CFA三级知识点必备：Alternative Investment-标准版

AlternativeInvestmentsforPortfolioManagementJCY1.1CategorizationLong/shortequityO-ChartEquitystrategiesDedicatedshortsellingandshort-biasedEquitymarketneutralMergerarbitrageEvent-drivenstrategiesDistressedsecuritiesFixed-incomearbitragestrategiesOpportunisticstrategiesHedgeFundConvertiblebondarbitragemacrostrategiesManagedfuturestradingSpecialiststrategiesReinsurance/lifesettlementsFund-of-fundsMulti-managerstrategiesMulti-strategyhedgefundsEquityEquity-relatedhedgefundstrategiesfocusprimarilyonstockmarkets.Equityhedgefundstrategiesinvestprimarilyequityandequity-relatedinstruments.equity-relatedhedgefundThesizeandsignequitymarketexposureoftendictatetheclassificationequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategiesLong/shortequity;Dedicatedshortbias;Equitymarketneutral.Long/ShortEquityCharacteristicstrategies.Returntypicallyaimedachieveaverageannualreturnsroughlyequivalentalong-onlyapproachbutwithastandarddeviationlowerthanalong-onlyapproach.Thisstrategycantypicallybehandledbybothlimitedpartnerandmutualfund-typevehicles.LeverageUsage:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendsbeachieveameaningfulreturnportfolioLiquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourcepotentialalphaandreducedportfolioDedicatedShortandShort-BiasedCharacteristicsLowerreturnbutwithanegativecorrelationbenefit.MorethanatypicalL/Sequityhedgefundgivenshortbetaexposure.Managershavesomeaddalphamarkettimingportfoliobetabutdifficultdowithconsistencyoraddedalpha.Thisstrategytypicallyhandledbestalimitedpartnershipbecausedifficultoperationalaspectsshortselling.LeverageUsageLow:Theretypicallysufficientnaturalthatshort-sellingmanagersdonotneedaddmuchleverage.portfolioLiquid,negativelycorrelatedalphathatmostotherstrategies,withmark-to-marketpricingfrompublicprices.Buthistoricreturnsgenerallydisappointing.EquityNeutralCharacteristicsRelativelymodestreturnHighlevelsdiversificationandandlowerstandarddeviationShorterhorizonsandmoreactivetradingHighleverageNotmeetregulatoryleverageformutualfundvehiclesportfolioEMNstrategiesespeciallyattractiveduringperiodsmarketvulnerabilityandweakness,sincetheirsourcesreturnandalphadonotacceptingbetarisk.attemptpredictingtheoutcomecorporateeventsevent-drivenSoft-catalystevent-drivenapproachHard-catalystevent-drivenapproachThemainrisk:event.Event-drivenstrategiesMergerArbitrage;DistressedSecurities.MergerArbitrageStrategyimplementationCash-for-stockStock-for-stockMergerarbitragecomparablewritinginsuranceonanacquisition.Iftheacquisitioncompletedasplanned,thehedgefundearnsaninsurancepremium.Ifthetransactionfails,thehedgefundstandsloseCross-bordermergerandacquisition(M&A)wheretwocountriesandtworegulatoryauthoritiesinvolvedmore.MergerArbitrageCharacteristicsRelativelyliquidstrategyMarketsensitivityandleft-tailriskattributesthedealsInsurance-likeplusashortputoptionLimited-partnershipvehicleLeverageUsage(high)portfolioRelativelyhighSharperatioswithtypicallylowdouble-digitreturnsandmid–singledigitstandarddeviation(dependingonspecificlevelsleverageapplied),butleft-tailriskassociatedwithanotherwisesteadyreturnDistressedOutcomesbankruptcyprocessliquidation,thepriorityclaimsSeniorsecureddebt(high),Juniorsecureddebt,Unsecureddebt,Convertibledebt,Preferredstock,Commonstock(finally).re-organization,acapitalstructure-organizedandtermsforcurrentclaimsnegotiatedandrevised.StrategyimplementationInaliquidationsituation,thefocusondeterminingtherecoveryfordifferentclassesclaimants.Inareorganizationsituation,thefocusonhowthefinancesberestructuredandonassessingthethebusinessenterpriseandthefuturedifferentclassesclaims.DistressedCharacteristicsMoreUsuallylong-biasedRelativelyhighlevelsportfolioReturnstendbe“lumpy”andsomewhatcyclical.2.2ArbitrageexploitinefficienciesbytakinglongandshortpositionsacrossarangedebtsecuritiesArbitrageopportunitiessourcesDurationCreditqualityLiquidityOptionalityStrategyimplementationMostcommontypesfixed-incomearbitragestrategiesConsideringcurvetradesCarrytradesThepayoffthisfixed-incomearbitragestrategyresemblesashortputoption.ArbitrageCharacteristicsHighcorrelationsfoundacrossdifferentsecuritiesyHighleverageusageportfolioAfunctioncorrelationsbetweendifferentsecurities,theyieldspreadandthehighnumberandwidediversitydebtsecuritiesacrossdifferentmarkets.ConvertibleBondArbitrageAcombinationstraightdebtplusalongequitycalloptionwithanexercisepriceequalthepricetimestheconversionconversionStrategyimplementationBuytheundervaluedconvertiblebondashortpositiontherelativelyovervaluedunderlyingstockConvertibleBondArbitrageCharacteristicsextractandbenefitthisstructurallycheapsourceimpliedbydeltahedgingandgammatradingshortequityhedgesagainsttheirlongconvertibleholdingsLiquidityissuessurfaceforconvertiblearbitragestrategiestwoways:naturallyless-liquidsecuritiesandborrowunderlyingequityforshortHighlevelsleverageportfolioConvertiblearbitrageworksbestduringperiodshighconvertibleissuance,moderateandreasonablemarketMacroCharacteristicsTheuseleverageThesourcereturnsrevolvesaroundcorrectlydiscerningandcapitalizingontrendsmarkets.portfoliomacrocanbeveryusefuloverafullmarketcycletermsportfoliodiversificationandalphageneration.ManagedFuturesCharacteristicsHighlyMoresystematicapproachSomewhatcyclicalandmoreendthespectrumhedgefundstrategiespositivelyrelatedthetimehorizon)HighleverageportfolioReturnsmanagedfuturesstrategiestypicallyexhibitpositiveright-skewnessperiodsmarketstress,whichveryusefulforportfoliodiversification.Thesourceandbuycheapandsellmoreexpensivewhilenettingoutthetimedecayaspectsnormallyassociatedwithoptionsportfolios.relativetradingTime-zonearbitrageCross-assettradingCharacteristicsconvexityLiquidityacrossthedifferentinstrumentsOutsizedgainswithveryup-frontrisk.portfolioAusefulsourceportfolioreturnalphaacrossdifferentgeographiesandassetclasses.SettlementsStrategyimplementationThehedgefundwouldlookforthefollowingpolicycharacteristics:thelowsurrenderthelowongoingpremiumpaymentsthehighthatthedesignatedinsuredpersonindeeddiewithinacertainperiodtimefindingtheappropriate,alumpsumabroker)thepolicyholder(s)methodsforcatastropheinsurancemaythehedgefundmanagerconsiderweatherpatternsandforecasts.SettlementsCharacteristicsLifeinsuranceprotectsthepolicyholder’sdependentsthecasehis/herdeath.Ahedgefundstrategyfocusingonsettlementsinvolvesanalyzingpoolsinsurancecontractsbeingofferedforsale.Organizedmarketsforcatastrophebondsandcatastropheriskfuturescontinuedevelop.portfolioAveryappealingfeatureinsuranceinvestmentsaportfoliothattheriskinherentthesestrategiesalmostentirelyuncorrelatedwithmarketrisksandbusinesscycles.3.Multi-ManagerThreemainapproaches:Creatingownmixmanagersbyinvestingdirectlyintoindividualhedgefundsrunningdifferentstrategies;Fund-of-funds;Multi-strategyfunds.Fund-of-FundsCharacteristicsbeimportantforsmallerhigh-net-worthinvestorsandsmallerinstitutionsLeveredcapitalFoFs.OtherattractivefeaturesMorediversestrategymixbutwithlesstransparencyandslowertacticalreactiontimeportfolioBycombiningdifferentandideallylesscorrelatedstrategies,aFoFportfolioshouldprovidemorediversification,lessextremeexposures,lowerrealizedandgenerallylesssinglemanagerthandirectinvestingindividualhedgefundstrategies.HedgeFundsStrategyimplementationcombinemultiplehedgefundstrategiesunderthesamehedgefundstructureCharacteristicsgenerallyoutperformwithmorevarianceandoccasionallossesoftenrelatedtheirhigherleverageofferpotentiallyfastertacticalassetallocationandimprovedfeestructure(nettingriskhandledatstrategylevel)butwithhighermanager-specificoperationalrisksimposeinvestor-levelorfund-levelgatesonmaximumredemptionsallowedperquarterbesomewhatmorepronetoleft-tailblow-upstressperiodsMoreresilientportfolioThemulti-strategymanagercanreactfasterdifferentmarketimpacts.4.AssetAllocationtoMulti-Asset-AlternativesOverall,theaddingalternativeinvestmentsaportfoliomostoftenimprovetheriskandreturns.DiversifyingEquityShortForashortinvestmenthorizon,theprimaryriskreturns.bebiaseddownwardforanumberreasons:Appraisal-basedSamplingbiases,suchassurvivorshipandbackfillbiasLowcorrelationsreturnswitheachotherDiversifyingEquityWithalongtimehorizon,theprimaryrisktheachievingaminimumrequiredratereturnovertime.Alternativeinvestmentsbeabetterfordiversification.3.5.AssetAllocationApproachestoAssetAsuggestedapproachincludingalternativeinvestmentsanassetallocationdecisiondotwostages:Firstwithonlythetraditionalassetclasses;Thenalsoconsideringalternativeinvestments.Thesecondprocesscanbeassistedbystatisticaltoolssuchas:MonteCarlosimulation.Mean-varianceoptimization.Riskfactorbasedoptimization.Theseapproachescanbeusedindividuallyorcombination.ApproachestoAssetMontesimulationsimulateriskfactororassetreturnscenariosthatexhibittheskewnessandkurtosiscommonlyseenalternativeinvestments.illustratesimulation-basedriskandreturnanalyticsoveralongtimehorizonaassetallocationcontext.StepsmodelconstructionprocessDecidebetweenassetclassreturnsorriskfactorsasthevariablesbesimulatedEstablishthequantitativeframeworktranslatethemassetclassreturns(basedonriskfactors)usetheresultingassetclassreturnscenariosdevelopmeaningfuloutputsApproachestoAssetOptimizationtechniquesMean–varianceoptimization(MVO)typicallyover-allocatesalternativeassetclasses,because:riskunderestimatedbecausestaleorinfrequentpricing;theunderlyingassumptionthatreturnsnormallydistributed.Practitionersusuallyaddressthisbiastowardsalternativesbyestablishingonthetoalternatives.Optimizationmethodsthatincorporatedownside(mean–optimization)orintoaccountskewmaybeusedenhancetheassetallocationprocess.LimitationSmallchangestheinputsmaygeneratesignificantchangesoptimalassetallocations.ApproachestoAssetfactorbasedoptimizationRiskfactorbasedoptimizationsimilarbutinsteadmodelingassetclassesbytheirreturnandriskcharacteristics,theinvestormodelsfactorsandfactorreturnexpectations.Ariskfactorbasedapproachrequirestheadditionalsteptranslatingtheoptimizedriskexposuresanassetallocationachievethem.LimitationsAssetclasses’returnsensitivitysomeriskfactorexposuresmightnotbestableovertime.Correlationsamongriskfactorsmaybehavecorrelationsamongassetclassreturnsandincreaseduringperiodsfinancialstress.6.LiquidityAchievemaintainthedesiredallocationCashflowsatypicalinvestmentpartnershipcapitalcallsintheearlyanddistributionsintheAsimplemodelthecashflowstoandfromafund)Contribution=ofContribution×Commitment–Paid-in-C=C%×（CC-PIC）ttDistributionsafundcanbemodeledofitsnetassetDistributionsinperiodt=tobedistributedinperio