization,afirm'scapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised.StrategyimplementationInaliquidationSituatioogthefocusisondeterminingtherecoveryvaluefordifferentclassesofclaimants.Inareorganizationsituation,thefocusisonhowthefirm'sfinanceswillberestructuredandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.DistressedSecuritiesCharacteristicsMorevariabilityUsuallylong-biasedRelativelyhighlevelsofilliquidityRoleinportfolioReturnstendtobe"lumpy"andsomewhatcyclical.19-80M” UK tlRelativeValuesStrategiesToexploitvaluationdifferencesbetweensecuritiesRelativevaluesstrategiesFixed-IncomeArbitrage;20-80ConvertibleBondArbitrage.MMelar“Fixed-IncomeArbitrageToexploitpricinginefficienciesbytakinglongandshortpositionsacrossarangeofdebtsecuritiesArbitrageopportunitiessourcesDurationCreditquality1.iquidityOptionalityStrategyimplementationMostcommontypesoffixed-incomearbitragestrategiesConsideringyieldcurvetradesCarrytradesThepayoffprofileofthisfixed-incomearbitragestrategyresemblesashortputoption.Fixed-IncomeArbitrageCharacteristicsHighcorrelationsfoundacrossdifferentsecuritiesVeryliquidHighleverageusageRoleinportfolio22-80Afunctionofcorrelationsbetweendifferentsecurities,theyieldspreadavailable,andthehighnumberandwidediversityofdebtsecuritiesacrossdifferentmarkets.9UV'Mfi*tlConvertibleBondArbitrageAcombinationofstraightdebtplusalongequitycalloptionwithanexercisepriceequaltothestrikepricetimestheconversionratio(conversionvalue).StrategyimplementationBuytherelativelyundervaluedconvertiblebond23-80TakeashortpositionintherelativelyovervaluedunderlyingstockMMeufi“ConvertibleBondArbitrageCharacteristicsToextractandbenefitfromthisstructurallycheapsourceofimpliedvolatilitybydeltahedgingandgammatradingshortequityhedgesagainsttheirlongconvertibleholdings1.iquidityissuessurfaceforconvertiblearbitragestrategiesintwoways:1)naturallyIess-Iiquidsecurities2)availabilityandcosttoborrowunderlyingequityforshortsellingHighlevelsofleverageRoleinportfolioConvertiblearbitrageworksbestduringperiodsofhighconvertibleissuance,moderatevolatility,andreasonablemarketliquidity.OpportunisticHedgeFundStrategiesToprofitfrominvestmentopportunitiesacrossawiderangeofmarketsandsecuritiesusingavarietyoftechniquesCategorizationmethods1)Thetypeofanalysisandapproachthatdrivesthetradingstrategy.2)Howtradingdecisionsareimplemented(discretionaryorsystematic).3)Thetypesofinstrumentsand/marketsinwhichtheytrade.OpportunistichedgefundstrategiesGlobalmacrostrategies;25-80Managedfutures.MliWnITGlobalMacroStrategiesTofocusonglobalrelationshipsacrossawiderangeofassetclassesandinvestmentinstrumentsStrategyimplementationTop-downandarangeofmacroeconomicandfundamentalmodelsAmixtureofpositionsIndividualsecurities,Basketsofsecurities,Indexfutures,Foreignexchangefutures/forwards,Preciousorbasemetalsfutures,Agriculturalfutures,26-80Fixed-incomeproductsorfutures,Derivativesoroptionsonanyofthese.MMelar“"GlobalMacroStrategiesCharacteristicsTheuseofleverageThekeysourceofreturnsrevolvesaroundcorrectlydiscerningandcapitalizingontrendsinglobalmarkets.RoleinportfolioGlobalmacrocanbeveryusefuloverafullmarketcycleintermsofportfoliodiversificationandalphageneration.ManagedFuturesTakelongandshortpositionsinavarietyofderivativescontractsFuturesdevelopmentGaininginsizeandliquidity;Tradingsectorandindustryindexfuturesaswellasmoreexoticcontracts.StrategyimplementationTime-seriesmomentum(TSM)trendfollowingCross-sectionalmomentum(CSM)strategies28-80ManagedFuturesCharacteristicsHighlyliquidMoresystematicapproachSomewhatcyclicalandmorevolatileendofthespectrumofhedgefundstrategies(withvolatilitypositivelyrelatedtothestrategy,stimehorizon)HighleverageRoleinportfolio29-80Returnsofmanagedfuturesstrategiestypicallyexhibitpositiverighttailskewnessinperiodsofmarketstress,whichisveryusefulforportfoliodiversification.MMeufi“SpecialistStrategiesTorequirehighlyspecializedskillsetsfortradinginnichemarkets.Themainrisk:oftenuniqueSpecialiststrategiesVolatilitytrading;Reinsurance/lifesettlements.VolatilityTradingThegoalistosourceandbuycheapvolatilityandsellmoreexpensivevolatilitywhilenettingoutthetimedecayaspectsnormallyassociatedwithoptionsportfolios.TypeofrelativevaluevolatilitytradingTime-zonearbitrage31-80Cross-assetvolatilitytradingMliWnITVolatilitytradingStrategyimplementation1)Toextractanoutrightlongvolatilityview2)ToimplementthevolatilitytradingstrategyusingOTCoptions.3)TomigratetotheuseofVIXIndexfutures(oroptionsonVIXfutures)4)TopurchaseanOTCvolatilityswaporavarianceswapfromacreditworthycounterparty32-80VolatilityTradingCharacteristicsPositiveconvexity1.iquidityvariesacrossthedifferentinstrumentsOutsizedgainswithverylittleup-frontrisk.RoleinportfolioAusefulsourceofportfolioreturnalphaacrossdifferentgeographiesandassetclasses.Reinsurance/LifeSettlementsTypesofinsurancecontractssoldbyinsuranceprovidersVehicleandhomeinsurance,1.ifeinsurance,34-80Catastropheinsurance零亚国flitin_Reinsurance/LifeSettlementsStrategyimplementationThehedgefundwouldlookforthefollowingpolicycharacteristics:1)thelowsurrender2)thelowongoingpremiumpayments3)therelativelyhighprobabilitythatthedesignatedinsuredpersonisindeedlikelytodiewithinacertainperiodoftimeOnfindingtheappropriate,topayalumpsum(viaabroker)tothepolicyholder(s)35-80Valuationmethodsforcatastropheinsurancemayrequirethehedgefundmanagertoconsiderglobalweatherpatternsandmakeforecasts.mmeufi“Reinsurance/LifeSettlementsCharacteristics1.ifeinsuranceprotectsthepolicyholder*sdependentsinthecaseofhis/herdeath.®取更多R程贡料i*加Ik佶：xueta)u>100Ahedgefundstrategyfocusingonlifesettlementsinvolvesanalyzingpoolsoflifeinsurancecontractsbeingofferedforsale.Organizedmarketsforcatastrophebondsandcatastropheriskfuturescontinuetodevelop.RoleinportfolioAveryappealingfeatureofinsuranceinvestmentsinaportfolioisthattheriskinherentinthesestrategiesisalmostentirelyuncorrelatedwithmarketrisksandbusinesscycles.Multi-ManagerStrategiesThreemainapproaches1)Creatingone,sownmixofmanagersbyinvestingdirectlyintoindividualhedgefundsrunningdifferentstrategies;2)Fund>of-funds;37-803)Multi-Strategyfunds.M好UfitlTFund-of-FundsToaggregateinvestors*capitalandallocateittoaportfolioofseparate,individualhedgefundsfollowingdifferent,lesscorrelatedstrategiesStrategyimplementation1)Tobecomeacquaintedwithdifferenthedgefundmanagersviatheuseofvariousdatabasesandintroductionsatprimebroker-sponsoredcapitalintroductionevents2)Withbothquantitativeandqualitativetop-downandbottom-upapproaches,toinitiatetheformalmanagerselectionprocess3)Toreviewthefund'sOfferingMemorandumandLimitedPartnershipAgreement38-804)TomoveintotheongoingmonitoringandreviewphasesMMgarnFund-of-FundsCharacteristicsTobeimportantforsmallerhigh-net-worthinvestorsandsmallerinstitutions1.everedcapitaltoFoFs.OtherattractivefeaturesMorediversestrategymixbutwithlesstransparencyandSlowertacticalreactiontimeRoleinportfolioBycombiningdifferentandideallylesscorrelatedstrategies,aFoFportfolioshouldprovidemorediversification,lessextremeriskexposures,lowerrealizedvolatility,andgenerallylesssinglemanagertailriskthandirectinvestinginindividualhedgefundstrategies.*Multi-StrategyHedgeFundsStrategyimplementationTocombinemultiplehedgefundstrategiesunderthesamehedgefundstructureCharacteristicsTogenerallyoutperformwithmorevarianceandoccasionallargelossesoftenrelatedtotheirhigherleverageToofferpotentiallyfaste