헤지펀드의 “절대 수익" Absolute return
the return that an asset achieves over a specified period. This measure looks at the appreciation or depreciation, expressed as a percentage, that an asset, such as a stock or a mutual fund, achieves over a given period.
Absolute return differs from relative return because it is concerned with the return of a particular asset and does not compare it to any other measure or benchmark. https://www.investopedia.com/terms/a/absolutereturn.asp
알파 alpha = 시장에서 얻는 (베타)수익과 별개로 얻는 수익
Beta: a measure of volatility relative to a benchmark
measures the systematic risk of a security or a portfolio compared to an index like the S&P 500.
Many growth stocks would have a beta over 1, probably much higher.
A T-bill would have a beta close to 0 because its prices hardly move relative to the market as a whole.
What beta also tells you is when risk cannot be diversified away. If you look at the beta of a typical mutual fund, it's essentially telling you how much market risk you're taking.
Alpha: the excess return on an investment after adjusting for market-related volatility and random fluctuations.
In a sense, it tells investors whether an asset has consistently performed better or worse than its beta predicts.
An alpha of -15 means the investment was far too risky given the return.
An alpha of 0 suggests that an asset has earned a return commensurate with the risk.
Alpha of >0 means an investment outperformed, after adjusting for volatility.
When hedge fund managers talk about high alpha, they're usually saying that their managers are good enough to outperform the market. But that raises another important question: when alpha is the "excess" return over an index, what index are you using?
단순히 수익률을 높이는 것보다 훨씬 더 중요하다고 생각되는 게: 돈을 잃지 않는거
What's more important than increasing profitability: not losing money
Long/Short 롱/숏 트레이드
특정 주를 내가 롱 했을 경우 그에 대한 hedge 로 같은 섹터 혹은 그 주가와 상관관계가 매우 높은 다른 종목에 대해서 숏
when longing particular stock, using hedge to short stock that is in the same sector or is relevant.
이런 식의 해지는 1:1 비율로 하는게 아니라 어느정 이 spread를 두고 일정한 비율에 맞춰서 합니다
this type of hedge is not using 1:1 ratio, but portioning based on a spread
Credit Short 인덱스/크레딧 숏
Credit Default Swap (CDS):
회사채 같은 신용리스크가 있는 자산을 기반으로 만든 파생 상품
derivative created based on asset that has credit risk like corporate bond
hedge로 사용하는 경우 말그대로 신용부도할 경우 (신용부도, 채무조정 상태 등)를 대비해서 리스크를 헷지하거나, 반대로 투자목적으로 신용리스크를 추가로 부담하기 위해서 이런 swap 계약을 함.
when to enter into a swap contract using hedge:
hedging risk in case of credit default (credit default, debt settlement etc), or
for investment purposes, bearing credit risk
이런 credit default가 일어날 사태에 대한 보험을 매입하는 CDS buyer는 seller에게 손실 보전에 대한 보장의 대가로 프리미엄을 지급해야 하는데, 그 가격은 회사채에 대한 신용등급별로 다름.
CDS buyer who buys insurance in case of credit default needs to pay premium to seller for indemnification, the price differs based on credit rating of corporate bond.
연간 프리미엄은 100bps, 200bps, HY경우 500bp+ 이상. 위험이 높을수로 보험 프리미엄도 비쌈.
annual premium is 100bps, 200bps
for high yield 500bp+
higher the risk, higher the insurance premium
빌 애크먼 (Bill Ackman)
Total CDS purchased:
미국 투자적격신용등급 회사채 (Investment grade debt): $50B
유럽 회사채 인덱스 (European index): $18.5B
유럽 하이일드 회사채 (European high-yield debt): $2.5B
= 총 $71B (710억 달러) 규모 채권에 대한 CDS를 매수 함
연간 프리미엄 (Annual premium): $500m
짧은 기간 (약 한달) 냈어야 했던 보험 프리미엄 (one-month insurance premium): $27m
주식시장 전체가 너무 심하게 폭락을 해서 결국에는 circuit breaker 까지 걸리고 장이 15분 동안 멈춤
15 minute circuit breaker due to stock market collapse
마켓이 엉망진창 됬을때 Bill Ackman은 CDS를 전부 정리해서 숏 헤지 포지션을 청산함 - 수익 $2.7B
Ackman cleared all short hedge position during market collapse - profit $2.7B ($27m x 100 = $2.7B) (한달 간)
251020
Comments