对冲基金HedgeFundsforDummies.pdf

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1、by Ann C.LogueHedge FundsFORDUMmIES01_049278 ffirs.qxp 9/26/06 6:38 PM Page iHedge Funds For DummiesPublished byWiley Publishing,Inc.111 River St.Hoboken,NJ 07030-Copyright 2007 by Wiley Publishing,Inc.,Indianapolis,IndianaPublished by Wiley Publishing,Inc.,Indianapolis,IndianaPublished simultaneous

2、ly in CanadaNo part of this publication may be reproduced,stored in a retrieval system,or transmitted in any form orby any means,electronic,mechanical,photocopying,recording,scanning,or otherwise,except as permit-ted under Sections 107 or 108 of the 1976 United States Copyright Act,without either th

3、e prior writtenpermission of the Publisher,or authorization through payment of the appropriate per-copy fee to theCopyright Clearance Center,222 Rosewood Drive,Danvers,MA 01923,978-750-8400,fax 978-646-8600.Requests to the Publisher for permission should be addressed to the Legal Department,Wiley Pu

4、blishing,Inc.,10475 Crosspoint Blvd.,Indianapolis,IN 46256,317-572-3447,fax 317-572-4355,or online at http:/ Wiley Publishing logo,For Dummies,the Dummies Man logo,A Reference for theRest of Us!,The Dummies Way,Dummies Daily,The Fun and Easy Way,D and related tradedress are trademarks or registered

5、trademarks of John Wiley&Sons,Inc.and/or its affiliates in the UnitedStates and other countries,and may not be used without written permission.All other trademarks are theproperty of their respective owners.Wiley Publishing,Inc.,is not associated with any product or vendormentioned in this book.LIMI

6、T OF LIABILITY/DISCLAIMER OF WARRANTY:THE PUBLISHER AND THE AUTHOR MAKE NO REP-RESENTATIONS OR WARRANTIES WITH RESPECT TO THE ACCURACY OR COMPLETENESS OF THECONTENTS OF THIS WORK AND SPECIFICALLY DISCLAIM ALL WARRANTIES,INCLUDING WITHOUTLIMITATION WARRANTIES OF FITNESS FOR A PARTICULAR PURPOSE.NO WA

7、RRANTY MAY BE CRE-ATED OR EXTENDED BY SALES OR PROMOTIONAL MATERIALS.THE ADVICE AND STRATEGIES CON-TAINED HEREIN MAY NOT BE SUITABLE FOR EVERY SITUATION.THIS WORK IS SOLD WITH THEUNDERSTANDING THAT THE PUBLISHER IS NOT ENGAGED IN RENDERING LEGAL,ACCOUNTING,OROTHER PROFESSIONAL SERVICES.IF PROFESSION

8、AL ASSISTANCE IS REQUIRED,THE SERVICES OF ACOMPETENT PROFESSIONAL PERSON SHOULD BE SOUGHT.NEITHER THE PUBLISHER NOR THEAUTHOR SHALL BE LIABLE FOR DAMAGES ARISING HEREFROM.THE FACT THAT AN ORGANIZATIONOR WEBSITE IS REFERRED TO IN THIS WORK AS A CITATION AND/OR A POTENTIAL SOURCE OF FUR-THER INFORMATI

9、ON DOES NOT MEAN THAT THE AUTHOR OR THE PUBLISHER ENDORSES THEINFORMATION THE ORGANIZATION OR WEBSITE MAY PROVIDE OR RECOMMENDATIONS IT MAYMAKE.FURTHER,READERS SHOULD BE AWARE THAT INTERNET WEBSITES LISTED IN THIS WORKMAY HAVE CHANGED OR DISAPPEARED BETWEEN WHEN THIS WORK WAS WRITTEN AND WHEN ITIS R

10、EAD.For general information on our other products and services,please contact our Customer CareDepartment within the U.S.at 800-762-2974,outside the U.S.at 317-572-3993,or fax 317-572-4002.For technical support,please visit also publishes its books in a variety of electronic formats.Some content tha

11、t appears in print maynot be available in electronic books.Library of Congress Control Number:2006932689ISBN-13:978-0-470-04927-3ISBN-10:0-470-04927-8Manufactured in the United States of America10 9 8 7 6 5 4 3 2 11B/RS/RQ/QW/IN01_049278 ffirs.qxp 9/26/06 6:38 PM Page iiAbout the AuthorAnn C.Logue i

12、s a freelance writer and consulting analyst.She has written forBarrons,the New York Times,Newsweek Japan,Compliance Week,and theInternational Monetary Fund.Shes a lecturer at the Liautaud Graduate Schoolof Business at the University of Illinois at Chicago.Her current career follows12 years of experi

13、ence as an investment analyst.She has a BA from North-western University,an MBA from the University of Chicago,and she holds the Chartered Financial Analyst designation.DedicationTo Rik and Andrew,for their love and support.Author s AcknowledgmentsSo many wonderful people helped me with this book!I

14、talked to many hedgefund managers and others in the investment business,including Cliff Asness,Catherine Cooper,Beth Cotner,Nancy Fallon-Houle,Marshall Greenwald,SteveGregornik,Anil Joshi of NuFact,Russ Kuhns,Alecia Licata of the CFA Institute,Dan Orlow,Tino Sellitto,Lisa Springer,Ryan Tagal at Morn

15、ingstar,ScottTakemoto,and Gary Tilkin and Kelly Quintanilla at Global Forex Trading.I also talked to a handful of other hedge fund managers who asked to remainanonymous;they know who they are,and I hope they also know how much Iappreciate their help.The CFA Society of Chicago put on a great conferen

16、ceentitled“New Considerations in the Quest for Alpha”,which took place in themiddle of writing this book and gave me some valuable insights.Im grateful tothe volunteers and presenters who made the day so productive for me.I want to thank a few friends who helped give me direction on writing thisand

17、who pointed me to friends of theirs who work in the hedge-fund busi-ness.Bev Bennett,Lisa Duffy,Mary Richardson Graham,and Erik Sherman allwere wonderful help.I also need to acknowledge Jennie Phipps,the propri-etor of Freelance Success(),one of the bestresources out there for professional writers.A

18、s for the mechanics of putting together the book,Natalie Harris,StacyKennedy,and Josh Dials of Wiley were fabulous to work with.Their patienceand good humor got me through a tough schedule.Marcia Layton-Turner getskudos for introducing me to her agent,Marilyn Allen,who became my agentand made the bo

19、ok possible.Thanks,everyone!01_049278 ffirs.qxp 9/26/06 6:38 PM Page iiiPublishers AcknowledgmentsWere proud of this book;please send us your comments through our Dummies online registrationform located at of the people who helped bring this book to market include the following:Acquisitions,Editoria

20、l,and MediaDevelopmentProject Editor:Natalie Faye HarrisAcquisitions Editor:Stacy KennedyAssistant Editor:Courtney AllenCopy Editor:Josh DialsEditorial Program Coordinator:Hanna K.ScottTechnical Editor:Russell RhoadsEditorial Manager:Christine BeckEditorial Assistants:Erin Calligan,David LuttonCarto

21、ons:Rich Tennant()Composition ServicesProject Coordinator:Adrienne MartinezLayout and Graphics:Claudia Bell,Carl Byers,Lavonne Cook,Barry Offringa,Laura Pence,Julie TrippettiProofreaders:Jessica Kramer,Christy Pingleton,Christine SabooniIndexer:TechbooksPublishing and Editorial for Consumer DummiesD

22、iane Graves Steele,Vice President and Publisher,Consumer DummiesJoyce Pepple,Acquisitions Director,Consumer DummiesKristin A.Cocks,Product Development Director,Consumer DummiesMichael Spring,Vice President and Publisher,TravelKelly Regan,Editorial Director,TravelPublishing for Technology DummiesAndy

23、 Cummings,Vice President and Publisher,Dummies Technology/General UserComposition ServicesGerry Fahey,Vice President of Production ServicesDebbie Stailey,Director of Composition Services01_049278 ffirs.qxp 9/26/06 6:38 PM Page ivContents at a GlanceIntroduction.1Part I:What Is a Hedge Fund,Anyway?.7

24、Chapter 1:What People Talk About When They Talk About Hedge Funds.9Chapter 2:Examining How Hedge Funds Are Structured.27Chapter 3:Not Just a Sleeping Aid:Analyzing SEC Registration.47Chapter 4:How to Buy into a Hedge Fund.59Part II:Determining Whether Hedge Funds Are Right for You.71Chapter 5:Hedgin

25、g through Research and Asset Selection.73Chapter 6:Calculating Investment Risk and Return.95Chapter 7:You Want Your Money When?Balancing Time and Liquidity.123Chapter 8:Taxes,Responsibilities,Transparency,and Other Investment Considerations.135Chapter 9:Fitting Hedge Funds into a Portfolio.151Part I

26、II:Setting Up Your Hedge Fund Investment Strategy.165Chapter 10:Buying Low,Selling High:Using Arbitrage in Hedge Funds.167Chapter 11:Short-Selling,Leveraging,and Other Equity Strategies.183Chapter 12:Observing How Hedge Funds Profit from the Corporate Life Cycle.203Chapter 13:Macro Funds:Looking for

27、 Global Trends.217Chapter 14:But Will You Make Money?Evaluating Hedge-Fund Performance.233Part IV:Special Considerations Regarding Hedge Funds.255Chapter 15:Hooking Onto Other Types of Hedge Funds.257Chapter 16:Using Hedge-Fund Strategies without Hedge Funds.271Chapter 17:Hiring a Consultant to Help

28、 You with Hedge Funds.291Chapter 18:Doing Due Diligence on a Hedge Fund.30302_049278 ftoc.qxp 9/26/06 6:42 PM Page vPart V:The Part of Tens.319Chapter 19:Ten(Plus One)Big Myths about Hedge Funds.321Chapter 20:Ten Good Reasons to Invest in a Hedge Fund.327Index.33302_049278 ftoc.qxp 9/26/06 6:42 PM P

29、age viTable of ContentsIntroduction.1Part I:What Is a Hedge Fund,Anyway?.7Chapter 1:What People Talk About When They Talk About Hedge Funds.9Defining Hedge Funds(Or Should I Say Explaining Hedge Funds?).10Hedging:The heart of the hedge-fund matter.10Identifying hedge funds:The long explanation.11Ple

30、dging the secret society:Getting hedge fund information.14Surveying the History of Hedge Funds.15Alfred Winslow Jones and the first hedge fund.151966 to 1972:Moving from hedging to speculating.16George Soros,Julian Robertson,and hedge-fund infamy.17The rise and fall of Long-Term Capital Management.1

31、7The Yale Endowment:Paying institutional attention to hedge funds.18Generating Alpha.19Introducing Basic Types of Hedge Funds.20Absolute-return funds.20Directional funds.21Meeting the People in Your Hedge Fund Neighborhood.21Managers:Hedging for you.21Lawyers:Following the rules.22Consultants:Studyi

32、ng funds and advising investors.22Paying Fees in a Hedge Fund.23Managing management fees.24Shelling out your percentage of performance fees.24Chapter 2:Examining How Hedge Funds Are Structured .27Exploring the Uneven Relationships between Fund Partners.28General partners:Controlling the fund.28Limit

33、ed partners:Investing in the fund.29Only Accredited or Qualified Investors Need Apply.30Which kind of investor are you?.30Why do hedge fund investors need to be qualified or accredited?.3202_049278 ftoc.qxp 9/26/06 6:42 PM Page viiDo funds really check up on you?.33Do I have alternatives if I dont q

34、ualify?.33Following the Cash Flow within a Hedge Fund.34Substituting commitments for cash.34Waiting for withdrawals and distributions.35Fee,Fi,Fo,Cha Ching!Paying the Fees Associated with Hedge Funds.37Management fees.38Sales charges.39Performance fees.39Redemption fees.41Commissions.41Dealing with

35、the Hedge Fund Manager.42Making time for meetings.42Communicating with the written word.42Seeking Alternatives to Hedge Funds.43Making mutual funds work for you.45Profiting from pooled accounts.45Entering individually managed accounts.45Chapter 3:Not Just a Sleeping Aid:Analyzing SEC Registration.47

36、Getting to Know the SECs Stance on Registration and Regulation.48Examining the SECs past and current policies on registration.49Meeting investor needs with regulation.53Realizing that“registered”doesnt mean“approved”.53Addressing registration at the state level.54Going Costal:Avoiding the Registrati

37、on Debate through Offshore Funds.55Investing in a Fund without Registration.56Contracting the managers terms.56Covering yourself with due diligence.57Chapter 4:How to Buy into a Hedge Fund.59Using Consultants and Brokers.60Marketing to and for Hedge Fund Managers.61Investor,Come on Down:Pricing Fund

38、s.62Calculating net asset value.63Valuing illiquid securities.66Managing side pockets.67Purchasing Your Stake in the Fund.67Fulfilling paperwork requirements.68Working with brokers.68Reporting to the taxman.69Signing Your Name on the Bottom Line.69Drawing up the contract.69Addressing typical contrac

39、t provisions.70Finding room for negotiation.70Hedge Funds For Dummies viii02_049278 ftoc.qxp 9/26/06 6:42 PM Page viiiPart II:Determining Whether Hedge Funds Are Right for You.71Chapter 5:Hedging through Research and Asset Selection.73First Things First:Examining Your Asset Options.74Sticking to bas

40、ics:Traditional asset classes.75Going for some flavor:Alternative assets.78Custom products and private deals.83Kicking the Tires:Fundamental Research.85Top-down analysis.86Bottom-up analysis.88Focusing on finances:Accounting research.89Gnawing on the numbers:Quantitative research.89Reading the chart

41、s:Technical analysis.90How a Hedge Fund Puts Research Findings to Work.91The long story:Buying appreciating assets.92The short story:Selling depreciating assets.93Chapter 6:Calculating Investment Risk and Return .95Market Efficiency and You,the Hedge Fund Investor.96Why efficiency matters.96Perusing

42、 profitable inefficiencies.97Efficiency and the random walk.97Using the Modern(Markowitz)Portfolio Theory(MPT).98So whats risky?.99Reviewing risk types in the MPT.101Distributing risk.102Determining the market rate of return.105Beta:Ranking market return.106Alpha:Return beyond standard deviation.108

43、The Arbitrage Pricing Theory(APT):Expanding the MPT.109Discovering How Interest Rates Affect the Investment Climate.110Seeing what goes into an interest rate.110Relating interest rates and hedge funds.112Witnessing the power of compound interest.113Investing on the Cutting Edge:Behavioral Finance.11

44、6Examining the principles of behavioral finance.117Applying behavioral finance to hedge funds.120Chapter 7:You Want Your Money When?Balancing Time and Liquidity.123Considering Your Cash Needs.124Like Dollars through the Hourglass:Determining Your Time Horizon.124Taking stock of temporary funds.125Fa

45、thoming matched assets and liability.126Peeking into permanent funds.127ixTable of Contents02_049278 ftoc.qxp 9/26/06 6:42 PM Page ixPoring Over Your Principal Needs.128Handling Liquidity After You Make Your Initial Investment.130Taking advantage of additional investments.130Knowing when(and how)you

46、 can withdraw funds.131Receiving distributions.132Moving on after disbandment.134Chapter 8:Taxes,Responsibilities,Transparency,and Other Investment Considerations.135Taxing You,the Hedge Fund Investor(Hey,Its Better than Death!).136Making sense of capital-gains taxes.136Taxing ordinary income.137Exe

47、rcising your right to be exempt.138Figuring Out Your Fiduciary Responsibility.141Coming to terms with common law.142Tackling trust law.143Uniform Management of Institutional Funds Act(UMIFA).144Employee Retirement Income Security Act(ERISA)of 1972.145Transparency in Hedge Funds:Rare but There.146App

48、raising positions.146Interpreting risk.147Avoiding window dressing.148Activists and opponents in the hedge fund world.148Practicing Socially Responsible Investing.149Chapter 9:Fitting Hedge Funds into a Portfolio.151Assaying Asset Allocations.152Matching goals to money.152Chasing return versus alloc

49、ating assets.153Using Hedge Funds as an Asset Class.154How hedge funds are assets.154Diversification,risk,and return:How the asset pros and cons play out.157Viewing a Hedge Fund as an Overlay.158Considering the overlay pros and cons.158Investment reporting:An overlay example.159Mixing and Matching Y

50、our Funds.161Looking for excess capital under the couch cushions.161Taking different funds to the dressing room.162Working without transparency.163Hedge Funds For Dummies x02_049278 ftoc.qxp 9/26/06 6:42 PM Page xPart III:Setting Up Your Hedge Fund Investment Strategy.165Chapter 10:Buying Low,Sellin