Contents
  1. 1. Characteristics 特性
  2. 2. Hedge Fund 重点
    1. 2.1. Hedge Fund Strategies
      1. 2.1.1. 1.Event-driven strategies
        1. 2.1.1.1. 1.1.Merger arbitrage 合并套利
        2. 2.1.1.2. 1.2.Distressed/Restructuring
      2. 2.1.2. 2.Relative-value strategies
        1. 2.1.2.1. 2.1.Fixed income convertible arbitrage
        2. 2.1.2.2. 2.2.Volatility
      3. 2.1.3. 3.Macro strategies
      4. 2.1.4. 4.Equity hedge strategies
        1. 2.1.4.1. 4.1.Market neutral
    2. 2.2. Hedge Fund Fees 每年必考
  3. 3. Private Equity
    1. 3.1. Leveraged buyouts (LBOS)
    2. 3.2. Venture Capital 风险投资
      1. 3.2.1. VC stages
      2. 3.2.2. Fees and structure
      3. 3.2.3. Exit strategies 退出策略
  4. 4. Real Estate 房地产
  5. 5. Commodity

占比 3%, 上下午共 7-8 题。
考四个产品:

  1. hedge fund
  2. private equity
  3. real estate
  4. commodities

Characteristics 特性

  1. less liquidity 流动性不好(房地产)
  2. narrow manager specialization 专业性很强
  3. low correlation with traditional investments
  4. low level of regulation and transparency
  5. more problematic and less available historical return and volatility data
  6. unique legal and tax considerations

Return is Leptokurtic, negatively skewed,收益服从尖峰肥尾。

必背:

  1. low correlation
  2. high return
  3. high risk

Hedge Fund 重点

两大偏差

  1. survivorship bias
  2. backfill bias

这两大偏差导致 hedge fund 的 return 被高估。
Hedge fund indices may not reflect actual performance.

Lockup period 锁定期
刚投进去,锁定期能不能赎回。

Notice period 通知期
赎回需要提前的通知时间。

Most common structure: partnership

  1. limited parner (LP): LP is the investor, who understands and able to assume the risks in the investment.
  2. General Partner (GP): GP actually runs the fund.

在金融危机期间,correlation between global equities and hedge funds tend to increase.

Funds of funds

  • Advantages:

    1. enable small investors to have returns in hedge funds.
    2. have expertise in conducting due dilligence on hedge funds
    3. negotiate better redemption terms for investros 更好的赎回条款
    4. invest in numerous hedge funds, diversifying across strategeis, investment regions and management styles
  • Disadvantages:

    1. charge additional layer of fees beyond the fees charged by the individual funds in the portfolio.

Hedge Fund Strategies

考法:

  1. 给定一个小策略,问属于哪一个大策略
  2. 问某种操作属于哪种策略

1.Event-driven strategies

1.1.Merger arbitrage 合并套利

合并的时候,target 的价格会上涨,acquirer 的价格会下跌。可以 long target,short acquirer。

1.2.Distressed/Restructuring

Focus on 要破产或即将破产的公司。

2.Relative-value strategies

2.1.Fixed income convertible arbitrage

可转债套利,是一种 market neutral (zero beta) strategies,寻找 conertible bond and its component parts 的错误定价。

2.2.Volatility

Use options to long and short market volatility.

3.Macro strategies

宏观政策套利,包括利用国家间汇率的波动做外汇套利,以及利率套利。

4.Equity hedge strategies

4.1.Market neutral

市场中性策略,构建 zero beta。To profit from individual securities movements while hedging against market risk.

Hedge Fund Fees 每年必考

  1. Management Fee
    Based on capital under management. 基于管理的资金的规模。
    注意区分:private equity 是 based on commited capital.

  2. Incentive Fee
    “2 and 20” means 2% management fee, 20% incentive fee.

计算的时候如果说 management fee 和 incentive fee are calculated independently, 则直接用全部的 return 来算 incentive,不需要先扣减 management fee。

如果说 incentive fee calculated net of management fee,则 return 的部分扣除 management fee 之后再计算。

Hurdle
Only earned if return exceeds a hurdle rate.
Hurdle 或者 hard hurdle 是指超过这个值的部分,用来实际计算 incentive。

Soft hurdle 是指,如果低于这个值,没有 incentive,但是如果超过这个值的话,soft hurdle 不用来抵减。

High water mark

  • Hedge fund must recover past losses and return to previous high water mark before any additional incentive fee.
  • Protect clients from paying twice for the same performance.

Private Equity

Leveraged buyouts (LBOS)

杠杆收购,偏后期。
两种形式

  1. management buyout (MBO): existing management is involved in the purchase
  2. Management buy-ins (MBI): external management will replace the existing management team

Venture Capital 风险投资

VC stages

  1. Formative stage
    1. Angel investing
    2. Seed stage 风投 VC 从这里进来
    3. Early stage
  2. Later stage
  3. Mezzanie stage 夹层融资
    Bridge to IPO, prepare to go public.

Fees and structure

  1. management fees: 1~3% of commited capital (the amount of capital provided to the fund by investors).
  2. incentive fees: 20% of profits, but are not earned until after the fund has returned investors’ initial capital.

Exit strategies 退出策略

  1. IPO 是最理想的
  2. trade sale: sell to a competitor or another strategic buyer
  3. secondary sale: sell to another private equity firm or a group of investors
  4. write-off/liquidation:最差的退出方式

Real Estate 房地产

Long-term total returns 来源两部分:

  1. income generation 房租
  2. capital appreciation 资本利得

房地产指数

  1. appraisal index 评估法

    1. Use estimate of values 一般三个月估值一次
    2. rely on comparable sales and cash flow analysis techinques
    3. understate volatility 无法过于频繁地估值
  2. repeat sales index 重复销售法

    1. use changes in prices of properties to construct the indices
    2. 交易越频繁,index 越可靠
    3. 但也会有 sample selection bias

房地产 valuation

  1. comparable sales approach
  2. income approach
    1. DCF method
    2. direct capitalization
  3. cost approach 重置成本

REIT valuation
本质上就是一个基金。

  1. income based approach
  2. asset based approach

Commodity

*Relationship between spot prices and expected future prices

  1. Contango 升水: future price > spot price
  2. Backwardation 贴水:future price < spot price

Convenience yield 便利收益
The value of having the physical commodity for use over the period of the futures contract. 期货合同期间实际持有 commodity 实物而带来的 value。

Sources of return and risk
三个收益来源:

  1. price return (spot return) 即期价格的上涨
  2. roll yield: the yield due to a difference between spot price and futures price
  3. interest yield (collateral yield) 期货合约的抵押品带来的利息收益,也就是 return earned on margin 保证金的收益。

大宗商品和通胀的关系很密切,加入 portfolio 可以抗通胀。

Contents
  1. 1. Characteristics 特性
  2. 2. Hedge Fund 重点
    1. 2.1. Hedge Fund Strategies
      1. 2.1.1. 1.Event-driven strategies
        1. 2.1.1.1. 1.1.Merger arbitrage 合并套利
        2. 2.1.1.2. 1.2.Distressed/Restructuring
      2. 2.1.2. 2.Relative-value strategies
        1. 2.1.2.1. 2.1.Fixed income convertible arbitrage
        2. 2.1.2.2. 2.2.Volatility
      3. 2.1.3. 3.Macro strategies
      4. 2.1.4. 4.Equity hedge strategies
        1. 2.1.4.1. 4.1.Market neutral
    2. 2.2. Hedge Fund Fees 每年必考
  3. 3. Private Equity
    1. 3.1. Leveraged buyouts (LBOS)
    2. 3.2. Venture Capital 风险投资
      1. 3.2.1. VC stages
      2. 3.2.2. Fees and structure
      3. 3.2.3. Exit strategies 退出策略
  4. 4. Real Estate 房地产
  5. 5. Commodity