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-squeezesituat