投資學英文課件：Chap026 Hedge Funds

1、INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 26Hedge FundsINVESTMENTS | BODIE, KANE, MARCUS26-2Hedge Funds vs. Mutual FundsHedge Fund Transparency: Limited Liability Partnerships that provide only minimal disclosure o

2、f strategy and portfolio composition No more than 100 “sophisticated”, wealthy investors Mutual Fund Transparency: Regulations require public disclosure of strategy and portfolio composition Number of investors is not limitedINVESTMENTS | BODIE, KANE, MARCUS26-3Hedge Funds vs. Mutual FundsHedge Fund

3、 Investment strategy: Very flexible, funds can act opportunistically and make a wide range of investments Often use shorting, leverage, options Liquidity: Often have lock-up periods, require advance redemption noticesMutual Fund Investment strategy: Predictable, stable strategies, stated in prospect

4、us Limited use of shorting, leverage, options Liquidity: Can often move more easily into and out of a mutual fundINVESTMENTS | BODIE, KANE, MARCUS26-4Hedge Funds vs. Mutual FundsHedge Fund Compensation structure: Typically charge a management fee of 1-2% of assets and an incentive fee of 20% of prof

5、itsMutual Fund Compensation structure: Fees are usually a fixed percentage of assets, typically 0.5% to 1.5%INVESTMENTS | BODIE, KANE, MARCUS26-5Hedge Fund Strategies DirectionalBets that one sector or another will outperform other sectors Non-directionalExploit temporary misalignments in relative v

6、aluation across sectorsBuy one type of security and sell anotherStrives to be market neutralINVESTMENTS | BODIE, KANE, MARCUS26-6Table 26.1 Hedge Fund StylesINVESTMENTS | BODIE, KANE, MARCUS26-7Statistical Arbitrage Uses quantitative systems that seek out many temporary and modest misalignments in p

7、rices 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 patternsINVESTMENTS | BODIE, KANE, MARCUS26-8Portable Alp

8、ha1. 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

9、ultimately establish exposure.INVESTMENTS | BODIE, KANE, MARCUS26-9Pure 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 INVESTMENTS | BOD

10、IE, KANE, MARCUS26-10Pure 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&am

11、p;P 500 futures contracts. (S&P multiplier = $250)contracts 52 . 1250$152, 1000,200, 1$ratio hedgexxINVESTMENTS | BODIE, KANE, MARCUS26-11Pure 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$600,221, 1$INVES

12、TMENTS | BODIE, KANE, MARCUS26-12Pure 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%.INVESTMENTS | BODIE, KANE, MARCUS26-13Figure 26.1 A Pure Play, Unhedged Position; Hedged PositionINVESTMENT

13、S | BODIE, KANE, MARCUS26-14Style 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. INVESTMENTS | BODIE, KANE, MARCUS26-15Style Analysis: Factor Exposure Mark

14、et-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.INVESTMENTS | BODIE, KANE, MARCUS26

15、-16Liquidity 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

16、, a sign of liquidity problems. This biases the Sharpe ratios upward.INVESTMENTS | BODIE, KANE, MARCUS26-17Figure 26.2 Hedge Funds with Higher Serial Correlation in ReturnsINVESTMENTS | BODIE, KANE, MARCUS26-18Liquidity and Hedge Fund Performance Sadka: Unexpected declines in market liquidity are an

17、 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

18、generously valued in December.INVESTMENTS | BODIE, KANE, MARCUS26-19Figure 26.3 Average Hedge Fund Returns as a Function of Liquidity RiskINVESTMENTS | BODIE, KANE, MARCUS26-20Hedge Fund Performance and Survivorship Bias Backfill bias: Hedge funds report returns only if they choose to and they may d

19、o 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.INVESTMENTS | BODIE, KANE, MARCUS26-21Hedge Fund Performance and Changing Factor Loadings Hedge funds are designed to be opp

20、ortunistic and may frequently change their risk profiles. If risk is not constant, alphas will be biased if a standard, linear index model is used.INVESTMENTS | BODIE, KANE, MARCUS26-22Figure 26.4 Characteristic Line of a Perfect Market TimerINVESTMENTS | BODIE, KANE, MARCUS26-23Figure 26.4 Characte

21、ristic Lines of Stock Portfolio with Written OptionsINVESTMENTS | BODIE, KANE, MARCUS26-24Conclusions 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

22、 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.INVESTMENTS | BODIE, KANE, MARCUS26-25Figure 26.6 Monthly return on hedge fund indexes versus return on the S&P 500

23、INVESTMENTS | BODIE, KANE, MARCUS26-26Black 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 crashLong Term Capital ManagementINVESTMENTS | BODIE,

24、 KANE, MARCUS26-27Fee 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

25、 loses nothing if it falls.INVESTMENTS | BODIE, KANE, MARCUS26-28Figure 26.7 Incentive Fees as a Call OptionINVESTMENTS | BODIE, KANE, MARCUS26-29Fee 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 m

26、ay 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.INVESTMENTS | BODIE, KANE, MARCUS26-30Funds of Funds Funds that invest in one or more other hedge funds. Also called “feeder funds”. A way to diversify

27、 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.INVESTMENTS | BODIE, KANE, MARCUS26-31Funds 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 cas