INVESTMENT STRATEGIES OF HEDGE FUNDS（套利基金：投资战略） mobi 下载 网盘 caj lrf pdf txt 阿里云

Since the first hedge fund was launched in 1949 by Alfred Winslow lones,the industry has grown impressively.In 2005 it reached the record size of 1.3 trillion dollars and 8000 hedge funds.Responsible for a big slice of the daily trading volumes of financial markets,hedge funds are among the top clients for brokers,given the level of trading fees they generate.

The hedge fund world is a very heterogeneous one: there are hedge funds that encompass only a few people and those with trading floors bigger than soccer fields.The hedge fund world seems to be the place where the ability to generate positive uncorrelated returns resides,even though performances are not publicly disclosed.

And still,this remarkable phenomenon is surrounded by an aura of mystery.Using real-life examples and case studies,this book provides an intensive learning experience,and helps readers understand the investment strategies of hedge funds showing them how they can invest to make money in an uncorrelated way with financial markets.

作者简介：

FILIPPO STEFANINI is deputy Chief Investment Officer in Aletti Gestielle Alternative SGR,an Italian alternative investment company specializing in managing funds of hedge funds which is part of the banking group Banco Popolare di Verona e Novara.As of October 1st 2005 the company has assets under management of 1,4 billion euro.

He graduated from Bergamo University in 1998 with first-class honors in Industrial Engineering.Since 1999 he has worked as a consultant for Accenture in the Asset Management and Investment Banking areas.He has been working for Aletti Gestielle Alternative SGR since 2001 when he was involved in the start-up project.In 2002 he became co-author of the book Hedge Funds: to invest for generating absolute returns.In 2005 he wrote the book Hedge Funds: the investment strategies.Both books were published in Italy by Il Sole 24 Ore.

Foreword

Preface

Acknowledgements

About the Author

1.A Few Initial Remarks

　1.1 What is a hedge fund?

　1.2 History of hedge funds

　1.3 Proprietary trading

　1.4 The growth of the hedge fund industry

　1.5 Main characteristics of the current industry

　1.6 Capacity

　1.7 Commissions

　1.8 Industry performance overview

　1.9 The hedge fund manager

　1.10 Alpha and beta

　1.11 Investment strategies

　1.12 Explorers and frontiers

　1.13 SEC’s vigilance

　1.14 Considerations on performance sustainability

　1.15 Capacity and performance sustainability

　1.16 Ability or chance?

　1.17 The importance of avoiding losses

　1.18 Decreasing returns with longer investment horizons

　1.19 Business case: A hedge fund start-up

2.Arbitrage

　2.1 The transaction costs barrier

　2.2 ADR arbitrage

　2.3 Arbitrage between off-the-run and on-the-run thirty-year Treasury Bonds

3.Short Selling

　3.1 A brief history of short selling

　3.2 What is short selling?

　3.3 A simplified example of short selling on US markets

　3.4 Who lends securities for short selling?

　3.5 Regulations governing short selling

　3.6 The risks of short selling

　3.7 Short interest and short interest ratio

　3.8 Wall Street’s alter ego

　3.9 Stock picking in short selling

　3.10 The art of contrary thinking

　3.11 Measuring the strategy’s historical performance

　3.12 Conclusions

4.Long/Short Equity

　4.1 History of the first hedge fund

　4.2 Market exposure

　4.3 Management styles

　4.4 Specialized long/short equity funds

　4.5 Share class arbitrage

　4.6 Pairs trading

　4.7 Covered call and covered put options sale

　4.8 Strategy’s historical performance analysis

　4.9 Equity market neutral

5.Merger Arbitrage

　5.1 A brief history of M&A

　5.2 Strategy description

　5.3 Risk associated with the outcome of an extraordinary corporate event

　5.4 Types of mergers and acquisitions

　5.5 Risk management

　5.6 Strategy’s historical performance analysis

　5.7 Conclusions

6.Convertible Bond Arbitrage

7.Fixed Income Arbitrage

8.Strategies on CDOs

9.Mortgage-Backed Securities Arbitrage

10.Distressed Securities

11.Event Driven or Special Situations

12.Multi-strategy

13.Managed Futures

14.Global Macro

15.Other Strategies

16.Hedge Fund Performance Analysis

17.Conclusions

Bibliography

Index

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Most of the recommendations expressed by brokers on shares go from buy to add to hold, and only a few analysts are willing to express a sell, reduce or underperform guidance on a stock. Analysts are constrained by corporate finance relationships or by the need to protect their business relationships with corporate management. This is why brokerage firms tend to be rather biased towards optimism.

According to James Chanos......short selling is very difficult because every day CEOs and investor relators repeat that short sellers were wrong. The barrage directed at short sellers by all those who have a vested interest in shorted companies is an obstacle to theri work.

......a company's growth relies on the sustainability of its current Return On Equity (ROE), which in turn depends on the profitablity generated by reinvested liquidity. If the cash flow reinvested in the company has a return on investment (ROI) greater than its ROE, the company's profitability appears sustainable and growing; otherwise it means that a worsening of the company's profit structure is looming ahead.

......if a manager invests in a similar stock, he gets caught in the so-called value trap. A manager may run the risk of falling in love with investment stories surrounding the positions he has constructed, and may thus make major valuation mistakes. A manager's talent also rests in his humbleness and ability to recognize mistakes promptly.

The strong investments carried out by We...

Generally, the price offered for the shares includes a premium on the market price of the shares before the offer. Following the announcement, the price of the shares of the target company should rise naturally, but it does not immediately reach the price offered by the acquiring company. The percentage difference between the initial price of the offer and the closing share price of the target company the day after the announcement of the acquisition is callled merger arbitrage spread. This spread varies as a function of the risk the deal may fail.

To keep a position delta neutral, when the stock price goes up, also driving up the delta, the fund manager must sell short more shares, whereas when the share price goes down, also pulling down the delta, the fund manager must partly cover his short sales.

Delta hedging can also be interpreted from the point of view of the value of the option embedded in the convertible: if the share price goes up, the embedded option approaches the exercise price, the convertible becomes more sensitive to stock fluctuations and the fund manager must sell short more shares; however, if the share price goes down, the embedded option sheds value and fund manager must buy back shares.

A delta neutral position is long on volatility: it's as if you bought the volatility of the underlying stock. This is what we...

With CDOs, investors can participate in the profitability of the underlying financial assets at varying degrees of risk. For example, let's consider a pool of corporate loans collateralizing a CDO. Despite the time of economic recession, within the corporate loan pool a given percentage of companies will avoid financial problems and will pay down debts. Therefore, a given percentage of the corporate loan pool can be considered at very low risk, and can be assigned an AAA rating. In more favorable economic times for credit, a larger percentage of corporate loans collateralizing the CDO will be paid down. Hence, a given percentage of the corporate loan pool can be considered as having an A rating and so on, down to the risker tranches that have no rating.

......objective is to generate absol...

The agencies issue bonds using the proceeds to purchaee mortgages that banks had previously extended to property owners. Thus commercial banks can secrutize mortgages and sell them to these agencies; once the loan have been sold out, banks have cleaned out their accounts to make room to new mortgages extended to people wiling to buy a home directly.

The agencies pool in a trust the mortgages backed by newly purchased property and issue securities that represent a direct ownership in the trust. Interest payment takes place through the comercial banks that had extended the mortgages to get directly to the trust holders.

The agencies profit from the diffrent return between the mortgages they buy and the bonds they issue and sell to investors. One may wonder about the purpose of all this sop...

书籍介绍

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One of the fastest growing investment sectors ever seen, hedge funds are considered by many to be exotic and inaccessible. This book provides an intensive learning experience, defining hedge funds, explaining hedge fund strategies while offering both qualitative and quantitative tools that investors need to access these types of funds. Topics not usually covered in discussions of hedge funds are included, such as a theoretical discussion of each hedge fund strategy followed by trading examples provided by successful hedge fund managers.