最新investments 投资学 （博迪bodie, kane, marcuschap026 hedge funds(共34张ppt课件).pptx

INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 26Hedge Funds第一页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSHedge Funds vs. Mutual FundsHedge FundTransparency: Limited Liability Partnerships that provide only minimal disclosure of strategy and portfolio compositionNo more than 100 “sophisticated”, wealthy investors Mutual FundTransparency: Regulations require public disclosure of strategy and portfolio compositionNumber of investors is not limited2第二页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSHedge Funds vs. Mutual FundsHedge FundInvestment strategy: Very flexible, funds can act opportunistically and make a wide range of investmentsOften use shorting, leverage, optionsLiquidity: Often have lock-up periods, require advance redemption noticesMutual FundInvestment strategy: Predictable, stable strategies, stated in prospectusLimited use of shorting, leverage, optionsLiquidity: Can often move more easily into and out of a mutual fund3第三页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSHedge Funds vs. Mutual FundsHedge FundCompensation structure: Typically charge a management fee of 1-2% of assets and an incentive fee of 20% of profitsMutual FundCompensation structure: Fees are usually a fixed percentage of assets, typically 0.5% to 1.5%4第四页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSHedge Fund Strategies Directional Bets that one sector or another will outperform other sectors Non-directional Exploit temporary misalignments in relative valuation across sectors Buy one type of security and sell another Strives to be market neutral5第五页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSTable 26.1 Hedge Fund Styles6第六页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSStatistical Arbitrage Uses quantitative systems that seek out many temporary and modest misalignments in prices Involves trading in hundreds of securities a day with short holding periods Pairs trading: Pair up similar companies whose returns are highly correlated but where one is priced more aggressively Data mining to uncover systematic pricing patterns7第七页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSPortable Alpha1. Invest wherever you can find alpha.2. Hedge the systematic risk of the investment to isolate its alpha.3. Establish exposure to desired market sectors by using passive products such as indexed mutual funds or ETFs. Transfer alpha from the sector where you find it to the asset class in which you ultimately establish exposure.8第八页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSPure Play Example You manage a $1.2 million portfolio. You believe alpha is 0 and that the market is about to fall. So you establish a pure play on the mispricing. The return on your portfolio is:()portfoliofMfrrrre 9第九页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSPure Play Example Suppose beta is 1.2, alpha is 2%, the risk-free rate is 1%, and the S&P 500 (S0) = 1,152. You want to capture the 2% alpha per month, but you dont want the positive beta of the stock because of an expected market decline. Hedge your exposure by selling S&P 500 futures contracts. (S&P multiplier = $250)contracts 52 . 1250$152, 1000,200, 1$ratio hedgexx10第十页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSPure Play Example After 1 month, the value of your portfolio will be:errmp02.01.2 . 101.1000,200, 1$)1 (000,200, 1$xexrm000,200, 1$000,440, 1$600,221, 1$11第十一页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSPure Play ExampleThe dollar proceeds from your futures position will be:Hedged proceeds = $1,236,000 + $1,200,000 x eBeta is zero and your monthly return is 3%.12第十二页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 26.1 A Pure Play, Unhedged Position; Hedged Position13第十三页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSStyle Analysis: Factor Exposure Many hedge funds have directional strategies in which the fund makes an outright bet. A directional fund will have significant betas on the factors on which it bets. 14第十四页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSStyle Analysis: Factor Exposure Market-neutral funds have insignificant betas. Dedicated short bias funds exhibit substantial negative betas on the S&P index. Distressed firm funds have significant exposure to credit conditions. Global macro funds show negative exposure to a stronger U.S. dollar.15第十五页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSLiquidity and Hedge Fund Performance Hedge funds tend to hold more illiquid assets than other institutional investors. Aragon: Typical alpha may actually be an equilibrium liquidity premium rather than a sign of stock-picking ability. Hasanhodzic and Lo: Hedge fund returns have serial correlation, a sign of liquidity problems. This biases the Sharpe ratios upward.16第十六页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 26.2 Hedge Funds with Higher Serial Correlation in Returns17第十七页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSLiquidity and Hedge Fund Performance Sadka: Unexpected declines in market liquidity are an important determinant of average hedge fund returns. Santa effect: Hedge funds report average returns in December that are substantially greater than their average returns in other months. The December spike in returns is stronger for lower-liquidity funds, suggesting that illiquid assets are more generously valued in December.18第十八页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 26.3 Average Hedge Fund Returns as a Function of Liquidity Risk19第十九页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSHedge Fund Performance and Survivorship Bias Backfill bias: Hedge funds report returns only if they choose to and they may do so only when their prior performance is good. Survivorship bias: Failed funds drop out of the database Hedge fund attrition rates are more than double those for mutual funds.20第二十页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSHedge Fund Performance and Changing Factor Loadings Hedge funds are designed to be opportunistic and may frequently change their risk profiles. If risk is not constant, alphas will be biased if a standard, linear index model is used.21第二十一页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 26.4 Characteristic Line of a Perfect Market Timer22第二十二页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 26.4 Characteristic Lines of Stock Portfolio with Written Options23第二十三页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSConclusions The ability to perfectly time the market give the fund a nonlinear characteristic line, similar to holding a call option. The fund has greater sensitivity to the market when it is rising. Funds that write options have greater sensitivity to the market when it is falling than when it is rising. Nonlinear characteristic lines suggest many hedge funds are implicit option writers.24第二十四页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 26.6 Monthly return on hedge fund indexes versus return on the S&P 50025第二十五页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSBlack Swans and Hedge Fund Performance Nassim Taleb: Many hedge funds rack up fame through strategies that make money most of the time, but expose investors to rare but extreme losses Examples: The October 1987 crash Long Term Capital Management26第二十六页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFee Structure in Hedge Funds 2% of assets plus an incentive fee equal to 20% of investment profits: Incentive fees are effectively call options on the portfolio with:X =(portfolio value)* (1 + benchmark return) The manager gets the fee if the portfolio value rises sufficiently, but loses nothing if it falls.27第二十七页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 26.7 Incentive Fees as a Call Option28第二十八页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFee Structure in Hedge FundsHigh water mark: The fee structure can give incentives to shut down a poorly performing fund. If a fund experiences losses, it may not be able to charge an incentive unless it recovers to its previous higher value. With deep losses, this may be too difficult so the fund closes.29第二十九页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFunds of Funds Funds that invest in one or more other hedge funds. Also called “feeder funds”. A way to diversify across many hedge funds. Supposed to provide due diligence in screening funds for investment worthiness. Madoff scandal showed that these advantages are not always realized in practice.30第三十页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFunds of Funds Optionality can have a big impact on expected fees. Fund of funds pays an incentive fee to each underlying fund that outperforms its benchmark even if the aggregate performance is poor. Diversification can actually hurt the investor in this case.31第三十一页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFunds of Funds Spread risk across several different funds Investors need to be aware that these funds of funds operate with considerable leverage. If the various hedge funds in which these funds of funds invest have similar investment styles, diversification may illusory.32第三十二页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSExample 26.6 Incentive Fees in Funds of FundsA fund of funds has $1 million invested in three hedge fundsHurdle rate for the incentive fee is a zero returnEach fund charges an incentive fee of 20% The aggregate portfolio of the fund of funds is -5%Still pays incentive fees of $.12 for every $3 investedFund 1Fund 2Fund 3Fund of FundsStart of year (millions)$1.00$1.00$1.00$3.00End of year (millions)$1.20$1.40$0.25$2.85Gross rate of return20%40%-75%-5%Incentive fee (millions)$0.04$0.08$0.00$0.12End of year, net of fee$1.16$1.32$.25$2.73Net rate of return16%32%-75%-9%33第三十三页，共三十四页。内容(nirng)总结CHAPTER 26。High water mark:。Funds of Funds。Incentive fee (millions)。33第三十四页，共三十四页。