CFA三级三级第四册课后 2020 Level III - SchweserNotes Book 4.pdf

Convertible arbitrage. These strategies attempt to extract “underpriced” implied volatility from long convertible bonds. Convertible arbitrage works best when there is high convertible issuance, adequate market liquidity, and moderate volatility. Liquidity issues may arise from convertibles being somewhat illiquid. Convertible arbitrage managers generally run about 300% long versus 200% short. LOS 26.e Opportunistic strategies tend to be highly liquid and use high leverage. Global macro. These strategies use discretionary approaches and a range of financial instruments to exploit trends in global financial markets. Global macro strategies offer diversification during periods of stress but with mixed outcomes. Managed futures. In these strategies, a portfolio of futures contracts is actively managed using systematic approaches to provide portfolio and market diversification. Managed futures strategies often exhibit right-tail skew during market turmoil. LOS 26.f Specialist hedge fund strategies operate in market niches in order to generate uncorrelated returns. Success with these strategies usually requires specialized knowledge. Volatility traders. These strategies seek to profit from changes in the term structure of volatility. OTC options can be used to create bull spreads, bear spreads, straddles, and calendar spreads. Alternatively, other instrument including VIX futures, volatility swaps, and variance swaps can be used. Life settlements. In these strategies, pools of life insurance contracts are purchased, and the hedge fund becomes the beneficiary. The hedge fund manager looks for policies with low surrender value, low ongoing premium payments, and high probability that the insured person will die soon. LOS 26.g Multi-manager hedge fund strategies use strategy diversification in an attempt to produce low-volatility, steady returns. Funds-of-funds. This strategy involves a hedge fund that invests in other hedge funds. Funds-of-funds