博迪投资学Chap026章节
26页1、CHAPTER 26,Hedge Funds,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 E
2、xploit 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 Tran
3、sfer,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 = 1.20 S&P 500 Index is S0 = 1,440 = .02 rf = .01 Hedge by selling S&P 500 futures contracts,Pure Play Example Continued,The dollar value of your
4、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 Sample of Hedge Funds,Liability and Hedge Fund Performance,Hedge funds tend to hold more illiquid assets than other institutional investors Aragon Typical alpha may be in
《博迪投资学Chap026章节》由会员E****分享,可在线阅读,更多相关《博迪投资学Chap026章节》请在金锄头文库上搜索。
逍遥游复习 知识点整理
近现代法德关系史 高三展示课3稿
当代大学生人生信仰及追求的调查研究
长相思 纳兰性德-ppt课件
课件:危机意识 一
英语ppt演讲关于阿甘正传
发达国家基础教育改革的动向与趋势 修改版
中国民间美术 课件.ppt
生物质发电技术与系统 课程ppt 第1章 生物质发电技术现状及发展趋势 2学时 -----2016
现代信号处理思考题 含答案
执业药师继续教育 抑郁症的药物治疗 100分
小学生的成长档案模板不用修改 万能型
增订六版 现代汉语 上册 第二章文字 思考与练习答案
国家财政ppt课件
加拿大英语介绍
六年级统计图的选择课件
中学生成长档案ppt
中国现代文学史期末复习整理
lohi和hihilo训练对女子赛艇运动员运动能力影响的比较研究
风雨贾平凹阅读答案
2023-12-11 28页
2023-12-11 28页
2023-12-11 27页
2023-12-11 31页
2023-12-11 27页
2023-12-11 27页
2023-12-11 33页
2023-12-11 28页
2023-12-11 26页
2023-12-11 29页