對沖基金使用的交易策略

是 否 +2 論壇幣

k人 參與回答

經(jīng)管之家送您一份

應(yīng)屆畢業(yè)生專屬福利!

求職就業(yè)群

趙安豆老師微信：zhaoandou666

經(jīng)管之家聯(lián)合CDA

送您一個全額獎學(xué)金名額~ !

立即領(lǐng)取

感謝您參與論壇問題回答

經(jīng)管之家送您兩個論壇幣！

+2 論壇幣

街上的那些基金用的策略總是讓我們感到無比神奇，或者說很是遙遠，wilmott論壇上有個帖子說了這個事情，很多事情說明白了就沒有那么神秘了，不過只是一個list，沒有具體的用法，當(dāng)然沒有誰吧自己賺錢的所有東西都說出來，不過看看也大概知道quant最終應(yīng)用是個什么樣的了。 策略
原文的鏈接：What are the major strategies used by hedge funds and prop desks?
There are many different ways to classify the strategies, so it may perhaps be best to start with some of the commonly recognized categories which are tracked by HFR indexes (see Hedge Fund Research):
- Convertible Arbitrage:(可轉(zhuǎn)換債券套利) A hot area for quants a few years back, this strategy finds and exploits mispricings in convertible bonds against the components they break up into. A typical example is buying an undervalued convert, hedging the credit and interest rate risk, then isolating the equity options so that it can be either be sold or delta hedged for cheap vega/gamma exposure. Calamos wrote the book on this subject.
- Distressed Debt:(不良債權(quán)) These funds trade the debt of bankrupt, near-bankrupt, and restructuring companies, a bit past the horizon of what a stereotypical high-yield mutual fund might cover. The goal is to buy debt for pennies on the dollar for a reasonable assurance of getting nickels on the dollar, or shorting securities whose doom has not been fully priced in yet.
- Long/Short Equity: (交易獲利） HFR divides this group into "Equity Hedge" and "Equity Market Neutral", but this largest and probably most general group of managers do just about anything that involves buying some stocks/indexes and shorting others. In theory, these were supposed to be market neutral (buy the alpha, cancel out the beta) funds out there enforcing price efficiency, but real long/short funds are often net long, net short, and some times completely long or short.
- Event-Driven:（事件獲利） "Event Driven" typically refers to funds that specialize in betting on certain types of corporate events, be they M&A, FDA rulings, new technology stories, or just about anything you might hear about on CNBC accompanied by a double-digit move in a stock price. Often, these may be run by experts in a field (for example, former biochemists following drug stocks), but not always.


- Global Macro（宏觀套利）: mdubuque’s call’s on Bush’s fiscal policy and the collapse of the US economy would fit right in here, as would Soros’s billion dollar P&L from the sterling’s fall in the early 90’s. The idea is to see the world top-down and be the first to profit when transoceanic damns break.
- Merger/Risk Arbitrage: （并購套利）This is a bit of a oxymoron given that RA neither trades risk nor involves riskless arbitrage. The idea is related to event-driven funds, but focuses on value differences between tender offers/rumors and the ultimate value of a merged firm. The Palm/3Com example might be a classic example of where this didn’t work.
- Relative value: (類比套利）Most strategies that would be descibed this way really fall under one of the other categories, be they L/S equity, FI arb, cap struct arb, etc.
Other common strategies not covered by an HFR investable index:   
- Fixed Income Arbitrage（固定收益套利）: One of LTCM’s tricks was to short on-the-run bonds and buy off-the-run bonds to exploit an apparent mispricing between the two. Other strategies trade the swap spread, the TED spread, inter-country spreads, government bonds of Euro countries vs. Euro contenders, etc. Thanks in part to these funds, many yield curves around the world can be traded very smoothly with little cost or concern for specifics.
- Mortgage Arbitrage（抵押貸款套利）: This (basically) extention of FI arb focuses on mortgage backed securities, pass-throughs, and sometimes related asset-backeds, in an attempt to outguess the pre-payment models of the sell-side.
- Systematic Futures( 期貨套利）: These program trading strategies, traditionally focused on commodities, have attracted funds to their trend-following methods since at least the early ’80s.
Strategies traditionally employed by prop desks, but also have hedge fund followers:   
- Index Arbitrage: （指數(shù)套利）Ever since indexes have become tradable themselves, through index futures and ETFs, there has been a high-volume, razor-thin-margin business in watching whenever the tradable index and its components trade out of line by a penny, and pair trading the difference. These desks make index futures and ETFs far more liquid than they look.
- Statistical Arbitrage:（統(tǒng)計套利） Sometimes called "glorified technical analysis", these strategies provide plenty of liquidity in the markets as well as making sure most technical analysis does note work in those markets. Many of these techniques are run by computers and benchmarked to milliseconds to how quickly they can match a price pattern against a statistical analysis of mean reversion or trending, and get that 51% edge on the probability of it going up or down on the next tick. The relationship to technical analysis comes from words like overbought, oversold, and Bollinger bands.
- CDO Arbitrage: （債務(wù)抵押債券套利）Basically this involves assembling a pool of credits (cash bonds or synthetic CDSs) that can be tranched and sold for more than the cost of the pool. The alternative to "Arbitrage CDO" is often refered to as "Balance sheet CDO", which banks use to get loans or bonds off their balance sheet in ways that investors find appealing.

CDS volatility arbitrage（信用違約互換波動性套利）
   
ABS relative value（資產(chǎn)抵押證券套利）

掃碼加我 拉你入群

請注明：姓名-公司-職位

以便審核進群資格，未注明則拒絕

分享0 收藏9 回帖

關(guān)鍵詞：對沖基金 交易策略 event-driven pass-through fixed income recognized different 對沖基金 perhaps start

好感謝啊，哈哈。

不錯，分門別類學(xué)習(xí)下，謝謝樓主

謝謝分享！

thanks for sharing

很好，謝謝分享。

Thank you！~

很好，謝謝分享。

不錯