Yuan Yijun (bbbush) wrote,
Yuan Yijun

Hedge Fund Readings

对冲基金名字来自于它的起源。The name is mostly historical, as the first hedge funds tried to hedge against the downside risk of a bear market with their ability to short the market (mutual funds generally can't enter into short positions as one of their primary goals). Nowadays, hedge funds use dozens of different strategies, so it isn't accurate to say that hedge funds just "hedge risk". In fact, because hedge fund managers make speculative investments, these funds can carry more risk than the overall market.

对冲基金简史中提到,对冲基金之父Alfred Winslow Jones launched the first hedge fund in 1949.从移民,到外交官,到“财富”编辑,再到运作基金as the first money manager to combine short selling, the use of leverage, shared risk through a partnership with other investors and a compensation system based on investment performance, Jones earned his place in investing history as the father of the hedge fund,让人觉得没有多少成规的市场真是好地方。假如在有着无数规则、监管的市场,怎么能在一个基金里创造出这么多办法。然后就是小华Sama提到的,SEC regulation In 2004, the Securities and Exchange Commission adopted changes that require hedge fund managers and sponsors to register as investment advisors under the Investment Advisor's Act of 1940. This greatly increases the number of requirements placed on hedge funds, including keeping up-to-date performance records, hiring a compliance officer and creating a code of ethics. All hedge funds that fall under the new SEC rules must be registered by Feb 1, 2006. This is seen as an important move in protecting investors. (For more information, see the SEC website.) 按照小华的描述,那些 manager 利用 leverage 换来的钱,还有那段 at least one year illiquid period,挥霍,铺张,拿一些公司的股票和前途做游戏,听起来真的很有意思。:D 还有,据说 HF 都是搞资金运作的精英啊,天才啊。

对冲基金介绍里面提到的,套利策略,说购买可转换债券,因为与股价之间可能有微小的差别。然后再冰川一日溶解的案例中提到了一个著名的例子:Marin Capital make a large bet on General Motors. Since the two securities normally trade at similar prices, convertible arbitrage is generally considered a relatively low-risk strategy. The exception occurs when the share price goes down substantially, which is exactly what happened at Marin Capital. When General Motors' bonds were downgraded to junk status, the fund was crushed. 天哪,这个倒霉的 GM 原来还是拖了别人一起下水的.. 案例中还有几个都非常好玩.. 说没了就没了 :)

对冲基金介绍,第二部分这样讲市场与对冲基金:From January 1994 to September 2000 - a raging bull market by any definition - the passive S&P 500 index outperformed every major hedge fund strategy by a whopping 6% in annualized return. But particular strategies performed very differently. For example, dedicated short strategies suffered badly, but market neutral strategies outperformed the S&P 500 index in risk-adjusted terms (i.e. underperformed in annualized return but incurred less than one-fourth the risk). If your market outlook is bullish, you will need a specific reason to expect a hedge fund to beat the index. Conversely, if your outlook is bearish, hedge funds should be an attractive asset class compared to buy-and-hold or long-only mutual funds. 这段话是说,Market Neutral 有 50% 赚钱可能,正是我喜欢的那种赌局,而 Dedicated Short 则是杭哥喜欢的吧。:D 至于熊市的时候,就是所谓“墙倒众人推”,落井下石。可怜的 Long term Mutual Fund,也包括大家宝贵的退休金,真的可以相信医疗保险,退休保障这些吗?那个 Corelations 图很有意思,不知道谁能把所有策略都统计下,标在上面。

这个词 Accredited Investor 很有意思。要有多少本事才能变成自由人啊。。。

Hedge Fund - illiquid, unregulated, advanced, risk
Tags: 金融

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