《CFA三级知识点必备：Alternative Investment_标准版.docx》由会员分享，可在线阅读，更多相关《CFA三级知识点必备：Alternative Investment_标准版.docx（38页珍藏版）》请在三一办公上搜索。
1、AlternativeInvestmentsforPortfolioManagemeCFA三级培训项目讲师：JCY1.HedgeFundStrategies1专业创新增值EquityStrategiesAEquity-relatedhedgefundstrategiesfocusPrimarilyOnStOCkmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundTheSiZeaRdSigRofequitymaFkeex
2、poseFeoftendictatetheclassificationofequityhedgefundstrategies.AThemainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategiesLong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityACharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughly
3、equivalenttoalong-onlyapproachbutwithastandarddeviation50%lowerthanalong-onlyapproach.ThisstrategycantypicallybehandledbybothIimitedPaIlnerandHaHfcH4-type-velLeverageUsage:/Variable:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningf
4、ulreturnprofile.RoleinportfolioLiquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpotentialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedACharacteristicsLowerreturnbutwithanegativeC
5、orTeIationbenefit.MorevolatilethanatypicalL/Sequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.ThisstrategyistypicallyhandledbestinaIimitedpartnerShiPbecauseofdifficultoperationalaspectsofshortsel
6、ling.LeverageUsage/Low:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.ARoleofportfolioLiquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.EquityMarketNeutralChar
7、acteristicsRelativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehiclesRoleinportfolioEMNstrategiesareespeciallyattractiveduringPeriodSOfmarketVUlneabilityandWeaknei
8、s,sincetheirsourcesofreturnandalphadonotrequireacceptingbetarisk.Event-DrivenStrategiesAToattempttoProfitfromPrediCtingtheOUtCOmeOfCOrPoQteeventsATypesofevent-drivenapproachSoft-catalystevent-drivenapproachHard-catalystevent-drivenapproachAThemainrisk:eventrisk.AEvent-drivenstrategiesMeirgerArbitrag
9、e;DistressedSecurities.MergerArbitrageAStrategyimplementationCash-for-stockStock-for-stockacquisitionMergerarbitrageiscomparabletowritinginsuranceOnanacquisition.Iftheacquisitioniscompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,thehedgefundstandstolosemoney.ACross-border
10、mergerandacquisition(M&A)wheretwocountriesandtworegulatoryauthoritiesareinvolvedaremorerisky.MergerArbitrageACharacteristicsRelativelyliquidstrategyMarketsensitivityandleft-tailriskattributes(ifthedealsfail)Insurance-Iikeplusashortputoptionwte4artfehvehicleLeverageUsage(high)RoleinportfolioRelativel
11、yhighSharperatioswithtypicallylowdouble-digitreturnsandmid-singledigitstandarddeviation(dependingonspecificlevelsofleverageapplied),butleft-tailriskisassociatedwithanotherwisesteadyreturnprofile.DistressedSecuritiesOutcomesofbankruptcyprocessInliquidation,thepriorityofclaims/Seniorsecureddebt(high),
12、/Juniorsecureddebt,/Unsecureddebt,/Convertibledebt,/Preferredstock,/Commonstock(finally).Inre-organization,afirmscapitalstructureisre-organizedandtermsforcurrentclaimsarenegotiatedandrevised.StrategyimplementationInaIiqUidationsituation,thefocusisondeterminingtheIreCoVeryVKlUefordifferentclassesofcl
13、aimants.InaFeOFgaRiZatk)nsit83tiea,thefocusisonhowthefirmsfinanceswillbeFe允FUGtUFedandonassessingthevalueofthebusinessenterpriseandthefuturevalueofdifferentclassesofclaims.DistressedSecuritiesCharacteristicsMorevariabilityUsuallylong-biasedRelativelyhighlevelsofilliquidityRoleinportfolioReturnstendt
14、obewlumpyz,andsomewhatcyclical.2.HedgeFundStrategies2Fixed-IncomeArbitrageAToexploitpricinginefficienciesbytakinglongandshortpositionsacrossarangeofdebtsecuritiesAArbitrageopportunitiessourcesDurationCreditqualityLiquidityOptionalityStrategyimplementationMostcommontypesoffixed-incomearbitragestrateg
15、ies/Consideringyieldcurvetrades/CarrytradesThepayoffprofileofthisfixed-incomearbitragestrategyresemblesaShortPUtC)PtiorLFixed-IncomeArbitrageCharacteristicsHighcorrelationsfoundacrossdifferentsecuritiesVeryliquidHighIeVerageUSageRoleinportfolioAfunctionofcorrelationsbetweendifferentsecurities,theyie
16、ldspreadavailable,andthehighnumberandwidediversityofdebtsecuritiesacrossdifferentmarkets.ConvertibleBondArbitrageAAcombinationofstraightdebtplusalongequitycalloptionwithanexercisepriceequaltothestrikepricetimestheconversionratio(ConVerSiOnvalue).StrategyimplementationBuythefetivelym4e=Vakedconvertib
17、lebondTakeashortpositionintherelativelyOVerValUCdunderlyingstockConvertibleBondArbitrageACharacteristicsToextractandbenefitfromthisstructurallycheapsourceofimpliedvolatilitybydeltahedgingandgammatradingshortequityhedgesagainsttheirlongconvertibleholdingsLiquidityissuessurfaceforconvertiblearbitrages
18、trategiesintwoways:/1)naturallyIess-Iiquidsecurities/2)availabilityandcosttoborrowunderlyingequityforshortsellingHighlevelsofleverageARoleinportfolioConvertiblearbitrageworksbestduringPerie)dsofhighConVCIlibleissuance,Pnoderatevogtility,andreasonablemarketliquidity.GlobalMacroStrategiesACharacterist
19、icsTheuseofleverageThekeysourceofreturnsrevolvesaroundcorrectlydiscerningandcapitalizingontrendsinglobalmarkets.ARoleinportfolioGlobalmacrocanbeveryusefuloverafullmarketcycleintermsofportfoliodiversificationandalphageneration.ManagedFuturesACharacteristicsHighlyliquidMoresystematicapproachSomewhatcy
20、clicalandmorevolatileendofthespectrumofhedgefundstrategies(withvolatilitypositivelyrelatedtothestrategystimehorizon)HighleverageARoleinportfolioReturnsofmanagedfuturesstrategiestypicallyexhibitpositiverighttailskewnessinperiodsofmarketstress,whichisveryusefulforportfoliodiversification.VolatilityTra
21、dingAThegoalistosourceandbuycheapvolatilityandsellmoreexpensivevolatilitywhilenettingoutthetimedecayaspectsnormallyassociatedwithoptionsportfolios.TypeofrelativevaluevolatilitytradingTime-zonearbitrageCross-assetvolatilitytradingVolatilityTradingACharacteristicsPositiveconvexityLiquidityvariesacross
22、thedifferentinstrumentsOutsizedgainswithverylittleup-frontrisk.ARoleinportfolioAusefulsourceofportfolioreturnalphaacrossdifferentgeographiesandassetclasses.Reinsurance/LifeSettlementsAStrategyimplementationThehedgefundwouldlookforthefollowingpolicycharacteristics:/1)thelowsurrender/2)thelowongoingpr
23、emiumpayments/3)therelativelyhighprobabilitythatthedesignatedinsuredpersonisindeedlikelytodiewithinacertainperiodoftimeOnfindingtheGPProPriate,topayalumpsum(viaabroker)tothepolicyholder(s)Valuationmethodsforcatastropheinsurancemayrequirethehedgefundmanagertoconsiderglobalweatherpatternsandmakeforeca
24、sts.Reinsurance/LifeSettlementsACharacteristicsLifeinsuranceprotectsthepolicyholdersdependentsinthecaseofhis/herdeath.Ahedgefundstrategyfocusingonlifesettlementsinvolvesanalyzingpoolsoflifeinsurancecontractsbeingofferedforsale.Organizedmarketsforcatastrophebondsandcatastropheriskfuturescontinuetodev
25、elop.ARoleinportfolioAveryappealingfeatureofinsuranceinvestmentsinaportfolioisthattheriskinherentinthesestrategiesisalmostentirelyuncorrelatedwithmarketrisksandbusinesscycles.3.Multi-ManagerStrategiesMulti-ManagerStrategiesAThreemainapproaches:1)Creatingonesownmixofmanagersbyinvestingdirectlyintoind
26、ividualhedgefundsrunningdifferentstrategies;2)Fund-of-funds;3)Multi-Strategyfunds.Fund-of-FundsCharacteristicsTobeimportantforsmallerhigh-net-worthinvestorsandsmallerinstitutionsLeveredcapitaltoFoFs.OtherattractivefeaturesMorediversestrategymixbutwithlesstransparencyandSlowertacticalreactiontimeRole
27、inportfolioBycombiningdifferentandideallylesscorrelatedstrategies,aFoFportfolioshouldprovidemorediversification,lessextremeriskexposures,lowerrealizedvolatility,andgenerallylesssinglemanagertailriskthandirectinvestinginindividualhedgefundstrategies.Multi-StrategyHedgeFundsAStrategyimplementationToco
28、mbinemultiplehedgefundstrategiesunderthesamehedgefundstructureACharacteristicsTogenerallyOUtPerformWithmorevarianceandoccasionallargelossesoftenrelatedtotheirhigherleverageToofferpotentiallyfastertaeticalassetallocativnandimpfovedfeestructure(nettingriskhandledatstrategylevel)butwithhighermanager-sp
29、ecificoperationalrisksToimposeinvestor-levelorfund-levelgatesonmaximumredemptionsallowedperquarterTobesomewhatmorepronetoleft-tailblow-upriskinstressperiodsMoreresilientARoleinportfolioThemulti-strategymanagercanreactfastertodifferentreal-timemarketimpacts.B4.AssetAllocationtoAlternativeInvestments专
30、业创新增值RolesinMulti-AssetPortfolios-AlternativesAOverall,thegoalofaddingalternativeinvestmentstoaportfolioismostoftentoimprovetheportfoliosriskandreturnsprofile.Exhibit1AlternativeInvestmentsintheRisk/RewardContinuumHedgeFundsRealAssetsPrivateCreditRiskReducingPrivateRealAssetsPrivateEquityRiskEnhanci
31、ngDiversifyingEquityrisks:ShortTimeHorizonAForashortinvestmenthorizon,theprimaryriskisreturnsvolatility.ATobebiaseddownwardforanumberofreasons:Appraisal-basedvaluationsSamplingbiases,suchassurvivorshipbiasandbackfillbiasIl鹿围三muo=eys.lop,OM-wolpequevc三craS一A-JBijU一ddoNOX三6uo-Bq-MAUONKOHH6uoj:S*-A-nbu
32、jc三3.InvestmentOpportunitySetExhibit14(Continued)AssetClassesEquitySizeValueLiquidityNominalDurationInflationCreditSpreadCurrencyR-squaredHedgeFunds0.30.10.60.74HFMacro0.20.21.93.1-0.90.10.28HFEquityMkt.0.10.14Neut.HFEquityHedged0.50.72HFDistressed0.10.21.80.72Commodities18.00.80.36PublicRealEstate0
33、.94.60.90.38PrivateRealEstate0.20.12.40.20Buyout&Growth0.60.2-0,30.10.70EquitiesVentureCapital0.80.6-L80.20.385.ApproachestoAssetAllocation专业创新增值AAsuggestedapproachtoincludingalternativeinvestmentsinanassetallocationdecisionistodoitintwostages:Firstwithonlythetraditionalassetclasses;Thenalsoconsider
34、ingalternativeinvestments./Thesecondprocesscanbeassistedbystatisticaltoolssuchas:MonteCarlosimulation.Mean-varianceoptimization.Riskfactorbasedoptimization./Theseapproachescanbeusedindividuallyorincombination.AMonteCarlosimulation1)TosimulateriskfactororassetreturnscenariosthatexhibittheSkeWneSSandk
35、urtosisCOmmonlyseeninalternativeinvestments.2)ToillustrateSimOlation-basedriskKndreturnanalyticsoveralongtimehorizoninabroadassetallocationcontext.Stepsofmodelconstructionprocess/1.DecidebetweenassetclassreturnsOrriskfactorsasthevariablestobesimulated/2.EStabliShthequantitativeframework/3.Totranslat
36、ethemtoassetclassreturns(basedonriskfactors)/4.TousetheresultingassetclassreturnscenariostodevelopmeaningfuloutputsAOptimizationtechniquesMean-varianceoptimization(MVO)typicallyC)Ver-allocatestoalternativeassetclasses,because:/riskisunderestimatedbecauseofstaleorinfrequentpricing;/theunderlyingassum
37、ptionthatreturnsarenormallydistributed.PractitionersusuallyaddressthisbiastowardsalternativesbyestabUshg4ims0n4laU0cationsaUernativesOptimizationmethodsthatincorporatedownsiderisk(mean-CVaRoptimization)ortakeintoaccountSkeWmaybeusedtoenhancetheassetallocationprocess.Limitation/SmallChangeSintheinput
38、smaygenerateSignifiCantChangeSinOPtimala$SetalloCations.RiskfactorbasedoptimizationRiskfactorbasedoptimizationissimilartoMVO,butinsteadofmodelingassetclassesbytheirreturnandriskcharacteristics,theinvestormodelsriskfactorsandfactorreturnexpectations.AriskfactorbasedapproachrequirestheadditionalstepOf
39、translatingtheC)PtimiZedriskexposurestoanassetallocationtoachievethem.Limitations/AssetclassesreturnsensitivitytosomeriskfactorexposuresmightnotbeStableOVertime./CorrelationsamongriskfactorsmaybehavelikecorrelationsamongassetclassreturnsandincreaseduringPeriodSOffinancial6.LiquidityPlanning专业创新增值Liq
40、uidityPlanningAchieveandmaintainthedesiredallocationCashflowsforatypicalprivateinvestmentpartnershiparecapitalcallsintheearlyyearsanddistributionsinthelateryears.AAsimplemodel(estimatethecashflowstoandfromafund)CapitalContribution=RateofContribution(CapitalCommitment-Paid-in-Capital)Ct=C%t(CC-PIC)Di
41、stributionsfromafundcanbemodeledaspercentagesofitsnetassetvalue.Distributionsinperiodt=percentagetobedistributedinperiodtXNAVinperiodt.1(1+growthrate)/Dt=D%tNAVt.1(l+g)/growthrate=IRRofitsinvestments/NAVt=NAVt.1X(l+g)+q-DtExampleLiquidityPlanningforPrivateInvestmentsTheNAVofaninvestorsshareinaprivat
42、erenewableenergyfundwas30millionattheendof2020.Allcapitalhasbeencalled.Theinvestorexpectsa20%distributiontobepaidattheendof2021.Theexpectedgrowthrateis12%.WhatistheexpectedNAVatyear-end2022?ASolutionTheexpecteddistributionattheendof2021is6.72million(30millionX1.12)X20%.TheNAVatyear-end2021istherefor
43、e30X(1+12%)+0-6.72=26.88TheNAVatyear-end2022=26.88X(1+12%)=30.1056millionConsiderationsinMonitoringProgramsAPerformanceEvaluationMonitoringofalternativeinvestmentscanbechallengingbecausetheirperformancereportingCanbeinfrequentrodComeWithSignifiCallttimelags.Afurthercomplicationwithprivateinvestments
44、isthattheyoftenreportinternalratesOfreturnratherthantime-weightedQteSOfreturn./IRRisinfluencedbythetimingofcapitalcallsanddistributions,andtherefore,maybesubjecttomanipulation./InvestorsmayPrefertomonitoraPriVatefundsmultipleOninvestedCaPit-(McIIC).Ifcapitalisreturnedquickly(therebypossiblyproducingextraordinarilyhighIRRs),theinvestormaywanttoputgreateremphasisontheMOICmeasure.Similarly,fundsthatreturncapitalmoreslowlythanexpectedmightwanttoputgreaterweightontheIRRmeasure.Itsnotanendbutjustthebeginning.Searchforknowledge,readmore,sitonyourfrontporchandadmirethevie
