CFA三级强化班培训项目：投资组合的另类投资管理.docx

FAlternativeInvestments卜forPortfoliokManagementCFAs£0Ir,乎"史6祖典力叶3gliwTopic in CFA Level IIISessionContentStudy Session 1-2Study Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11ETHICS & PROFESSIONAL STANDARDS (1)&(2) BEHAVIORAL FINANCECAPITAL MARKET EXPECTATIONS I NEW 1ASSET ALLOCATION AND RELATED DEQSIONS IN PORTFOUO MANAGEMENTDERIVATIVES AND CURRENCY MANAGEMENT iNEWFIXED-INCOME PORTFOUO MANAGEMENT (1)(2)EQUITY PORTFOUO MANAGEMENT (l8i(2)ALTERNATIVE INVESTMENTS FOR PORTFOUO MANAGEMENT NEWStudy Session 12-13Study Session 14Study Session 15Study Session 16PRIVATE WEALTH MANAGEMENT (1)&(2) NEW, PORTFOUO MANAGEMENT FOR INSTITUTIONAL INVESTORS NEW1 TRADING, PERFORMANCE EVALUATION, AND MANAGER SELECTION I N EW CASES IN PORTFOUO MANAGEMENT AND RISK MANAGEMENT NEW 2-80M世 nra _ FrameworkAlternative InvestmentsSSll: Alternative Investmentsfor Portfolio Management* R26 Hedge Fund Strategies R27 Asset Allocation toAlternative InvestmentsM驳 W !4-80HedgeFundStrategiesuy-Mfi*meOverviewofHedgeFundStrategiesKeyfeaturesofhedgefunds1.owerregulatoryandlegalconstraints(Lackoftransparency).Flexiblemandates:Flexibilitytouseshortsellingandderivatives.Alargerinvestmentuniverse.Aggressiveinvestmentexposures.Comparativelyfreeuseofleverage.1.iquidityconstraintsforinvestors.Highercoststructures.TypesofhedgefundSingle-managerfundOneportfoliomanagerinvestsinonestrategyorstyle.Multi-managerfundMulti-strategyfund,inwhichteamsofportfoliomanagerstradeandinvestinmultipledifferentstrategieswithinthesamefund.FOFsmmMfitanCategorizationO-ChartEquitystrategiesHedgeFundStrategiesEquityStrategiesEquity-relatedhedgefundstrategiesfocusprimarilyonstockmarkets.Equityhedgefundstrategiesinvestprimarilyinequityandequity-relatedinstruments.Typesofequity-relatedhedgefundThesizeandsignofequitymarketexposureoftendictatetheclassificationofequityhedgefundstrategies.Themainrisk:equity-orientedrisk.Equity-relatedhedgefundstrategies1.ong/shortequity;Dedicatedshortbias;7-80Equitymarketneutral.MllWiMTLong/ShortEquityStrategyImplementationIdentifyoverpricedandunderpricedstocks.Purchases(longpositions)stocksthatwillriseinvalue;Sells(shortpositions)stocksthatwillfallinvalue.Sector-specificfocus(specialistL/Sfundmanagers)Searchforsingle-nameshortsforportfolioalphaandaddedabsolutereturn.GeneralistL/SmanagersUseindex-basedshorthedgestoreducemarketrisk.8-80Useindexfundstoachieveadesiredexposure.MHanLong/ShortEquityCharacteristicVariesstrategies.Returnprofilesaretypicallyaimedtoachieveaverageannualreturnsroughlyequivalenttoalong-onlyapproachbutwithastandarddeviation50%lowerthanalong-onlyapproach.Thisstrategycantypicallybehandledbybothlimitedpartnerandmutualfund-typevehicles.1.everageUsage:Variable:Themoremarket-neutralorquantitativethestrategyapproach,themoreleveredthestrategyapplicationtendstobetoachieveameaningfulreturnprofile.Roleinportfolio1.iquid,diverse,withmark-to-marketpricingdrivenbypublicmarketquotes;Addedshort-sideexposuretypicallyreducesbetariskandprovidesanadditionalsourceofpotentialalphaandreducedportfoliovolatility.DedicatedShortSellingandShort-BiasedPoorlymanagedcompanies,firmsindecliningmarketsegments,orevenfirmswithdeceitfulaccounting.Dedicatedshort-sellingfundsShort-biasedActivistshortsellingOnemajorchallenge:marketsinevitablyriseovertime,whichcreatesatendencytowardnegativereturnsforshorts.StrategyImplementationTakeabottom-upapproachbyscanningtheuniverseofpotentialselltargetstouncoverandsellshort.10-80Methods:AltmanZ-score&BeneishM-SCore.uy-Mfi*meDedicatedShortSellingandShort-BiasedCharacteristics1.owerreturnbutwithanegativecorrelationbenefit.MorevolatilethanatypicalLzSequityhedgefundgivenshortbetaexposure.Managershavesomeabilitytoaddalphaviamarkettimingofportfoliobetatilt,butitisdifficulttodowithconsistencyoraddedalpha.Thisstrategyistypicallyhandledbestinalimitedpartnershipbecauseofdifficultoperationalaspectsofshortselling.1.everageUsage1.ow:Thereistypicallysufficientnaturalvolatilitythatshort-sellingmanagersdonotneedtoaddmuchleverage.Roleofportfolio1.iquid,negativelycorrelatedalphatothatofmostotherstrategies,withmark-to-marketpricingfrompublicprices.11-80Buthistoricreturnsgenerallydisappointing.MMMfitanEquityMarketNeutralEquitymarket-neutral(EMN)Takeopposite(i.e.,longandshort)positionsinsimilarorrelatedequitiesthathavedivergentvaluations.TheoverallgoalofEMNfunds:1)togeneratealpha,2)tobeimmunetomovementsintheoverallmarketTypesofEMNPairstrading.Stubtrading.Multi-classtrading.Strategyimplementation1)toincludeonlytradablesecuritieswithsufficientliquidityandadequateshort-sellingpotential2)toanalyzeforbuyandsellopportunitiesusingfundamentalmodelsand/orsta