Chap026-Hedge-Funds-博迪投资学课件.ppt

Investments,8th editionBodie,Kane and MarcusSlides by Susan HineSlides by Susan HineMcGraw-Hill/IrwinCopyright 2009 by The McGraw-Hill Companies,Inc.All rights reserved.CHAPTER 26Hedge FundsHedge Funds26-2Hedge Funds CharacteristicsInvestment poolingTransparency Limited liability partnershipsProvide minimal informationInvestorsNo more than 100“sophisticated”investorsInvestment strategiesWide range of investments26-3Hedge Funds Characteristics ContinuedLiquidityLock-up periodsCompensation structureCharge a management fee plus a substantial incentive fee26-4Hedge Fund StrategiesDirectionalBets that one sector or another will outperform other sectorsNon directionalExploit temporary misalignments in security valuationsBuys one type of security and sells anotherStrives to be market neutral26-526-6Statistical ArbitrageUses quantitative systems that seek out many temporary misalignments in pricesInvolves trading in hundreds of securities a day with short holding periodsPairs tradingPair up similar companies whose returns are highly correlated but one is priced more aggressivelyCreate a market-neutral positionData mining26-7Alpha TransferSeparate asset allocation from security selectionInvest where you find alphaHedge the systematic risk to isolate its alphaEstablish exposure to desired market sectors by using passive indexes26-8Pure Play Example From the TextManage a$1.5 million portfolioBelieve alpha is 0 and that the market is about to fall Capture the alpha of 2%per month=1.20 S&P 500 Index is S0=1,440=.02rf=.01Hedge by selling S&P 500 futures contracts26-926-10Figure 26.1 A Pure Play.Panel A,Unhedged Position.Panel B,Hedged Position26-11Style Analysis Hasanhodzic and Lo factors:Equity market conditionsForeign exchangeInterest ratesCredit conditionsCommodity marketsVolatility 26-1226-13Liability and Hedge Fund PerformanceHedge funds tend to hold more illiquid assets than other institutional investorsAragonTypical alpha may be interpreted as an equilibrium liquidity premium than a sign of stock-picking ability Santa EffectHigher returns reported in December Stronger for lower-liquidity funds26-1426-15Figure 26.2 Hedge Funds with Higher Serial Correlation in Returns,an Indicator of Illiquid Portfolio Holdings,Exhibit Higher Sharpe Ratios26-16Hedge Fund Performance and Survivorship BiasBackfill biasHedge funds report returns to database publishers only if they choose toSurvivorship biasUnsuccessful funds that cease operation stop reporting returns and leave a databaseOnly successful funds remain26-1726-18Figure 26.3 Characteristic Line of a Perfect Market Timer26-19Figure 26.4 Characteristic Lines of Stock Portfolio with Written Options26-20Table 26.4 Index Model Results for Hedge Funds,Allowing for Different Up-and Down-Market Betas26-21Black Swans and Hedge Fund PerformanceNassim Taleb:Many hedge funds rack up fame through strategies that make money most of the time,but expose investors to rare but extreme lossesExamples:The October 1987 crashLong Term Capital Management26-22Fee Structure in Hedge FundsTypical hedge fund fee structureManagement fee of 1%to 2%of assetsIncentive fee equal to 20%of investment profits beyond a stipulated benchmark performanceEffectively call options on the portfolio with a strike price equal to current portfolio valueHigh water markThe fee structure can give incentives to shut down a poorly performing fund26-2326-24Funds of FundsInvest in several other hedge fundsOptionality 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 poorDiversification can actually hurt the investor in this case26-25Funds of Funds ContinuedSpread risk across several different fundsInvestors need to be aware that these funds of funds operate with considerable leverageIf the various hedge funds in which these funds of funds invest have similar investment styles,diversification may illusory26-26Example 26.6 Incentive Fees in Funds of FundsA fund of funds is established with$1 million invested in each of three hedge fundsHurdle rate for the incentive fee is a zero returnEach fund charges an incentive fee of 20%The aggregate portfolio of the fund of funds is-5%Still pays incentive fees of$.12 for every$3 investedFund 1Fund 2Fund 3Fund of FundsStart of year(millions)$1.00$2.00$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%