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FRM®二级知识点｜对冲基金策略整理
文章来源：网络
发布时间：2021-12-28 08:29
阅读：593次
对冲基金策略是FRM®二级考试科目的相关知识点，下面本文对对冲基金策略进行了整理，一起了解一下吧。
1.Directional hedge fund styles
(1)Managed futures(CTA,commodity trading advisors)
Focus on investing listed bond, equity, commodity futures, and currency markets,globally.
Systematic trading programs
A significant amount of leverage
Researches show(Trend, market timers, a return profile similar to a call option on themarket)
(2)Global macro
Anticipated price movements in equity, currency, interest rate and commodity markets.
Top-downglobal approach
Flexibility,any market with any instrument
A global macro fund does better if there are extreme moves in the currencymarkets
Global macro is an asset allocation strategy
Managers take opportunistic bets in different markets
The strategy has a low correlation to equities
Similarity between global macro and managed futures:these managers behave like asset allocators taking bets on different markets utilizing a range of strategies opportunistically.
2.Event-driven styles
(1)Merger arbitrage
Attempts to capture the spreads in merger or acquisition transactions involving publiccompanies after the terms of the transaction have been announced
In a fixed exchange ratio stock merger, one would go long one and short another oneaccording to the merger ratio, in order to isolate the spread and hedge outmarket price
(2)Distressed securities
Invests across the capital structure of companies subject to financial or operational distress or bankruptcy proceedings
Long-biased in nature
Attempt to profit on the issuer’s ability to improve its operation or the success ofthe bankruptcy process that ultimately leads to an exit strategy
Long exposure to credit risk of corporations with very low credit ratings
Event-drivenstyles:
Nonlinearity between the two return series,particularly at the extreme tails
Tend to benefit from extreme moves, event-driven funds are hurt by extreme moves
3.Relative value and arbitrage-like strategies:
(1)Fixed income arbitrage
Leveraging long and short positions in similar fixed income securities that are relatedeither mathematically or economically
The first three strategies bet on the direction of interest rates, the fourth strategy is to bet on interest rate fluctuations and the last strategy is tolook for pricing irregularities
(2)Convertible arbitrage:
Long pure bond + call option
The number of shares shorted is based on a delta neutral or market neutral ratio
Take long position in convertible bonds hedged with short positions in Treasuries and the underlying stock(long gamma and long vega)
(3)Long/Short equity
Both long and short sides
4.Niche strategies(利基策略)
(1)Dedicated short
Net short exposure
The returns are negatively correlated to equities
(2)Emerging markets
With emerging or developing markets
(3)Equity market neutral strategy
Zero beta(s)
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