【return measures】
- alt 的return分布特点
- sharpe ratio是好的risk衡量吗？2
- 好的risk衡量包括3
- leptokurtic, negatively skewed
- 不是 由于alt大多iliquid, 用estimate而不是transaction price作为统计
sharpe ratio分母standard dev要求正态分布，但alt investment return非正态分布，分子上return也有survivorship bias等
- sortino ratio分母为standard dev of the returns that are below the target return
value at risk VaR - minimum expeted loss given event
short fall risk
【Hedge funds】Event-driven
- 总体思路+approach
- merger arbitrage
- distressed/restructure
- activist
- seek profit from short-term event, “bottom up”
- long merged stock, short merger stock, 希望merger overpay
- 买入distressed company证券，希望公司债务重组经营好转
- 在二级市场买入足够股票，对公司形成重大影响，进而操控
【Hedge funds】
relative value strategy
- 总体思路
- fixed imcome convertible
- fixed income asset backed
- fixed income general
- volatility
- multy-strategy
- short-term, price-discrepancy of related securities 进行多头空头反向操作
- 可转债和股票的mis-prising
- ABS/MBS的mis-pricing
- 仅在固收领域内部，不同债券的mis-pricing
- 通过option的买卖
- 前几种的综合
【Hedge funds】strategies
- Macro - approach
- Equity hedge - approach
- market neutral
- top-down
- bottom-up
- long undervalued, short overvalued, 构建一个zero β portfolio
【Hedge funds】fee cal
费用计算
- management fee 2
- incentive fee 2
- high-water mark 解释
- return
- 按期初或期末AUM扣减
- 计算independent of / net of (先扣除) management fee
hurdle rate: 有hurdle的话先减hurdle value
- 历史最高的AUM value net of (扣除) management fee and incentive fee.
如去年末AUM达到130，但要减两费后121.4才是high-water, 也是下次超越此数的基础值
_hurdle apply add-on to high-water mark (580-pass water mark 610, hurdle 4%, so new hurdle = 610*1.04%)_
- （end AMU - begin AUM - management fee - incentive fee）/begin AUM
【Hedge fund valuation】
NAV reporting
- if assets are liquidly traded
- if iliquidly traded
- report at available average quotes
- 两种NAV
trading NAV: AVG quotes adjusted for liquidity (discount)
reporting NAV: avg quotes
【Private Equity】关键词
- angel investing 2
- seed-stage 2
- early stage 1
- development capital
- idea. VC尚未介入
- product development VC介入的最早阶段
- product commercial production
- 可以是public/private companies
public: PIPE 上市公司新业务
【Private Equity】
计费方式与对冲基金
差别2
- management fee calculated from committed cap,
not invested cap
- clawback provision: 资产缩水，退回之前的incentive fee
或者干脆在LP拿回投资时再计算incentive
【PE】退出
- trade sale
- IPO缺点
- Recapitalization
- Secondary sale
- write off/liquidation
- 卖给同业或战略投资者。low transaction cost, management may not be happy
- high transaction cost
- not truly exit, 银行贷款用来发放dividend
- 卖给别的财务投资者PE
- 止损
【PE】
Portfolio company valuation
3 approaches
- market or comparable: EBITDA multiple
- DCF
- Asset-based
【Real Estate】
- 3 index + 关键词
- REIT index & equity returns
- REIT index & bond returns
- appraisal index: 基于评估值而非成交价方差最小
repeat sales index: 基于交易房成交价，sample selection bias
REIT index
- high correlation
- low correlation
【Real Estate】
- 3 approaches - valuation
- REIT valuation - 2 approaches
- comparable sales
Income approach: direct capitalization: NOI/cap rate
DCF
cost approach: replacement cost
2.
income based: FFO, adjusted FFO
Asset based: REIT’s NAV
【Commodities】
价格特点3
- correlation with equity is low
- 抗通胀
- 大宗商品价格波动比产成商品要大
【Commodities】
- futures price=
- contango
- backwardation
- =spot price (1+rf)+cost-convenience yield
- convenience yield小，futures price>spot
- convenience yield大，futures price<spot></spot>
</spot>
【Commodities】futures
3 sources of return
- spot price change
- collateral yield
- roll yield
- spot price change: curren supply and demand决定
- 投资期货的margin的利息
- difference between S0 and FP. S0-FP
in backwardation, roll yield >0
in contango, roll yield <0
【Infrastructure】
- greenfield investment 含义、特点
- brownfield investment 含义、特点
- 新建。more risk, unexpected CF, more return
- 投资现有。 less risk, predictable CF, less return
