[일배우기] Characteristics of Alternative Investment

Alternative Investment 대체투자

 

1. Characteristics

• differ from traditional investments(publicly traded stock, bond, cash)
• may use derivatives, leverage
  invest in illiquid assets
  short securities
• higher management fee +incentive fee
• low return correlation with traditional investments (potential diversification)
• less regulation and transparency (no disclosure)
• different legal and tax treatments

 

2. Strengths and Weaknesses

① reduce overall portfoilo risk : low correlation with traditional investments
- risk는 standard deviation X
- worst month or historical frequency of downside returns

② Higher historical returns: higher portfolio expected return
- survivorship biased 살아남은 펀드들만 성과에 반영 (해지된 펀드들은 average에 집계되지 않음)
- Backfall biased 성과가 나빴던 시기의 손실을 성과가 좋은 시기의 이윤으로 메꾼다 or 성과가 나쁜 시기의 실적은 제외 (less regulation)

 

(1) Hedge Fund

@ 특징: leverage 사용, derivatives, illiquid assets, hold long and short position.
   - 낮은 liquidity 
     ① Lock-up period: 일정기간동안 withdrawal 불가. 
     ② Notice period: redeption request ~ fund receipt 까지 일정기간 notice 필요
     ③ Redeption fee: 현금화에 필요한 transation cost 를 고객에게 charge

@ 구조: Complex. Fund Manager → Hedge Fund ↔ Prime brokerage ← investors
> Prime brokerage gather investors' money. they provide custodial service, money and securities lending, trading execution
> Typical Limited Partnership
   - 지분 출자한 만큼 수익 분배
   - 투자자의 수 한정적 (no more than a proscribed number of investors > certain wealth, sufficient liquidity, acceptable degree of investment sophistication understanding)

>Fund of funds: 다른 hedge fund에 투자하는 fund
  more due-dilligence, more diversification (higher return X), additional layer of fees

@ 수익: Absolute basis (e.g. 10%)
       Relative basis (e.g. 5% above a specific benchmark return)

@ Strategies

① Event-driven
M&A, 구조조정(distressed, restructuring), 신주발행, 사업부문 매각 등의 event 가 있을 때 가격변동을 노린다.
e.g. Buy the firm being acquired. 피인수기업의 주식을 산다. and Short sell the firm acquiring 인수기업의 주식을 판다.
e.g. Buy sufficient equity shares to influence the company > increase company value 지분인수하여 경영권 간섭

② Relative value : buy A + short sell A'
> Convertible bond A + Common stock A
> 저평가 MBS 매수 + 고평가 MBS 매도
> 저평가 채권 매수 + 고평가 채권 매도
> 내재된 volatility VS 매니저의 expected volatility 다를때 option을 매도or매수
e.g. 삼성전자 매수 + LG전자 매도 = market neutral (전자 종목 하락시 손실 + 이득 = 똔똔)

③ Macro : global economic trends

④ Equity Hedge Fund Strategy
 - Technical, Fundamental analysis 해서 short overvalued stock + buy undervalued = market neutral
 - Fundamental growth 성장주 (high rate of capital gain)
 - Fundamental value 가치주 (undervalue 된 것을 산다)
 - Quantitative Directional: buy undervalued, short sell overvalued
 - Short bias : short overvalued

@ 장점
 - equity 시장이 down일때 better return
 - Less-than-perfect correlation with global equity returns - potential diversification

@ 한계
 - 주식시장이 활황일때 lower return
 - global crisis 일때 주식시장과의 correlation 상승하는 경향. 같이 low down

@ Due diligence
 - lack of transparency 주의: investment strategy, investment process, souce of competitive advantages, historical returns...

(2) Private Equity

@ 특징: Private Equity에 투자 (leveraged buy out funds, early stage firms (venture capital) ...

@ Strategies

① Leveraged Buyouts (LBOs): Portfolio company (투자대상이 되는 회사)를 margin으로 buyout (빚내서 사는 것)

> Management Buyouts(MBOs) : 현 경영진이 회사의 지분 인수
e.g. Micheal Dell (tied with Silverlake Investment) buys out Dell's equity  > the CEO becomes an owner of Dell 

> Management Buy-ins(MBIs) : 회사를 인수해서 새 경영진을 앉힘
   Highly cash flow를 가진 회사를 인수. eventually buy debts down 할 수 있는 cash flow를 가진 회사를 인수해서 새 경영진이 회사가치를 올려줄 것을 기대.
e.g. Silverlake Investment buys in Dell's equity > hire a new CEO to run Dell company.

② Venture Capital : company 의 early stage에 지분투자

in the form of convertible preferred shares, convertible debt > sell out after IPO