- 1. Characteristics 特性
- 2. Hedge Fund 重点
- 2.1. Hedge Fund Strategies
- 2.2. Hedge Fund Fees 每年必考
- 3. Private Equity
- 4. Real Estate 房地产
- 5. Commodity
占比 3%, 上下午共 7-8 题。
- hedge fund
- private equity
- real estate
- less liquidity 流动性不好（房地产）
- narrow manager specialization 专业性很强
- low correlation with traditional investments
- low level of regulation and transparency
- more problematic and less available historical return and volatility data
- unique legal and tax considerations
Return is Leptokurtic, negatively skewed，收益服从尖峰肥尾。
- low correlation
- high return
- high risk
- survivorship bias
- 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
Notice period 通知期
Most common structure: partnership
- limited parner (LP): LP is the investor, who understands and able to assume the risks in the investment.
- 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
- enable small investors to have returns in hedge funds.
- have expertise in conducting due dilligence on hedge funds
- negotiate better redemption terms for investros 更好的赎回条款
- invest in numerous hedge funds, diversifying across strategeis, investment regions and management styles
- charge additional layer of fees beyond the fees charged by the individual funds in the portfolio.
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。
Focus on 要破产或即将破产的公司。
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。
Use options to long and short market volatility.
市场中性策略，构建 zero beta。To profit from individual securities movements while hedging against market risk.
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 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。
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.
- management buyout (MBO): existing management is involved in the purchase
- Management buy-ins (MBI): external management will replace the existing management team
- Formative stage
- Angel investing
- Seed stage 风投 VC 从这里进来
- Early stage
- Later stage
- Mezzanie stage 夹层融资
Bridge to IPO, prepare to go public.
- management fees: 1~3% of commited capital (the amount of capital provided to the fund by investors).
- incentive fees: 20% of profits, but are not earned until after the fund has returned investors’ initial capital.
- IPO 是最理想的
- trade sale: sell to a competitor or another strategic buyer
- secondary sale: sell to another private equity firm or a group of investors
Long-term total returns 来源两部分：
- income generation 房租
- capital appreciation 资本利得
appraisal index 评估法
- Use estimate of values 一般三个月估值一次
- rely on comparable sales and cash flow analysis techinques
- understate volatility 无法过于频繁地估值
repeat sales index 重复销售法
- use changes in prices of properties to construct the indices
- 交易越频繁，index 越可靠
- 但也会有 sample selection bias
- comparable sales approach
- income approach
- DCF method
- direct capitalization
- cost approach 重置成本
- income based approach
- asset based approach
*Relationship between spot prices and expected future prices
- Contango 升水: future price > spot price
- 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
- price return (spot return) 即期价格的上涨
- roll yield: the yield due to a difference between spot price and futures price
- 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。