CFA三级强化班培训项目：投资组合的另类投资管理_标准版.docx

AlternativeInvestmentsforPortfolioManagement匚fOISessionStudy Session 1-2Study Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11Study Session 12-13Study Session 14Study Session 15Study Session 16TopicinCFALevelIIIContentETHICS&PROFESSIONALSTANDARDS&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTATIONS!NEWASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVAESANDCURRENCYMANAGEMENT!NEWFIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)EQUITYPORTFOLIOMANAGEMENT(1)&(2)保隅智期Hl)脚NP&删ANAGEMENTNEWi耨；KK彳眼能帖朗留眩歌氏喋心似NX拴睡EcffewiNEWiCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENTINEW FrameworkAlternative InvestmentsSSll:AlternativeInvestmentsforPortfolioManagementR26HedgeFundStrategiesR27AssetAllocationtoAlternativeInvestments专业创新T曾值HedgeFundStrategiesOverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-Strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund.FOFsEquityStrategiesEquity-relatedhedgefundstrategiesfocusPrimariIyOCStoCkmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundTheSiZeandSignOfequitymarketexposureoftendictatetheclassificationofequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategies1.ong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityStrategyImplementationIdentifyoverpricedandunderpricedstocks.Purchases(longpositions)stocksthatwillriseinvalue;Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/SmanagersUseindex-basedshorthedgestoreducemarketrisk.Useindexfundstoachieveadesiredexposure.Long/ShortEquityCharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughlyequivalenttoalong-onlyapproachbutwithastandarddeviation50%Iowerthanalong-onlyapproach.ThisstrategycantypicallybehddledbybothIimitedBeerandHFH共uaLfund-tvpevehicles.1.everageUsage:Variable:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningfulreturnprofile.Roleinportfolio1.iquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpotentialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedPooPymanagedcompanies,firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsShort-biasedActivistshortsellingOnemajorchallenge:marketsinevitablyriseovertime,whichcreatesatendencytowardnegativereturnsforshorts.StrategyImplementationTakeabottom-up叩PnDaChbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort.Methods:AltmanZ-score&BeneishM-score.DedicatedShortSellingandShort-BiasedCharacteristics1.owerreturnbutwithanegativeCOiTelatiOnbenefit.MorevolatilethanatypicalL/Sequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.Thisstrategyistypicallyhandledbestinalimitedpa<eFshipbecauseofdifficultoperationalaspectsofshortselling.1.everageUsage1.ow:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.Roleofportfolio1.iquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.与我创新增值EquityMarketNeutralEquitymarket-neutral(EMN)Takeopposite(i.e.,longandshort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfunds:1)togeneratealpha,2)tobeimmunetomovementsintheoverallmarketTypesofEMNPairstrading.Stubtrading.Multi-classtrading.Strategyimplementation1)toincludeOnlytradableSeCUritieSWithSUffiCientliqUidityandadequateShOHt-Sellingpotential2)toanalyzeforbuyandSellOPPortUnitieSIISingfundamentalmodelsand/orstatisticalandmomentum-basedmodels3)tomaintainmarketriskneutmlity4)toConsidertheavailabilityandcostofleverageintermsofdesiredreturnprofileandacceptablepotentialportfoliodrawdownriskEquityMarketNeutralCharacteristicsRelativelymodestreturnprofilesHighlevelsofdiversificationandliquidityandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNottomeetregulatoryleveragelimitsformutualfundvehiclesRoleinportfo