INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap026 Hedge Funds.ppt

CHAPTER26,HedgeFunds,2,HedgeFundsvs.MutualFunds,HedgeFund,Transparency:LimitedLiabilityPartnershipsthatprovideonlyminimaldisclosureofstrategyandportfoliocompositionNomorethan100“sophisticated”,wealthyinvestors,MutualFund,Transparency:RegulationsrequirepublicdisclosureofstrategyandportfoliocompositionNumberofinvestorsisnotlimited,3,HedgeFundsvs.MutualFunds,HedgeFund,Investmentstrategy:Veryflexible,fundscanactopportunisticallyandmakeawiderangeofinvestmentsOftenuseshorting,leverage,optionsLiquidity:Oftenhavelock-upperiods,requireadvanceredemptionnotices,MutualFund,Investmentstrategy:Predictable,stablestrategies,statedinprospectusLimiteduseofshorting,leverage,optionsLiquidity:Canoftenmovemoreeasilyintoandoutofamutualfund,4,HedgeFundsvs.MutualFunds,HedgeFund,Compensationstructure:Typicallychargeamanagementfeeof1-2%ofassetsandanincentivefeeof20%ofprofits,MutualFund,Compensationstructure:Feesareusuallyafixedpercentageofassets,typically0.5%to1.5%,5,HedgeFundStrategies,DirectionalBetsthatonesectororanotherwilloutperformothersectorsNon-directionalExploittemporarymisalignmentsinrelativevaluationacrosssectorsBuyonetypeofsecurityandsellanotherStrivestobemarketneutral,6,Table26.1HedgeFundStyles,7,StatisticalArbitrage,UsesquantitativesystemsthatseekoutmanytemporaryandmodestmisalignmentsinpricesInvolvestradinginhundredsofsecuritiesadaywithshortholdingperiodsPairstrading:PairupsimilarcompanieswhosereturnsarehighlycorrelatedbutwhereoneispricedmoreaggressivelyDataminingtouncoversystematicpricingpatterns,8,PortableAlpha,Investwhereveryoucanfindalpha.Hedgethesystematicriskoftheinvestmenttoisolateitsalpha.EstablishexposuretodesiredmarketsectorsbyusingpassiveproductssuchasindexedmutualfundsorETFs.Transferalphafromthesectorwhereyoufindittotheassetclassinwhichyouultimatelyestablishexposure.,9,PurePlayExample,Youmanagea$1.2millionportfolio.Youbelievealphais0andthatthemarketisabouttofall.Soyouestablishapureplayonthemispricing.Thereturnonyourportfoliois:,10,PurePlayExample,Supposebetais1.2,alphais2%,therisk-freerateis1%,andtheSHedgedPosition,14,StyleAnalysis:FactorExposure,Manyhedgefundshavedirectionalstrategiesinwhichthefundmakesanoutrightbet.Adirectionalfundwillhavesignificantbetasonthefactorsonwhichitbets.,15,StyleAnalysis:FactorExposure,Market-neutralfundshaveinsignificantbetas.DedicatedshortbiasfundsexhibitsubstantialnegativebetasontheS&Pindex.Distressedfirmfundshavesignificantexposuretocreditconditions.GlobalmacrofundsshownegativeexposuretoastrongerU.S.dollar.,16,LiquidityandHedgeFundPerformance,Hedgefundstendtoholdmoreilliquidassetsthanotherinstitutionalinvestors.Aragon:Typicalalphamayactuallybeanequilibriumliquiditypremiumratherthanasignofstock-pickingability.HasanhodzicandLo:Hedgefundreturnshaveserialcorrelation,asignofliquidityproblems.ThisbiasestheSharperatiosupward.,17,Figure26.2HedgeFundswithHigherSerialCorrelationinReturns,18,LiquidityandHedgeFundPerformance,Sadka:Unexpecteddeclinesinmarketliquidityareanimportantdeterminantofaveragehedgefundreturns.Santaeffect:HedgefundsreportaveragereturnsinDecemberthataresubstantiallygreaterthantheiraveragereturnsinothermonths.TheDecemberspikeinreturnsisstrongerforlower-liquidityfunds,suggestingthatilliquidassetsaremoregenerouslyvaluedinDecember.,19,Figure26.3AverageHedgeFundReturnsasaFunctionofLiquidityRisk,20,HedgeFundPerformanceandSurvivorshipBias,Backfillbias:Hedgefundsreportreturnsonlyiftheychoosetoandtheymaydosoonlywhentheirpriorperformanceisgood.Survivorshipbias:FailedfundsdropoutofthedatabaseHedgefundattritionratesaremorethandoublethoseformutualfunds.,21,HedgeFundPerformanceandChangingFactorLoadings,Hedgefundsaredesignedtobeopportunisticandmayfrequentlychangetheirriskprofiles.,Ifriskisnotconstant,alphaswillbebiasedifastandard,linearindexmodelisused.,22,Figure26.4CharacteristicLineofaPerfectMarketTimer,23,Figure26.4CharacteristicLinesofStockPortfoliowithWrittenOptions,24,Conclusions,Theabilitytoperfectlytimethemarketgivethefundanonlinearcharacteristicline,similartoholdingacalloption.Thefundhasgreatersensitivitytothemarketwhenitisrising.Fundsthatwriteoptionshavegreatersensitivitytothemarketwhenitisfallingthanwhenitisrising.Nonlinearcharacteristiclinessuggestmanyhedgefundsareimplicitoptionwriters.,25,Figure26.6MonthlyreturnonhedgefundindexesversusreturnontheS&P500,26,BlackSwansandHedgeFundPerformance,NassimTaleb:Manyhedgefundsrackupfamethroughstrategiesthatmakemoneymostofthetime,butexposeinvestorstorarebutextremelossesExamples:TheOctober1987crashLongTermCapitalManagement,27,FeeStructureinHedgeFunds,2%ofassetsplusanincentivefeeequalto20%ofinvestmentprofits:Incentivefeesareeffectivelycalloptionsontheportfoliowith:X=(portfoliovalue)*(1+benchmarkreturn)Themanagergetsthefeeiftheportfoliovaluerisessufficiently,butlosesnothingifitfalls.,28,Figure26.7IncentiveFeesasaCallOption,29,FeeStructureinHedgeFunds,Highwatermark:Thefeestructurecangiveincentivestoshutdownapoorlyperformingfund.Ifafundexperienceslosses,itmaynotbeabletochargeanincentiveunlessitrecoverstoitsprevioushighervalue.Withdeeplosses,thismaybetoodifficultsothefundcloses.,30,FundsofFunds,Fundsthatinvestinoneormoreotherhedgefunds.Alsocalled“feederfunds”.Awaytodiversifyacrossmanyhedgefunds.,Supposedtoprovideduediligenceinscreeningfundsforinvestmentworthiness.Madoffscandalshowedthattheseadvantagesarenotalwaysrealizedinpractice.,31,FundsofFunds,Optionalitycanhaveabigimpactonexpectedfees.Fundoffundspaysanincentivefeetoeachunderlyingfundthatou