CFA三级基础段：投资组合的另类投资管理（打印版）.docx

AlternativeInvestmentsforPortfolioManagernent7.CFAn井IJ匚繁盲器人JCyJcyCFA/AQF/FRM/RFPA iS®跑， 婿富累 蹈1 婧鼠笺 跑。婿跑端V ： !啄q楼71捕吧咎放渊LUL画UUL殖LU履炳渊、：曾口晶Fq32蔑果!7卜亶口,匚匚7嚓口%匚单辞工骰能勤存能蹲口K口育K一魏D1.果窗2窗口7卜®b管匚匚草匚W三w¾¾三磷妨QW¾¾7Jii1gB11果口口匚皤果2-133STopic in CFA Level IIISessionContentStudy Session 1-2ETHICS & PROFESSIONAL STANDARDS &(2)Study Session 3Study Session 4Study Session 5Study Session 6BEHAVIORAL FINANCECAPITAL MARKET EXPECTABONS INEWlASSET ALLOCATION AND RELATED DECISIONS IN PORTFOLIO MANAGEMENTDerivativesand currency management inewiStudy Session 7-8Study Session 9-10Study Session 11FIXED-INCOME PORTFOLIO MANAGEMENT (l)8t(2)EQUITY PORTFOLIO MANAGEMENT (1)&(2)ALTERNATIVE INVESTMENTS FOR PORTFOUO MANAGEMENT NEWStudy Session 12-13Study Session 14Study Session 15Study Session 16PRIVATE WEALTH MANAGEMENT (1)&(2) (NEW1PORTFOUO MANAGEMENT FOR INSTUT1ONAL INVESTORS NEW TRADING, PERFORMANCE EVALUATION, AND MANAGER SELECTION N EW CASES IN PORTFOUO MANAGEMENT AND RISK MANAGEMENT NEW FrameworkAlternative Investments4-133SSll:AlternativeInvestmentsforPortfolioManagementR26HedgeFundStrategiesR27AssetAllocationtoAlternativeInvestmentsHedge Fund Strategies三业&Wi»11m业因断修值OverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund.FOFsOverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesOfhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund.FOFs与业$新muEquityStrategiesEquity-relatedhedgefundstrategiesfocusprimarilyonstockmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundThesizeandsignofequitymarketexposureoftendictatetheclassificationofequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategies1.ong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityStrategyImplementationIdentifyoverpricedandunderpricedstocks,L/Sequityhedgefundsarestraightforwardtounderstand.Purchases(longpositions)stocksthatwillriseinvalue;Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/SmanagersUseindex-basedshorthedgestoreducemarketrisk.Theymayalsouseindexfundstoachieveadesiredexposure.Overall,long/shortequityinvestinginmostinstancesisamixofextractingalphaonthelongandshortsidesfromsingle-namestockselectioncombinedwithsomenaturallynetlongembeddedbeta.ExampleAnequity-relatedhedgefundstrategywithgrossexposuresof80%longand35%shortismostlikelytobeclassifiedas:A.adedicatedshortstrategy.B.ashort-biasedstrategy.C.along/shortequitystrategy.Solution:CEquityL/Sstrategiestypicallyhavegrossexposuresof70%90%longand20%-50%short.Dedicatedshortstrategiesareusually60%-120%shortatalltimes.Short-biasedstrategiesareusuallyaround30%60%netshort.M业HfjmnDedicatedShortSellingandShort-BiasedThesemanagerslookforpoorlymanagedcompanies,firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsseekoutsecuritiesthatareoverpricedinordertosellthemshort.Short-biasedmanagersuseasimilarstrategy,exceptthattheshortpositionissomewhatoffsetbyalongexposure.Activistshortselling,inwhichthefundmanagernotonlytakesashortpositioninastock,butalsopresentsresearchthatcontendsthatthestockisoverpriced.Onemajorchallengeofbeingashortselleristhatmarketsinevitablyriseovertime,whichcreatesatendencytowardnegativereturnsforshorts.DedicatedShortSellingandShort-BiasedStrategyImplementationShort-sellingmanagerstypicallytakeabottom-upapproachbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort.Methods:AltmanZ-score&BeneishM-score.However,althoughsomestockstendtobeattractivetargets,thestockshighshort-interestratioandhighcosttoborrow(,onspecia,)areveryconcerning.Bothfactorssuggestsignificantpotentialthatadangerousshort-squeezesituation.与业$新muDedicatedShortSellingandShort-BiasedCharacteristics1.owerreturnbutwithanegativecorrelationbenefit.MorevolatilethanatypicalL/Sequityhedgefundgivenshortbetaexposure.ManagershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatiltfbutitisdifficulttodowithConsistencyoraddedalpha.Thisstrategyistypicallyhandledbestinalimitedpartnershipbecauseofdifficultoperationalaspectsofshortselling.1.everageUsage1.ow:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.Roleofportfolio1.iquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.14-133M业.&断.IlfiEquityMarketNeutralEquitymarket-neutral(EMN)Equitymarket-neutral(EMN)hedgefundstrategiestakeopposite(i.e.,longandshort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfundsistocreateaportfoliothatnotonlygeneratesalpha,butisalsorelativelyimmunetomovementsintheoverallmarketTypesofEMNPairstrading.Twostockswithsimilarcharacteristicsareidentifiedthatarerespectivelyovervaluedandundervalued.Stubtrading.ThisEMNstrategyinvolvesgoinglongandshortsharesofasubsidiaryanditsparentcompany.Multi-classtrading.Thisstrategyentailsgoinglongandshortrelativelymispricedshareclassesofthesamefirm.EquityMarketNeutralCharacteristicsTheyhaverelativelymodestreturnprofiles,withportfoliosaimedtobemarketneutralanddifferingconstraintstootherfactorsandsectorexposuresareallowed.Theygenerallyhavehighlevelsofdiversificationandliquidityandlowerstandarddeviation.Shorterhorizonsandmoreactivetrading.HighleverageEMNstrategiestypicallydonotmeetregulatoryleveragelimitsformutualfundvehicles.Soflimitedpartnershipsarethepreferredvehicle.RoleinportfolioEMNstrategiesareespeciallyattractiveduringperiodsofmarketvulnerabilityandweakness,sincetheirsourcesofreturnandalphadonotrequireacceptingbetarisk.16'133三yva«i-naExampleConsideringvariousequity-relatedhedgefundstrategies,astrategythatismostlikelytoapplyrelativelyhighlevelsofleverageis:A.anEMNstrategy.B.adedicatedshortstrategy.C.ashort-biasedstrategy.Solution:AEMNstrategiesusuallyapplysomewhathighlevelsofleverageinordertoproducemeaningfullevelsofreturn.Neitherdedicatedshortstrategiesnorshort-biasedstrategiestypicallymakesignificantuseofleverage.M业HfjmnExampleRelativetootherhedgefundstrategies,EMNstrategiesaremostlikelyto:A.exhibitrelativelymodestreturns.B.bevulnerabletoperiodsofmarketweakness.C.earnreturnfromalphaandbetarisk.Solution:AComparedtovariousotherhedgefundstrategies,EMNstrategiesgenerallyhaverelativelymodestreturnprofiles.EMNfunds'primarysourceofreturnisalpha.Theydonottakeonbetarisk.TheirlackofmarketexposuremakeEMNstrategiesattractiveinperiodsofmarketweakness.Example1.ingChang,aHongKong-basedEMNmanager,hasbeenmonitoringPepsiCoInc.(PEP)andCoca-ColaCo.(Kc),twoglobalbeverageindustrygiants.AfterexaminingtheAsiamarketingstrategyforanewPEPdrink,Changfeelsthemarketingcampaignistoocontroversialandtheoverallmarketistoonarrow.AlthoughPEPhasrelativelyweakearningsprospectscomparedtoKO,3-monthvaluationmetricsshowPEPsharesaresubstantiallyovervaluedversusKOshares(relativevaluationshavemovedbeyondtheirhistoricalranges).Aspartofalargerportfolio,Changwantstoallocate$1milliontothePEPversusKOtradeandnotesthehistoricalbetasandS&P500Indexweights,asshowninthefollowingtable.StockBetaS&P500IndexWeightPEP0.650.663KO0.550,718DiscusshowChangmightimplementanEMNpairstradingstrategy.19-133M业金好muSolution:ChangshouldtakeashortpositioninPEPandalongpositioninKOwithequalbeta-weightedexposures.GivenChangwantstoallocate$1milliontothetrade,shewouldtakeonalongKOpositionof$1million.Assumingrealizedbetaswillbesimilartohistoricalbetas,toachieveanequalbetaweightedexposurefortheshortPEPposition,Changneedstoshort$846,154worthofPEPshares=-$1,000,000/(0.65/0.55).20-133OnlytheoveralldifferenceinperformancebetweenPEPandKOshareswouldaffecttheperformanceofthestrategybecauseitwillbeinsulatedfromtheeffectofmarketfluctuations.Ifoverthenext3monthsthevaluationsofPEPandKOreverttowithinnormalranges,thenthispairstradingEMNstrategyshouldreapprofits.M业&新mnEvent-DrivenStrategiesEvent-drivenhedgefundstrategiesarethosethatattempttoprofitfrompredictingtheoutcomeofcorporateevents,suchasbankruptcies,mergers,restructurings,acquisitions,etcetera.Typesofevent-drivenapproachSoft-catalystevent-drivenapproachInvestmentscanbemadeeitherproactivelyinanticipationofaneventthathasyettooccurHard-catalystevent-drivenapproachinvestmentscanbemadeinreactiontoanalreadyannouncedcorporateeventinwhichsecuritypricesrelatedtotheeventhaveyettofullyconvergeThehardapproachisgenerallylessvolatileandlessriskythansoft-catalystinvesting.Themainrisk:eventriskEvent-DrivenStrategiesEvent-drivenstrategiesMergerArbitrage;DistressedSecurities.与业$新muMergerArbitrageStrategyimplementationCash-for-stockInacash-for-stockacquisition,theacquiringcompany（八）offersthetargetcompany(T)acashpricepersharetoacquireT.Themanagerbuysthetargetcompany(T).Stock-for-stockacquisitionAoffersaspecificnumberofitssharesinexchangefor1Tshare.ThemanagerbuysTandsellstheacquiringcompany（八）inthesameratioastheoffer.Mergerarbitrageiscomparabletowritinginsuranceonanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,however,thenthehedgefundstandstolosemoney,analogoustoaninsurancecompanymakingapayout.Cross-bordermergerandacquisition(M&A)wheretwocountriesandtworegulatoryauthoritiesareinvolvedaremorerisky23"33M亚0HIlfiMergerArbitrageCharacteristicsRelativelyliquidstrategy.Ifthedealsfailthisstrategyhasmarketsensitivityandleft-tailriskattributes.Itsreturnprofileisinsurance-likeplusashortputoption.Thepreferredvehicleislimitedpartnershipbecauseofmergerarbitrage'suseofsignificantleverage,butSomelow-leverage,low-volatilityliquidaltsmergerarbitragefundsdoexist.1.everageUsage:High:typicallyapply3OO%-5OO%leverageinordertoachievelow-double-digitreturns.RoleinportfolioRelativelyhighSharperatioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.MergerArbitrageAnacquiringfirm（八）istradingat$45/Shareandhasofferedtobuytargetfirm(T)inastock-for-stockdeal.Theofferratiois1shareofAinexchangefor2sharesofT.TargetfirmTwastradingat$15persharejustpriortotheannouncementoftheoffer.Shortlythereafter,ssharepricejumpsupto$19whileA'ssharepricefallsto$42inanticipationofthemergerreceivingrequiredapprovalsandthedealclosingsuccessfully.Ahedgefundmanagerisconfidentthisdealwillbecompleted,sohebuys20,000sharesofTandsellsshort10,000sharesofA.25-133Whatarethepayoffsofthemergerarbitragestrategyifthedealissuccessfullycompletedorifthemergerfails?与业$新muMergerArbitrageSolution:Atcurrentpricesitcosts$380,000tobuy20,000sharesofT1and$420,000wouldbereceivedforshortselling10,000sharesofA.Thisprovidesanetspreadof$40,000tothehedgefundmanagerifthemergerissuccessfullycompleted.Ifthemergerfails,thenpricesshouldreverttotheirpre-mergerannouncementlevels.Themanagerwouldneedtobuyback10,000sharesofAat$45(costing$450,000)toclosetheshortposition,whilethelongpositionin20,000sharesofTwouldfallto$15pershare(valueat$300,000).Thiswouldcauseatotallossof$110,000=(A:+$420,000-$450,000)+(T:-$380,000+$300,000).Insum,thismergerstrategyisequivalenttoholdingarisklessbondwithafacevalueof$40,000(thepayoffforasuccessfuldeal)andashortbinaryputoption,whichexpiresworthlessifthemergersucceedsbutpaysout$110,000ifthemergerfails.26'133M业.&好.DistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thefirm,sassetsaresoldoffandsecuritiesholdersarepaidsequentiallybasedonpriorityoftheirclaimsSeniorsecureddebt(high),Juniorsecureddebt,Unsecureddebt,Convertibledebt,Preferredstock,Commonstock(finally).Inre-organization,afirm'scapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised.Debtholderseithermayagreetomaturityextensionsortoexchangingtheirdebtfornewequityshares(existingsharesarecanceled)thataresoldtonewinvestorstoimprovethefirm'sfinancialcondition.DistressedSecuritiesStrategyimplementationInaliquidationsituation,thefocusisondeterminingtherecoveryvaluefordifferentclassesofclaimants.Ifthefundmanager'sestimateofrecoveryvalueishigherthanmarketexpectations,perhapsduetoilliquidityissues,thenhe/shecanbuytheundervalueddebtsecuritiesinhopesofrealizingthehigherrecoveryrate.Inareorganizationsituation,thehedgefundmanager'sfocusisonhowthefirm,sfinanceswillberestructuredandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.M业固新0值DistressedSecuritiesCharacteristicsThereturnprofilefordistressedsecuritiesinvestingistypicallyatthehigherendofevent-drivenstrategiesbutwithmorevariability.Outrightshortsorhedgedpositionsarepossible,butdistressedsecuritiesinvestingisusuallylong-biased.Itissubjecttosecurityspecificoutcomesbutstillimpactedbythehealthofthemacroeconomy.Distressedsecuritiesinvestingtypicallyentailsrelativelyhighlevelsofilliquidity,especiallyifusingaconcentratedactivistapproach.1.everage:generallyusesmoderatetolowleverage.RoleinportfolioReturnstendtobe"lumpy"andsomewhatcyclical.Distressedinvestingisparticularlyattractiveintheearlystagesofaneconomicrecoveryafteraperiodofmarketdislocation.29"33M业.0WirfiExampleAninvestmentindistressedsecuritiesismostlikelytobecharacterizedby：A.alongbias.B.ahighlevelofliquidity.C.alargeamountofleverage.Solution:AWhileshortpositionsarepossibleindistressedsecuritiesinvesting,itisusuallylongbiased.Illiquiditytendstobehigh,andthestrategygenerallyusesmoderatetolowleverage.Inasequentialpayoffduringaliquidation,thesecurityholderthatismostlikelytobepaidofffirstistheholderofA.juniorsecureddebt.B.convertibledebt.C.preferredstock.Sol