R19 Hedge funds

这是一篇关于R19 Hedge funds的思维导图，主要内容包括：1-Introduction and classification，2-Strategies，3-Analysis and portfolio construction。

R19 Hedge funds

• 1-Introduction and classification
  • Introduction
    • Pros(2):
    • Cons(5):费用高；复杂的投资书；缺乏透明度；增加组合风险；非流动性溢价
    • Liquid alts:
  • Classification
    • Characteristics（7）
      • 监-Regulated
      • 活-flexible mandates
      • 范-Large investment universe
      • 激-Aggressive investment styles
      • 杠-Relatively liberal use of leverage
      • 流-Hedge fund liquidity constrains
      • 费-Relative high fee structures
    • Classification
• 2-Strategies
  • Equity strategies
    • Long/Short equity
      • Definition:
        • Long undervalued+short overvalued(net long)
          • long only
          • 130/30 long extension
          • market neutrual-low risk
          • market neutrual-high risk
          • directional-low risk
          • net short
          • gross exposure /net exposure
      • Charecteristics（5）
        • 不同基金经理获得的因子不同；
        • 费用高；
        • idiosyncratic alpha;
        • risk and liquidity,;
          • average net long(40%-60%) = gross exposure70%-90% long+20%-30%short ; achieve average annual returns相同，风险减半； LP&互惠基金工具；由公开市场价格驱动
        • leverage
          • 使用杠杆更能达到回报要求
      • Implementation:
        • Sector-specific;
          • 集中在某个板块
        • Specialist L/S
          • top-dpwn & bottom-up;
        • Generalist L/S
          • further afield
    • Dedicated short selling and short-biased
      • Definition:
        • Dedicated short-selling:short-only 单边做空+cash
          • 60-120% short
            • leverage low
        • Short biased:short value-oriented,long index-oriented
          • 30-60% net short
        • Activist short selling: short given security浑水基金
      • Charecteristics:
        • Selling high, buy back low 融券交易；随着股价下跌，未来盈利空间缩水；不允许做空或市场下跌接不到券；风险：overvalued companies or failure products;"uptick rule"
      • Implementation:
        • Bottom up approach
          • 寻找商业模式缺陷、高杠杆、治理差、财务造假accounting gimmichry
        • single named CDS spreads, corporate bond yield sptesds, implied volatility of ETF put options
        • Altman z-score, Beneish M-score
        • 使用4 种期权策略
          • Long put
          • Long put calendar spreads
          • Lengding stock + Long OTM put
          • short OTM call + long OTM put
          • 需要再听听
    • Equity market neutral
      • Definition:
        • Near net zero portfolio exposure
        • 交易方式
          • Pairs trading:
            • the degree of co-integration of the two securities prices;making the differential valuations or trading relationships will revert to long-term mean values,adjusted beta market to 0
          • Stub trading:存根交易
            • 交易标的为母子公司，long overvalued patent firm ,short undervalued subsidiaries firm
          • Multi-class trading,同股不同权公司
            • long or short different class of shares,e.g.voting or non-voting
          • algorithm-based models on a daily or even an hourly basis
      • Charecteristics:
        • Usefully for non-trading or declining markets
        • Conservative and constrained approach
        • Replacement for fixed-income manangers
        • Risk & liquidity:
          • moedst return
          • diversification high
          • liqudity high
          • lower standard deviation of returns
          • high leverage--LPs are pregerred vechicle
            • hedge beta away,to striving for meaningful return targets
          • idiosyncratic short-term mispricing who are co-integrated
      • Implementation:
        • Pairs trading , stub trading ,multi-assets trading , Quantitative market neutral
        • 投资范围
          • sufficient liquidity and adequate short-selling securities
        • 证券分析
          • fundmental models \ statistical and momentum -based models
        • 组合构成
          • market risk neutrality
        • 适用性和杠杆成本
          • rebalancing cost
  • Event-driven strategies
    • Merger arbitrage
      • Definition:
        • soft-catalyst event-driven approach:收购事件还没发生但极有可能发生
          • merge arbitrage
          • distressed securities
        • Hard-catalysr event-driven approach:收购事件已经发生，less volatile and less risky
      • Charecteristics:
        • Cash-for- stock acqusition
        • Stock-for-stock deal
          • long T ,sell A in the same ratio
        • 做空并购公司，相当于卖出了并购的保险合约
          • succeeds
            • Price of T up, long T get premium;
            • Price of A down ,short A taking premium
          • Fails
            • T down ,long T losses
            • A up, short A losses
          • negative distribution
      • Implementation:
      • Practice
    • Distressed securities
      • Definition:
      • Charecteristics:
      • Implementation:
      • Practice
  • Raletive value strategies
    • Fixed arbitrage
      • Definition:
      • Charecteristics:
      • Implementation:
      • Practice
    • Convertiable bond arbitrage
      • Definition:
      • Charecteristics:
      • Implementation:
      • Practice
  • Opportunistic strategies
    • Globle macro strategy
      • Definition:
      • Charecteristics:
      • Implementation:
      • Practice
    • Mananged futrues
      • Definition:
      • Charecteristics:
      • Implementation:
  • Specialist strategies
    • Volatility trading
      • Definition:
      • Charecteristics:
      • Implementation:
      • Practice
    • reinsurance/Life settlement
      • Definition:
      • Charecteristics:
      • Implementation:
      • Practice
  • Multi-manager strategies
    • FOF
      • Definition:
      • Charecteristics:
      • Implementation:
    • Mutil-strategy hedge funds
      • Definition:
      • Charecteristics:
      • Implementation:
• 3-Analysis and portfolio construction
  • Analysis
  • Portfolio construction
  • Practice