Risk Management and Financial Institution Chapter 4 —— Mutual Funds, ETFs, and Hedge Funds

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Risk Management and Financial Institution Chapter 4 —— Mutual Funds, ETFs, and Hedge Funds

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• 共同基金和ETF适用，small investors
• hedge fund 适用于pension funds 等
• Hedge funds are subject to much less regulation than mutual funds and ETFs
• hedge fund 更秘密，trading strategies 更广泛

4.1 Mutual Funds

• most attraction of mutual funds is the diversification opportunities

• realized diversification is at a low cost

• open-end fund 橡胶人，可大可小，share 可多可少

• fund 可以被银行，专门机构，以及保险公司发行提供

• 货币市场基金投资于有息工具，例如短期国债，商业票据，银行承兑票等等，是银行储蓄的替代产品，提供的利息高于银行，因为该产品并没有被美国政府承诺保险

• 三种主要的长期基金：

  • 债券基金，固收产品，超过一年
  • 股票基金，投资于普通股与优先股
  • 混合基金，都投资

• NAV （net asset value) ,always next nav apply to the transaction,以下午4点位节点

• 收到红利需要缴税

• 申报投资收益以及亏损，调整基金价格

4.1.1 Index Funds 指数基金

• Designed to track a particular equity

  • 要么按照比重投资于股指成分股票
  • 要么选择一个小型股票组合，有效追踪股票指数
  • 选择利用股指期货

• How accurately do index funds track the index? 跟踪指数准确性的描述

  • tracking error（定义为基金年回报率与指数年回报率之差的标准差）
  • expense ratio （定义为每年为管理基金付出的费用占总资产比）

4.1.2 Costs 费用

• Mutual Funds Cost

  • 管理费用
  • 销售佣金
  • 审计会计费用
  • 交易费用等等

• Front- end load 前端收费 （定义：首次买入基金份额时收取的费用

• back- end load 后端收费 （定义：随着持有的时间跨度递减）

• 所有的基金都收取年费，其他单独的管理费用会单独收取

• total expense ration = total of annual fees charged per share / value of the share

• 费率排名：股票基金 > 债券基金 > 股指基金

4.1.3 Close - end funds 封闭式基金

• Close end funds are like regular corporation,fix shares outstanding,trade on a stock exchange.固定的股票份额
• 两个NAV 可以被计算
  • price at which the shares of the fund are trading
  • 基金组合的市场价值除以全部份额数量（公允市场价值）
  • 公允市场价值一般大于基金份额价值，由于交付给基金经理的费用

4.2 ETF 交易所交易基金

• 2008年，SEC批准了主动型管理ETF

• ETF 由机构投资者创立，deposits a block of securities with the ETF and obtains shares in the ETF，以股票换原始份额，称为creation units 创立基数，some or all share traded on a stock exchange.

• 在股票交易所进行交易赋予了ETF封闭式基金的特性

• ETF重要特性：

  • 机构投资人可以将大数量份额的ETF与底层资产互换
  • ETF在交易所的价格与公允价值没有太大的出入

• ETF的优势：

  • can be bought and sold at any time of the day
  • can be shorted
  • ETF holdings disclosed twice a day
  • cash is provided by another investor
  • transaction cost are saved
  • expense ration of ETF tend to be lower than mutual funds

4.3 Active vs. Passive Management 消极与积极管理

• Active managed funds tend to have much higher expense ratios

• More recent studies have confirmed Jensen’s conclusions. On average, mutual fund managers do not beat the market and past performance is not a good guide to future performance

• In many countries, regulators have strict rules to ensure that mutual fund returns are not reported in a misleading way

• The geometric mean of a set of numbers (not all the same) is always less than the arithmetic mean

• 投资回报率应当以几何平均计算而非算数平均

4.4 Regulation 监管

• ETF and mutual funds 被严格监管，因为销售给中小投资者

• 具体的监管要求有：

  • 防止利益冲突
  • 在SEC注册
  • 提供招股说明书
  • 防止欺诈和超额费用

• 基金丑闻：

  • 延迟交易（late trading),投资人与经纪人合谋
  • 选时交易（market timing）
  • 抢先交易（front running）明知大交易影响市场，预先通知某些客户交易
  • 定向经纪（derected brokerage）合伙，推荐共同基金，回馈买入卖出指令

4.5 Hedge Funds 对冲基金

• very little regulation，因为筹资是从有经验人士中获得

• 共同基金的监管包含：

  • Shares be redeemable at any time 随时退出
  • NAV calculated daily
  • 投资策略公开
  • 杠杠的使用被限制

• “Hedge fund” implies that risks are being hedged

• for some hedge funds，they take aggressive bets on the future direction of the market with no particular hedging policy

• Many hedge funds are registered in tax‐favorable jurisdictions such as the Cayman Islands

• hedge funds 投资于CDS ，distressed debt ，non- investment-grade bond markets，short ETF

4.5.1 FEEs 费用

• annual management fee that is usually between 1% and 3% of assets under management is charged——for operating costs

• Moreover, an incentive fee that is usually between 15% and 30% of realized net profits

• a typical hedge fund fee schedule might be expressed as “2 plus 20%”

• 通常有锁定期

• 对冲基金设置的条款，使绩效费用更容易被投资者接受：

  • hurdle rate，minimum return necessary for the incentive fee 障碍率，设置最小回报率
  • high - water mark clause 高潮位标记条款，前期损失必须全部补齐后，绩效费才生效，其中还可以设置（proportional adjustment clause）按比例调整
  • claw back clause ，allows investors to apply part or all of previous incentive fees to current losses

4.5.2 Incentives of hedge fund Manager 对冲基金经理的动力

• fee structure also encourages them to take risks
• as losses mount for a hedge fund, the hedge fund managers have an incentive to wind up the hedge fund and start a new one

4.5.3 Prime Brokers 机构经纪人

• Prime brokers are the banks that offer services to hedge funds.对冲基金的经纪人

• prime broker 的功能：

  • 净值结算，是否需要补充抵押品
  • 借出证券，当需要空头仓位的时候
  • 提供现金管理
  • 为资产组合提供报告
  • 为对冲基金提供融资
  • 提供风险管理咨询以及投资客户推荐

• Prime Brokers 是对冲基金的主要资金提供方，衡量对冲基金的风险，并决定对冲基金的杠杆

• As a hedge fund gets larger, it is likely to use more than one prime broker，多个broker，使得没有一家银行能够看到完整的投资组合，并给投资基金带来更大的话语权，降低交易费用

4.6 Hedge Fund Strategies 对冲基金策略

• 此处讨论的策略与道琼斯瑞信提供的类似，并不完全

4.6.1 Long/Short Equity

• identifies undervalued by the market,and overvalued
• short overvalued long undervalued
• all about stock picking
• 可以维持多头净头寸或者空头净头寸
• 种类：
  • equity- market-neutral 同时要保证 sector neutrality，行业需要平衡，不受其他的因素
  • dollar - neutral
  • beta - neutral , average weighted beta of long portfolio equals short portfolio,该组合对市场的波动并不敏感，通过对index future 的买入卖出，来对beta 进行控制维持

4.6.2 Dedicated Short 专事卖空型

• They are attempting to take advantage of the fact that brokers and analysts are reluctant to issue sell recommendations
• 合理认为任意时刻的市场上，高估的股票与低估的股票数目大致相当

4.6.3 distressed Securities 受压证券

• Those with a credit rating of CCC are referred to as “distressed” and those with a credit rating of D are in default

• The managers of funds specializing in distressed securities carefully calculate a fair value for distressed securities by considering possible future scenarios and their probabilities，经理计算在任意情况下的公允价值

• distressed security cannot be shorted

• bankruptcy usually lead to a reorganization or liquidation

• passive and active , to have the right to influence a reorganization proposal

4.6.4 Merger Arbitrage 并购套利

• Trading After a merger or acquisition is announced

• 方式：

  • cash deals
  • share for share exchanges

• Merger‐arbitrage hedge funds can generate steady, but not stellar, returns，提供稳定的但是不出彩的收益

• 要与内幕交易区分开

4.6.5 Convertible Arbitrage 可转债

• 定义：Convertible bonds are bonds that can be converted into the equity of the bond issuer at certain specified future times with the number of shares received in exchange for a bond possibly depending on the time of the conversion

• issure 可以回购债券

• The convertible bond price depends in a complex way on the price of the underlying equity, its volatility, the level of interest rates, and the chance of the issuer defaulting

• 基金公司可以卖出发行公司的非转股债券来对冲利率与违约风险

4.6.6 Fixed Income Arbitrage 固定收益套利

• 固定收益交易的基本工具就是零息收益率曲线
• 策略：
  • relative value strategy ， buy bonds that the zero‐coupon yield curve indicates are undervalued by the market and sell bonds that it indicates are overvalued
  • Market - neutral strategies 使得利率移动与收益无关
  • LTCM 的案例

4.6.7 Emerging Markets 新兴市场

• 标的为新兴市场，寻找高估与低估的股票
• ADRs American Depository Receipts，better liquidity and lower transaction costs
• ADR 与当地股票会出现价格差异
• 投资新兴市场发行的债券
  • Local currency bonds
  • Eurobonds

4.6.8 Global Macro 全球宏观

• 代表人物，乔治索罗斯，反应全球宏观趋势的交易策略
• 在不平衡时押注，直到返回平衡
• 标的通常为利率以及汇率

4.6.9 管理期货型

• 试图预测商品期货的未来波动
• 预测的方式;
  • technical analysis , use historical data , should tested out of sample
  • fundamental analysis

4.7 Hedge Funds Performance 对冲基金的收益

• bias ，backfill bias
• 对冲基金的收益如同卖出了虚值期权