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1、FAlternativeInvestments卜forPortfoliokManagementCFAs0Ir,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 MAR
2、KET 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 15S
3、tudy 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
4、Portfolio Management* R26 Hedge Fund Strategies R27 Asset Allocation toAlternative InvestmentsM驳 W !4-80HedgeFundStrategiesuy-Mfi*meOverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.
5、Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-strategyfund,inwhichteamsofportfoliomanagerstradeandin
6、vestinmultipledifferentstrategieswithinthesamefund.FOFsmmMfitanCategorizationO-ChartEquitystrategiesHedgeFundStrategiesEquityStrategiesEquity-relatedhedgefundstrategiesfocusprimarilyonstockmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedge
7、fundThesizeandsignofequitymarketexposureoftendictatetheclassificationofequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategies1.ong/shortequity;Dedicatedshortbias;7-80Equitymarketneutral.MllWiMTLong/ShortEquityStrategyImplementationIdentifyoverpricedandunderpriced
8、stocks.Purchases(longpositions)stocksthatwillriseinvalue;Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/SmanagersUseindex-basedshorthedgestoreducemarketrisk.8-80Useindexfundst
9、oachieveadesiredexposure.MHanLong/ShortEquityCharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughlyequivalenttoalong-onlyapproachbutwithastandarddeviation50%lowerthanalong-onlyapproach.Thisstrategycantypicallybehandledbybothlimitedpartnerandmutualfund-type
10、vehicles.1.everageUsage:Variable:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningfulreturnprofile.Roleinportfolio1.iquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskand
11、providesanadditionalsourceofpotentialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedPoorlymanagedcompanies,firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsShort-biasedActivistshortsellingOnemajorchallenge:marketsinevitablyriseovert
12、ime,whichcreatesatendencytowardnegativereturnsforshorts.StrategyImplementationTakeabottom-upapproachbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort.10-80Methods:AltmanZ-score&BeneishM-SCore.uy-Mfi*meDedicatedShortSellingandShort-BiasedCharacteristics1.owerreturnbutwithanegativecorre
13、lationbenefit.MorevolatilethanatypicalLzSequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.Thisstrategyistypicallyhandledbestinalimitedpartnershipbecauseofdifficultoperationalaspectsofshortselling
14、.1.everageUsage1.ow:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.Roleofportfolio1.iquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.11-80Buthistoricreturnsgenerallydisappointing.MMMfitanEquityMarketN
15、eutralEquitymarket-neutral(EMN)Takeopposite(i.e.,longandshort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfunds:1)togeneratealpha,2)tobeimmunetomovementsintheoverallmarketTypesofEMNPairstrading.Stubtrading.Multi-classtrading.Strategyimplementation1)toincludeonly
16、tradablesecuritieswithsufficientliquidityandadequateshort-sellingpotential2)toanalyzeforbuyandsellopportunitiesusingfundamentalmodelsand/orstatisticalandmomentum-basedmodels3)tomaintainmarketriskneutrality4)toconsidertheavailabilityandcostofleverageintermsofdesiredreturnprofileandacceptablepotential
17、portfoliodrawdownriskEquityMarketNeutralCharacteristicsRelativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehiclesRoleinportfolio13-80EMNstrategiesareespeciallyattr
18、activeduringperiodsofmarketvulnerabilityandweakness,sincetheirsourcesofreturnandalphadonotrequireacceptingbetarisk.MllWiMTEvent-DrivenStrategiesToattempttoprofitfrompredictingtheoutcomeofcorporateeventsTypesofevent-drivenapproachSoft100Ahedgefundstrategyfocusingonlifesettlementsinvolvesanalyzingpool
19、soflifeinsurancecontractsbeingofferedforsale.Organizedmarketsforcatastrophebondsandcatastropheriskfuturescontinuetodevelop.RoleinportfolioAveryappealingfeatureofinsuranceinvestmentsinaportfolioisthattheriskinherentinthesestrategiesisalmostentirelyuncorrelatedwithmarketrisksandbusinesscycles.Multi-Ma
20、nagerStrategiesThreemainapproaches1)Creatingone,sownmixofmanagersbyinvestingdirectlyintoindividualhedgefundsrunningdifferentstrategies;2)Fundof-funds;37-803)Multi-Strategyfunds.M好UfitlTFund-of-FundsToaggregateinvestors*capitalandallocateittoaportfolioofseparate,individualhedgefundsfollowingdifferent
21、,lesscorrelatedstrategiesStrategyimplementation1)Tobecomeacquaintedwithdifferenthedgefundmanagersviatheuseofvariousdatabasesandintroductionsatprimebroker-sponsoredcapitalintroductionevents2)Withbothquantitativeandqualitativetop-downandbottom-upapproaches,toinitiatetheformalmanagerselectionprocess3)T
22、oreviewthefundsOfferingMemorandumandLimitedPartnershipAgreement38-804)TomoveintotheongoingmonitoringandreviewphasesMMgarnFund-of-FundsCharacteristicsTobeimportantforsmallerhigh-net-worthinvestorsandsmallerinstitutions1.everedcapitaltoFoFs.OtherattractivefeaturesMorediversestrategymixbutwithlesstrans
23、parencyandSlowertacticalreactiontimeRoleinportfolioBycombiningdifferentandideallylesscorrelatedstrategies,aFoFportfolioshouldprovidemorediversification,lessextremeriskexposures,lowerrealizedvolatility,andgenerallylesssinglemanagertailriskthandirectinvestinginindividualhedgefundstrategies.*Multi-StrategyHedgeFundsStrategyimplementationTocombinemultiplehedgefundstrategiesunderthesamehedgefundstructureCharacteristicsTogenerallyoutperformwithmorevarianceandoccasionallargelossesoftenrelatedtotheirhigherleverageToofferpotentiallyfaste
