02-01 So you want to be a hedge

2019-06-06 本文已影响0人非常暴龙兽

ETF

Buy/sell like stocks
Baskets of stocks
Transparent, liquid

Mutual Fund 共同基金

Buy/sell at end of day
Quarterly disclosure
Less transparent

Hedge Fund

Buy/sell by agreement
No disclosure
Not transparent

Large cap 大盘
shares $\times$ price = 市值
Assets Under Management，AUM 资产管理规模

Incentives: How are they compensated?

ETFs: Expense Ratio $0.01\% - 1.00\%$
Mutual Funds: Expense Ratio $0.05\% - 3.00\%$
Hedge Funds:"Two and Twenty": $2%$ AUM $+$ 20%portfolio"
100 million dollar >> 115 million dollar
Two: 100m * 0.02 = 2m
Twenty: 15m * 0.2 = 3m
total: 5m

How funds attract investors?

Who?

Individuals
Institutions (often 公益机构)
Funds of funds

Why?

Track record
Simulation and story
Good portfolio fit：如果你的基金是关于指数的，而投资者已经投了这个指数，那么ta可能就不会选择你了。

Goals

Beta benchmark >> SP500
Absolute return >>long/short

Metrics

Cumulative return $=(\mathrm{val}[-1]/\mathrm{val}[0])-1$
Volatility $= daily\_ rets.std()$
Risk/Reward $\mathrm{S.R.}=\sqrt{252}\frac{\mathrm{mean}(daily\_ rets\_ rf)}{daily\_ rets\_ std}$