学习笔记 - CFA 另类投资

另类投资其中一种很主要的类别：hedge fund，也是这章重点，整体思路其实是将 hedge fund 作为 "traditional 的 stocks & bonds" 的补充

hedge fund一般有两类：single-manager hedge funds 和 multi-manager hedge funds

（1）single-manager hedge fund是一个或一对（多个）基金经理 invests in one strategy or style

 single是指style/strategy，而不是基金经理人数

（2）multi-manager fund：

       A. multi-strategy fund

trade and invest in multiple different strategies within the same fund

       B. fund-of-funds (FoF)

allocates capital to separate, underlying hedge funds that themselves run a range of different strategies（每个子基金可以是单一策略风格或多策略风格）

hedge fund的单一策略一般划分为6种（每种还有细分），以下是各自的知识点：

1. equity-related

（1）long/short

The goal in long/short equity investing is generally to find more sources of idiosyncratic alpha (primarily via stock picking and secondarily by market timing) rather than embedded systematic beta

（相较于long-obly）added short-side exposure typically reduces beta risk and provides an additional source of potential alpha and reduced portfolio volatility

Equity L/S return profiles are typically aimed to achieve average annual returns roughly equivalent to a long-only approach but with standard deviations that are 50% lower

L/S strategy其实还能继续细分，如：

sector-specialization L/S strategy

generalist fundamental L/S strategy

Generalist L/S managers can benefit from the flexibility to scan a wide universe of stocks to find investments,

but they may not be able to develop a sufficient information edge in their analysis to dependably deliver sufficient alpha relative to their fees and natural long beta positioning

Dedicated short-selling hedge fund managers take short-only positions

       holding higher levels of cash

Short-biased hedge fund managers use a less extreme version of "Dedicated short-selling" approach

       允许一些 long exposure

Both types of short sellers actively aim to create an uncorrelated or negatively correlated source of return by seeking out failing business models, fraudulent accounting, corporate mismanagement, or other factors that may sour the market’s perception of a given equity

activist short selling：managers take a short position in a given security and then publicly present their research backing the short thesis

       就是主动做空，如 浑水

       在US，只要不是发布假的或有误信息且没有收钱来发布就不算 market manipulation

US 对 short sell也有限制，采用：

uptick rule：when a stock decreases by 10% or more from its prior closing price, a short sale order can be executed only at a price higher than the current best (i.e., highest) bid

Altman Z-score for judging a company’s bankruptcy potential

Beneish M-score for identifying potentially fraudulent financial statements

（2）EMN（equity market-neutral）

pairs trading is just one subset of equity market-neutral（EMN）investing，pairs trading 还可分为：

A. stub trading（短线交易）：buying and selling stock of a parent company and its subsidiaries, typically weighted by the percentage ownership of the parent company in the subsidiaries

B. multi-class trading：buying and selling different classes of shares of the same company, such as voting and non-voting shares

C. Capital Structure Arbitrage：通过债券和股票的价差，统计套利。如 long bond + short stock

equity那章提到的stat arb是统计套利，不要与stub trading混淆

EMN managers generally are more useful for portfolio allocation during periods of non-trending or declining markets because they typically deliver returns that are steadier and less volatile than those of many other hedge strategy areas

EMN策略的主要风险：At the time of such excess drawdown, the prime broker can force the manager to downsize his/her overall portfolio exposure（因为一般允许放很高的杠杆）

EMN managers are often considered as preferred replacements for (or at least a complement to) fixed-income managers during periods when fixed-income returns are unattractively low/and or the yield curve is flat

In reality, most EMN managers would likely not hedge beta on a stock-by-stock basis but rather would hedge beta on an overall portfolio basis

例题中：wants to allocate $1 million to the PEP versus KO trade，这句不是要单纯的 long 1M 的PEP，而是以PEP和KO为pairs的EMN策略中要 long 1M，假设判断KO被低估（或者PEP被高估）就long 1M KO，再结合想beta neutral来定short多少 PEP

2. Event-Driven（ED）

Event-driven (ED) hedge fund strategy can be a good uncorrelated source of alpha

Its return profile is insurance-like plus a short put option

soft-catalyst event-driven approach：proactively in anticipation of an event that has yet to occur

hard-catalyst event-driven approach：in reaction to an already announced corporate event in which security prices related to the event have yet to fully converge

When the acquiring company’s credit is superior to the target company’s credit，可以sold T的CDS（即long CDS），因为预期T在被收购后credit quality会上升到与A一致；

如果T的CDS很便宜，也可以买T的CDS（即short CDS）当是买个保险

计payoffs of the merger arbitrage strategy if the deal is successfully completed or if the merger fails的关键：理解为enter了一个须行权的contract，须以约定价买入T并卖出A

hedge fund managers running portfolios of distressed securities typically require relatively long initial lock-up periods

redemption gates：limit the amount of money that investors may withdraw from a partnership during any given quarter

Distressed securities hedge fund strategy：一般是一家公司出现财务困境，而很多IPS要求不能持有出现财务困境（或信用评级下降）的公司的债券，这时如果投资者看好这家公司后续能挺过去的话就能从这些抛售中以较低价买入

Fulcrum securities are partially-in-the-money claims (not expected to be repaid in full) whose holders end up owning the reorganized company（用这种工具是预期公司不但能度过难关还能IPO）

a bankruptcy reorganization into new equity in an ongoing enterprise（万一原公司最后还是破产了，也有可能是重组成新的公司）

3. Relative value hedge fund approach

EMN也是relative value strategy的一种，但介绍时归类在equity那

（1）

Fixed-income arbitrage strategies attempt to exploit pricing inefficiencies by taking long and short positions across a range of debt securities

A classic example of a fixed-income arbitrage trade involves buying lower liquidity, off-the-run government securities and selling higher liquidity, duration matched, on-the-run government securities

（2）

the embedded options within convertibles tend to trade at relatively low implied volatility levels compared to the historical volatility level of the underlying equity，就是更便宜，所以可以套利

The higher the new convertible issuance that the market must absorb, the cheaper their pricing and the more attractive the arbitrage opportunities for a hedge fund manager

delta hedging and gamma trading short equity hedges against their long convertible holdings

A classic convertible bond arbitrage strategy is to buy the relatively undervalued convertible bond and take a short position in the relatively overvalued underlying stock

类似 equity-related/EMN 中的 Capital Structure Arbitrage

convertible managers generally do not fare well during extreme market volatility，因为往往implies heightened credit risks，而 given that convertibles are naturally less-liquid securities

书中例题：

coupon 5%， conversion ratio 50 可以结合起来一起看就是一张CB（一般面值是100）可以换50股，而一年可以收50块利息，即相当于每股每年分红1块

Convertible arbitrage works best in periods of high convertible issuance, moderate volatility, and reasonable market liquidity

4. Opportunistic Strategies

（1）global macro managers tend to be more anticipatory (compared to managed futures managers)

macro managers tend to produce somewhat lumpier and uneven return streams than other hedge fund strategies, and generally higher levels of volatility are associated with their returns

全球局势的判断肯定是很难的，要考虑太多因素

Successful global macro trading requires the manager to have both a correct fundamental view of the selected market(s) and the proper methodology and timing to express tactical views

the diversification benefits of doing so（指global macro strategy同时持有多个头寸）are typically less than those derived from more idiosyncratic long/short equity strategies

（2）

The uncorrelated nature of managed futures with stocks and bonds

managed futures demonstrated natural positive skewness that has been useful in balancing negatively-skewed strategies

The return profile of managed futures tends to be very cyclical

the most common type of managed futures approach is typically referred to as time-series momentum (TSM) trend following

       work best when an asset’s (or market’s) own past returns are a good predictor of its future returns

       就是追涨杀跌

       traded on an absolute basis，一般是 net long 或 net short

less common approach is using cross-sectional momentum (CSM) strategies

       generally result in holding a net zero or market-neutral position

The return profile of the TSM managed fund is thus likely to be more volatile than that of the CSM managed fund

managed futures managers tend to take a more systematic approach to implementation than global macro managers

5. Specialist Strategies

（1）relative value volatility arbitrage strategies

       目标是 to source and buy cheap volatility and sell more expensive volatility while netting out the time decay aspects，normally associated with options portfolios

       these strategies may also attempt to extract value from active gamma trading adjustments when markets move

cross-asset volatility trading, which may often involve idiosyncratic, macro-oriented risks

volatility is non-constant but high levels of volatility are difficult to perpetuate（延续）over long periods of time (markets eventually calm down after sudden jump shifts), VIX futures are often prone to mean reversion

实施 volatility trading strategy 的4种方法：

A. uses simple exchange-traded options

       longer-dated options will have more absolute exposure to volatility levels (i.e., vega exposure) than shorter-dated options

       but the shorter-dated options will exhibit more delta sensitivity to price changes (i.e., gamma exposure)

B. using OTC options

       subject to counterparty credit risk as well as added illiquidity risk

C. use of VIX Index futures (or options on VIX futures)

D. purchase an OTC volatility swap or a variance swap from a creditworthy counterparty

       volatility swap is a forward contract on future realized price volatility

       variance swap is a forward contract on future realized price variance

A long volatility strategy is a convex strategy because the movement of volatility pricing is typically asymmetric and skewed to the right

（2）Reinsurance/Life Settlements

6.Multi-Manager Strategies

将单一策略组合的3种主要方法：直接投不同单一策略的HF；投单个FOF；投单个multi-strategy funds（一个基金里含 multiple internal management teams）

主要对比 FOF 和 MF

FOF 的缺点：

       double layer of fees

       lack of transparency into individual hedge fund manager processes and returns

       inability to net performance fees on individual managers

FOF 的优势：

       more diversification, less extreme risk exposures, lower realized volatility, and generally less single manager tail risk than direct investing in individual hedge fund strategies

       achieve economies of scale, manager access, research expertise, potential liquidity efficiencies, useful portfolio leverage opportunities, and potentially valuable concessions（让步）from the underlying funds

Multi-strategy hedge funds combine multiple hedge fund strategies under the same hedge fund structure

较 FOF 的优势：

       can reallocate capital into different strategy areas more quickly and efficiently

       has full transparency and a better picture of the interactions of the different teams’ portfolio risks

       基金经理能更专注于基金管理，行政性事务有运维会处理

       fee structure is more investor-friendly at multi-strategy hedge funds where the general partner absorbs the netting risk arising from the divergent performances of his/her fund’s different strategy teams（有可能导致厉害的人因奖金不到位而离职 personnel losses）

       fee netting risk is handled at the strategy level and absorbed (or partially absorbed) by the general partner of the multi-strategy fund

有些 MF 也会用 “pass-through” fee model 来解决人才流失的问题：

       may charge no management fee but instead pass through the costs of paying individual teams before an added manager level incentive fee is charged to the investor on total fund performance

       investor does implicitly pay for a portion of netting risk between the different teams (in place of a management fee), while the multi-strategy fund’s GP bears a portion of that netting risk (via the risk that the total fund-level incentive fee may not cover contractual obligations that the GP is required to pay individual teams)

借用品职的解释：

假设ABCD四个基金经理，AB分别盈利20%，CD都是亏损20%，总的盈利为0

       对于一般 FOF，要付AB绩效奖，那对投资人来说就很亏，因为整体是不赚钱的

       对于一般 MF，投资人不用付绩效奖，那AB就留不住，都是不行的CD之流留下，即netting risk

       采用pass-through，则GP将应该收的管理费给AB作为绩效奖，即GP与投资人共同承担netting risk

MF的劣势：

       main risk of multi-strategy funds is that they are generally quite levered

       operational risks of a multi-strategy firm, by definition, are not well diversified because all operational processes are performed under the same fund structure

       multi-strategy funds can be somewhat limited in the scope of strategies offered because they are constrained by the available pool of in-house manager talent and skills

最后两点本质是：higher manager-specific operational risks

Multi-strategy funds have generally outperformed FoFs but with more variance and occasional large losses often related to their higher leverage

Multi-strategy funds tend to use significantly more leverage than most FoFs

Incentive fees are deducted only from gross gains net of management fees and expenses，即扣完管理费后再计绩效

书中侧重讲解将 hedge fund 作为一个资产配置到 "传统的6/4比的股债组合" 中带来的影响

实证发现：hedge funds act as both risk-adjusted return enhancers and diversifiers for the traditional stock/bond portfolio