博迪投资学第八版课件Chap026.pptVIP

CHAPTER 26 Hedge Funds 26-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Hedge Funds Characteristics Investment pooling Transparency Limited liability partnerships Provide minimal information Investors No more than 100 “sophisticated” investors Investment strategies Wide range of investments Hedge Funds Characteristics Continued Liquidity Lock-up periods Compensation structure Charge a management fee plus a substantial incentive fee Hedge Fund Strategies Directional Bets that one sector or another will outperform other sectors Non directional Exploit temporary misalignments in security valuations Buys one type of security and sells another Strives to be market neutral Table 26.1 Hedge Fund Styles Statistical Arbitrage Uses quantitative systems that seek out many temporary 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 one is priced more aggressively Create a market-neutral position Data mining Alpha Transfer Separate asset allocation from security selection Invest where you find alpha Hedge the systematic risk to isolate its alpha Establish exposure to desired market sectors by using passive indexes Pure Play Example From the Text Manage a $1.5 million portfolio Believe alpha is 0 and that the market is about to fall Capture the alpha of 2% per month β = 1.20 SP 500 Index is S0 = 1,440 α = .02 rf = .01 Hedge by selling SP 500 futures contracts Pure Play Example Continued The dollar value of your portfolio after 1 month: The dollar proceeds from your futures position: Figure 26.1 A Pure Play. Panel A, Unhedged Position. Panel B, Hedged Position Style Analysis Hasanhodzic and Lo factors: Equity market conditions Foreign exchange Interest rates Credit conditions Commodity markets Volatility Table 26.2 Style Analysis for a