CFA三级基础段：投资组合管理的另类投资（标准版）

Alternative

Investments

forPortfolio

Management

CFA三级培训项目

讲师：Jcy

(j>TopicinCFALevelIII

SessionContent

StudySesson1-2ETHICS&PROFESSIONALSTANDARDS(1：&(2)

StudySesson3BEHAVIORALFINANCE

StudySesson4CAPITALMARKETEXPECTATIONS[NEW]

StudySesson5ASSETALLOCAnONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENT

StudySesson6DERIVATIVESANDCURRENCYMANAGEMENT[NEW]

StudySesson7-8FIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)

StudySesson9-10EQUITYPORTFOLIOMANAGEMENT⑴&(2)

StudySession11ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENT[NEW]

StudySesson12-13PRIVATEWEALTHMANAGEMENT(1)&(2)[NEW]

StudySesson14[]

StudySesson15我做艇幅用舶朝轮怩腿松您蒯瞰联甄EC"跳i【NEW

StudySesson16CASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENT[NEW]

]

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(•)Framework>SSll:AlternativeInvestments

AlternativeInvestmentsforPortfolioManagement

•R26HedgeFundStrategies

•R27AssetAllocationto

AlternativeInvestments

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HedgeFundStrategies

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♦OverviewofHedgeFundStrategies

>Keyfeaturesofhedgefunds

•Lowerregulatoryandlegalconstraints(Lackoftransparency).

•Flexiblemandates:Flexibilitytouseshortseiingandderivatives.

•Alargerinvestmentuniverse.

•Aggressiveinvestmentexposures.

•Comparativelyfreeuseofleverage.

•Liquidityconstraintsforinvestors.

•Highercoststructures.

>Typesofhedgefund

•Single-managerfund

/Oneportfoliomanagerinvestsinonestrategyorstyle.

•Multi-managerfund

/Multi-strategyfund,inwhichteamsofportfoliomanagerstrade

andinvestinmultipledifferentstrategieswithinthesamefund.

/FOFs

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♦OverviewofHedgeFundStrategies

>Keyfeaturesofhedgefunds

•Lowerregulatoryandlegalconstraints(Lackoftransparency).

•Flexiblemandates:Flexibilitytouseshortseiingandderivatives.

•Alargerinvestmentuniverse.

•Aggressiveinvestmentexposures.

•Comparativelyfreeuseofleverage.

•Liquidityconstraintsforinvestors.

•Highercoststructures.

>Typesofhedgefund

•Single-managerfund

/Oneportfoliomanagerinvestsinonestrategyorstyle.

•Multi-managerfund

/Multi-strategyfund,inwhichteamsofportfoliomanagerstrade

andinvestinmultipledifferentstrategieswithinthesamefund.

/FOFs

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♦Summary

>O-Chart

HedgeFund

Strategies

♦EquityStrategies

>Equity-relatedhedgefundstrategiesfocusprimarilyonstockmarkets

•Equityhedgefundstrategiesinvestprimarilyinequityandequity-

relatedinstruments.

>Typesofequity-relatedhedgefund

<一hesize-andsigno'e印曲-"(ketexposureoftendictatethe

classificationofequityhedgefundstrategies.

>Themainrisk:equity-orientedrisk.

>Equity-relatedhedgefundstrategies

■Long/shortequity;

•Dedicatedshortbias;

•Equitymarketneutral.

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♦Long/ShortEquity

>StrategyImplementation

•Identifyoverpricedandunderpricedstocks,L/Sequityhedgefundsare

straightforwardtounderstand.

/Purchases(longpositions)stocksthatwillriseinvalue;

/Sells(shortpositions)stocksthatwillfallinvalue.

•Sector-specificfocus(specialistL/Sfundmanagers)

/Searchforsingle-nameshortsforportfolioalphaandadded

absolutereturn.

•GeneralistL/Smanagers

/Useindex-basedshorthedgestoreducemarketrisk.

/Theymayalsouseindexfundstoachieveadesiredexposure.

■Overall,long/shortequityinvestinginmostinstancesisamixof

extractingalphaonthelongandshortsidesfromsingle-namestock

selectioncombinedwithsomenaturallynetongembeddedbeta.

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♦Example

>Anequity-relatedhedgefundstrategywithgrossexposuresof80%

longand35%shortismostlikelytobeclassifiedas:

A.adedicatedshortstrategy.

B.ashort-biasedstrategy.

C.along/shortequitystrategy.

Solution:C

EquityL/Sstrategiestypicallyhavegrossexposuresof70%—90%long

and20%-50%short.Dedicatedshortstrategiesareusually60%-120%

shortatalltimes.Short-biasedstrategiesareusuallyaround30%--

60%netshort.

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♦DedicatedShortSellingandShort-Biased

>Thesemanagerslookforpoorlymanagedcompanies,firmsindeclining

marketsegments,orevenfirmswithdeceitfulaccounting.

•Dedicatedshort-sellingfundsseekoutsecuritiesthatareoverpriced

inordertosellthemshort.

•Short-biasedmanagersuseasimilarstrategy,exceptthattheshort

positionissomewhatoffsetbyalongexposure.

•Activistshortselling,inwhichthefundmanagernotonlytakesashort

positioninastock,butalsopresentsresearchthatcontendsthatthe

stockisoverpriced.

>Onemajorchallengeofbeingashortselleristhatmarketsinevitablyrise

overtime,whichcreatesatendencytowardnegativereturnsforshorts.

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♦DedicatedShortSellingandShort-Biased

>StrategyImplementation

•Short-sellingmanagerstypicallytakeabottom-upapproachby

scanningtheuniverseofpotentialselltargetstouncoverandsellshort.

/Methods:AltmanZ-score&BeneishM-score.

•However,althoughsomestockstendtobeattractivetargets,thestock's

highshoft-inteFestratioandhighcosttoboirow("onspecial")arevery

concerning.Bothfactorssuggestsignificantpotentialthatadangerous

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♦DedicatedShortSellingandShort-Biased

>Characteristics

•Lowerreturnbutwithanegativecorrelationbenefit.

•MorevolatilethanatypicalL/Sequityhedgefundgivenshortbeta

exposure.

•Managershavesomeabilitytoaddalphaviamarkettimingofportfolio

betatilt,butitisdifficulttodowithconsistencyoraddedalpha.

•Thisstrategyistypicallybecause

ofdifficultoperationalaspectsofshortselling.

•LeverageUsage

/Low:Thereistypicallysufficientnaturalvolatilitythatshort-selling

>Roleofportfolio

•Liquid,negativelycorrelatedalphatothatofmostotherstrategies,with

mark-to-marketpricingfrompublicprices.

•Buthistoricreturnsgenerallydisappointing.

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♦EquityMarketNeutral

>Equitymarket-neutral(EMN)

•Equitymarket-neutral(EMN)hedgefundstrategiestakeopposite(i.e.,

longandshort)positionsinsimilarorrelatedequitiesthathave

divergentvaluations.

•TheoverallgoalofEMNfundsistocreateaportfoliothatnotonly

generatesalpha,butisalsorelativelyimmunetomovementsinthe

overallmarket.

>TypesofEMN

•Pairstrading.Twostockswithsimilarcharacteristicsareidentifiedthat

arerespectivelyovervaluedandundervalued.

•Stubtrading.ThisEMNstrategyinvolvesgoinglongandshortshares

ofasubsidiaryanditsparentcompany.

•Multi-dasstrading.Thisstrategyentailsgoinglongandshortrelatively

mispricedshareclassesofthesamefirm.

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♦EquityMarketNeutral

>Characteristics

•Theyhaverelativelymodestreturnprofiles,withportfoliosaimedtobe

marketneutral,anddifferingconstraintstootherfactorsandsector

exposuresareallowed.

•Theygenerallyhavehighlevelsofdiversificationandliquidityandlower

standarddeviation.

•ShorterhorizonsandmoredctiveIrdding.

•Highleverage

•EMNstrategiestypicallydonotmeetregulatoryleveragelimitsfor

mutualfundvehicles.So,曲ershi仍a\ethepreferredvehicle.

>Roleinportfolio

•EMNstrategiesareespeciallyattractiveduringperiodsofmarket

vul-eFabilitya科dweakness,sincetheirsourcesofreturnandalphado

notrequireacceptingbetarisk.

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♦Example

>Consideringvariousequity-relatedhedgefundstrategies,astrategy

thatismostlikelytoapplyrelativelyhighlevelsofleverageis:

A.anEMNstrategy.

B.adedicatedshortstrategy.

C.ashort-biasedstrategy.

Solution:A

EMNstrategiesusuallyapplysomewhathighlevelsofleverageinorder

toproducemeaningfullevelsofreturn.Neitherdedicatedshort

strategiesnorshort-biasedstrategiestypicallymakesignificantuseof

leverage.

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♦Example

>Relativetootherhedgefundstrategies,EMNstrategiesaremostlikely

to:

A.exhibitrelativelymodestreturns.

B.bevulnerabletoperiodsofmarketweakness.

C.earnreturnfromalphaandbetarisk.

Solution:A

Comparedtovariousotherhedgefundstrategies,EMNstrategies

generallyhaverelativelymodestreturnprofiles.EMNfunds1primary

sourceofreturnisalpha.Theydonottakeonbetarisk.Theirlackof

marketexposuremakeEMNstrategiesattractiveinperiodsofmarket

weakness.

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♦Example

>LingChang,aHongKong-basedEMNmanager,hasbeenmonitoring

PepsiCoInc.(PEP)andCoca-ColaCo.(KO),twoglobalbeverage

industrygiants.AfterexaminingtheAsiamarketingstrategyforanew

PEPdrink,Changfeelsthemarketingcampaignistoocontroversialand

theoverallmarketistoonarrow.AlthoughPEPhasrelativelyweak

earningsprospectscomparedtoKO,3-monthvaluationmetricsshow

PEPsharesaresubstantiallyovervaluedversusKOshares(relative

valuationshavemovedbeyondtheirhistoricalranges).Aspartofa

largerportfolio,Changwantstoallocate$1milliontothePEPversus

KOtradeandnotesthehistoricalbetasandS&P500Indexweights,as

showninthefollowingtable.

StockBetaS&P500IndexWeight

PEP0.650.663

KO0.550.718

DiscusshowChangmightimplementanEMNpairstradingstrategy.

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♦Example

Solution:

ChangshouldtakeashortpositioninPEPandalongpositioninKOwith

equalbeta-weightedexposures.GivenChangwantstoallocate$1million

tothetrade,shewouldtakeonalongKOpositionof$1million.Assuming

realizedbetaswillbesimilartohistoricalbetas,toachieveanequalbeta-

weightedexposurefortheshortPEPposition,Changneedstoshort

$846,154worthofPEPshares[=-$1,000,000/(0.65/0.55)].

OnlytheoveralldifferenceinperformancebetweenPEPandKOshares

wouldaffecttheperformanceofthestrategybecauseitwillbeinsulated

fromtheeffectofmarketfluctuations.Ifoverthenext3monthsthe

valuationsofPEPandKOreverttowithinnormalranges,thenthispairs

tradingEMNstrategyshouldreapprofits.

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♦Event-DrivenStrategies

>Event-drivenhedgefundstrategiesarethosethatattempttoprofitfrom

predictingtheoutcomeofcorporateevents,suchasbankruptcies,mergers,

restructurings,acquisitions,etcetera.

>Typesofevent-drivenapproach

•Soft-catalystevent-drivenapproach

/Investmentscanbemadeeitherproactivelyinanticipationofan

eventthathasyettooccur

•Hard-catalystevent-drivenapproach

/investmentscanbemadeinreactiontoanalreadyannounced

corporateeventinwhichsecuritypricesrelatedtotheeventhave

yettofullyconverge

•Thehardapproachisgenerallylessvolatileandlessriskythansoft-

catalystinvesting.

>Themainrisk:eventrisk.

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♦Event-DrivenStrategies

>Event-drivenstrategies

•MergerArbitrage;

•DistressedSecurities.

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♦MergerArbitrage

AStrategyimplementation

•Cash-for-stock

/Inacash-for-stockacquisition,theacquiringcompany(A)offersthe

targetcompany(T)acashpricepersharetoacquireT.

/Themanager

•Stock-for-stockacquisition

/Aoffersaspecificnumberofitssharesinexchangefor1Tshare.

JThemanagerbuy匚Landsellsthe-aequiringcompaayXAJ-inthe

sameratioastheoffer.

>MergerarbitrageiscomparabletoWF的设■iRSWKneeeFFan_aeqHisrtieR

•Iftheacquisitioniscompletedasplanned,thehedgefundearnsan

insurancepremium.

•Ifthetransactionfails,however,thenthehedgefundstandstolose

money,analogoustoaninsurancecompanymakingapayout.

>Cross-bordermergerandacquisition(M&A)wheretwocountriesand

tworegulatoryauthoritiesareinvolvedaremorerisky.

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♦MergerArbitrage

>Characteristics

•Relativelyliquidstrategy.

•Ifthedealsfail,thisstrategyhasmarketsensitivityandleft-tailrisk

attributes.

•Itsreturnprofileisinsurance-likeplusashortputoption.

•Thepreferredvehicleislimitedpartnershipbecauseofmerger

arbitrage'suseofsignificantleverage,butsomelow-leverage,low-

volatilityliquidaltsmergerarbitragefundsdoexist.

•LeverageUsage:

/High:typicallyapply300%-500%leverageinordertoachieveIcw-

double-digitreturns.

>Roleinportfolio

•RelativelyhighSharperatioswithtypicallylowdouble-digitreturnsand

mid-singledigitstandarddeviation(dependingonspecificlevelsof

leverageapplied),butleft-tailriskisassociatedwithanotherwisesteady

returnprofile.

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♦MergerArbitrage

>Anacquiringfirm(A)istradingat$45/shareandhasofferedtobuytargetfirm

(T)inastock-for-stockdeal.Theofferratiois1shareofAinexchangefor2

sharesofT.TargetfirmTwastradingat$15persharejustpriortothe

announcementoftheoffer.Shortlythereafter,T'ssharepricejumpsupto$19

whileAzssharepricefallsto$42inanticipationofthemergerreceiving

requiredapprovalsandthedealclosingsuccessfully.Ahedgefundmanageris

confidentthisdealwillbecompleted,sohebuys20,000sharesofTandsells

short10,000sharesofA.

>Whatarethepayoffsofthemergerarbitragestrategyifthedealissuccessfully

completedorifthemergerfails?

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♦MergerArbitrage

>Solution:

•Atcurrentpricesitcosts$380,000tobuy20,000sharesofT,and

$420,000wouldbereceivedforshortselling10,000sharesofA.This

providesanetspreadof$40,000tothehedgefundmanagerifthe

mergerissuccessfullycompleted.

•Ifthemergerfails；thenpricesshouldreverttotheirpre-merger

announcementlevels.Themanagerwouldneedtobuyback10,000

sharesofAat$45(costing$450,000)toclosetheshortposition,while

thelongpositionin20,000sharesofTwouldfallto$15pershare(value

at$300,000).

•Thiswouldcauseatotallossof$110,000[=(A:+$420,000-$450,000)+

(T:-$380,000+$300,000)].Insum,thismergerstrategyisequivalentto

holdingarisklessbondwithafacevalueof$40,000(thepayofffora

successfuldeal)andashortbinaryputoption,whichexpiresworthlessif

themergersucceedsbutpaysout$110,000ifthemergerfails.

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DistressedSecurities

Outcomesofbankruptcyprocess

■Inliquidation,thefirm'sassetsaresoldoffandsecuritiesholdersare

paidsequentiallybasedonpriorityoftheirclaims

/Seniorsecureddebt(high),

/Juniorsecureddebt,

/Unsecureddebt,

/Convertibledebt,

/Preferredstock,

/Commonstock(finally).

•Inre-organization,afirm'scapitalstructureisre-organizedandterms

forcurrentclaimsarenegotiatedandrevised.

/Debtholderseithermayagreetomaturityextensionsorto

exchangingtheirdebtfornewequityshares(existingsharesare

canceled)thataresoldtonewinvestorstoimprovethefirm's

financialcondition.

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♦DistressedSecurities

>Strategyimplementation

•Inaliquidationsituation,thefocusisondeterminingtherecoveryvalue

fordifferentclassesofclaimants.

/Ifthefundmanager'sestimateofrecoveryvalueishigherthan

marketexpectations,perhapsduetoilliquidityissues,thenhe/she

canbuytheundervalueddebtsecuritiesinhopesofrealizingthe

higherrecoveryrate.

•In-a-Feefganizationsituation,thehedgefundmanager'sfocusisonhow

thefirm'sfinanceswillberestructuredandonassessingthevalueofthe

businessenterpriseandthefuturevalueofdifferentclassesofclaims.

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♦DistressedSecurities

>Characteristics

•Thereturnprofilefordistressedsecuritiesinvestingistypicallyatthe

higherendofevent-drivenstrategiesbutwithmorevariability.

•Outrightshortsorhedgedpositionsarepossible,butdistressed

securitiesinvestingisusuallylong-biased.Itissubjecttosecurity­

specificoutcomesbutstillimpactedbythehealthofthemacro­

economy.

•Distressedsecurities-4i4ve&ting-typi€al-ly-eHtailsrelatively-hi^h-level-s-of

illiquidity,especiallyifusingaconcentratedactivistapproach.

>Roleinportfolio

•Returnstendtobe“lumpy"andsomewhatcyclical.Distressedinvesting

isparticularlyattractiveintheearlystagesofaneconomicrecoveryafter

aperiodofmarketdislocation.

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♦Example

>Aninvestmentindistressedsecuritiesismostlikelytobecharacterized

by:

A.alongbias.

B.ahighlevelofliquidity.

C.alargeamountofleverage.

Solution:A

Whileshortpositionsarepossibleindistressedsecuritiesinvesting,itis

usuallylongbiased.Illiquiditytendstobehigh,andthestrategy

generallyusesmoderatetolowleverage.

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♦Example

>Inasequentialpayoffduringaliquidation,thesecurityholderthatis

mostlikelytobepaidofffirstistheholderof:

A.juniorsecureddebt.

B.convertibledebt.

C.preferredstock.

Solution:A

Whenafirm'sassetsaresoldoffinliquidation,securitiesholdersare

paidsequentiallydependingonthepriorityoftheirclaims:firstsenior

secureddebt,thenjuniorsecureddebt,unsecureddebt,convertible

debt,preferredstock,andlastlycommonstock.

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♦RelativeValuesStrategies

>Asthenamesuggests,relativevaluestrategiesattempttoexploitvaluation

differencesbetweensecurities.

■Changesincreditquality,liquidity,andimpliedvolatility(forsecurities

withembeddedoptions)aresomeofthecausesofrelativevaluation

differences.

>Relativevaluesstrategies

■Fixed-IncomeArbitrage;

•ConvertibleBondArbitrage.

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♦Fixed-IncomeArbitrage

>Fixed-incomearbitragestrategiesattempttoexploitpricinginefficiencies

bytakinglongandshortpositionsacrossarangeofdebtsecurities,

includingsovereignandcorporatebonds,bankloans,andconsumerdebt.

•Forexample,creditcardloans,studentloans,mortgage-backed

securities.

>Arbitrageopportunitiessources

•Duration

•Creditquality

•Liquidity

•Optionality

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♦Fixed-IncomeArbitrage

>Strategyimplementation

•Mostcommontypesoffixed-incomearbitragestrategies

/Consideringyieldcurvetrades,theprevalentcalendarspread

strategyinvolvestakinglongandshortpositionsatdifferentpoints

GR4he-yield-GWvewheretherelativemispricingofsecuritiesoffers

thebestopportunities,suchasinacurveflatteningorsteepening,

toprofit.

/Carrytradesinvolvegoinglongahigheryieldingsecurityand

shortingaloweryieldingsecuritywiththeexpectationofreceiving

thepositivecarryandofprofitingonlongandshortsidesofthe

tradewhenthetemporaryrelativemispricingrevertstonormal.

•Thepayoffprofileofthisfixed-incomearbitragestrategyresemblesa

shortputoption.

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♦Fixed-IncomeArbitrage

>Characteristics

•Therisk/returnprofileoffixed-incomearbitragetradingderivesfrom

thehighcorrelationsfoundacrossdifferentsecurities,theyieldspread

pick-uptobecaptured,andthesheernumberofdifferenttypesofdebt

securitiesacrossdifferentmarketswithdifferentcreditqualityand

convexityaspectsintheirpricing.

•YieldcurveandcdrrytradeswithintheUSyovernnientuniversetendto

beveryliquidbuttypicallyhavethefewestmispricingopportunities.

•Thisstrategyhashighleverageurage,butleverageavailabilitytypically

diminisheswithproductcomplexity.

>Roleinportfolio

•Afunctionofcorrelationsbetweendifferentsecurities,theyieldspread

available,andthehighnumberandwidediversityofdebtsecurities

acrossdifferentmarkets.

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♦ConvertibleBondArbitrage

>Convertiblebondsarehybridsecuritiesthatcanbeviewedasacombination

ofstraightdebtplusalongequitycalloptionwithanexercisepriceequalto

thestrikepricetimestheconversionratio(alsoknownasconversionvalue).

■Theconversionratioisthenumberofsharesforwhichthebondcanbe

exchanged.

>Strategyimplementation

•Buythe2ative&-unden/aluedconvertiblebond;

•TakeashortpositionintheFelatively-evewakiedunderlyingstock.

/Thenumberofsharestosellshorttoachieveadeltaneutraloverall

positionisdeterminedbythedeltaoftheconvertiblebond.

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♦ConvertibleBondArbitrage

>Characteristics

•Convertiblearbitragemanagersstrivetoextractandbenefitfromthis

structurallycheapsourceofimpliedvolatilitybydeltahedgingand

gammatradingshortequityhedgesagainsttheirlongconvertible

holdings.

•Liquidityissuessurfaceforconvertiblearbitragestrategiesintwoways:

/1)naturallyless-liquidsecuritiesbecauseoftheirrelativelysmall

issuesizesandinherentcomplexities;

/2)availabilityandcosttoborrowunderlyingequityforshortselling.

•