»ç½Ç ÁøÁöÇѱÛÀÌ ¾Æ´Õ´Ï´Ù.
±×·±µ¥ ÁÖ½ÄÇÏ¸é¼ Á¤¸» ¿ì·®ÁÖ¶ó°í »ý°¢Çߴµ¥ ÁúÁú È帣´Â °æ¿ìµµ ¸¹°í, ¿ì¸®¸®ºÁµµ ÁÁÀº Á¾¸ñÀ̶ó°í
»ý°¢Çߴµ¥ ÁúÁú È帣´Â °æ¿ìµµ ¸¹°í.... ¿ä ±Ù·¡ µé¾î¼ 1³â°£Àº ¼ö¹éÇÁ·ÎÀÇ ¼öÀÍÀ̾ƴϾ ¼ö½ÊÇÁ·ÎÀÇ
¼öÀÍÀÌ ¾Æ´Ï¾îµµ.. Çѱ¹ ÁֽĽÃÀå¿¡¼ ¿ª»çÀûÀ¸·Î µ·¹ú±â ½¬¿îÀåÀ̾ú½À´Ï´Ù.
ÀÌ·¯ÇÔ¿¡µµ ¼öÀÍÀ»³»Áö ¸øÇß´Ù¸é, ÀÏ¹Ý ÀåÀ̾ú´Ù¸é »ó»óµµ ¸øÇÒ Á¤µµ·Î °íÅ뽺·¯¿ü½À´Ï´Ù.
¿ì·®ÁÖÀÌ°í Á¤¸» ÀúÆò°¡¶ó°í »ý°¢Çß´ø Á¾¸ñÀÌ ¹ÝÅ丷³ª´Â °æ¿ì°¡ ÈçÇϴϱî¿ä...
ÀÌ·¯´Ùº¸´Ï º¸´Ù È®½ÇÇÏ°Ô ¼öÀÍÀ» ³¾¼öÀÖ´Â ¹æ¹ýµéÀ» °í¹ÎÇϰԵǾú´Âµ¥, ÀÚ¼¼ÇÑ ±â¹ýÀº Â÷Ä¡ÇÏ°í
ÀÌ·± ¹æ¹ýÀÌ ÀÖ´Ù¸é? ¿Í ÀÌ°Å ´ë¹ÚÀ̳×? ÀÌ°Ô Á¦ÀÏ È¯»óÀûÀ̳×?!
¶ó´Â ±â¹ýÀº ¹«¾ùÀΰ¡¿ä? Çϳª¸¸ °í¸£½Ã¿À.
1.·Õ¼ô . Æä¾îÆ®·¹À̵ù.
¿¹) Ä«Ä«¿À¿Í ³×À̹ö¸¦ ¿¹¸¦ µé¸é Çϳª´Â »ç°í, Çϳª´Â ¼ôÀ» Ĩ´Ï´Ù. ±×·³ ¿À¸£¸é ÁÁÀº Á¾¸ñÀº ´õ ¿À¸£°í ¶³¾îÁö¸é ³ª»Û Á¾¸ñÀÌ ´õ ¶³¾îÁö´Ï±î ±× Â÷¾×¿¡ ÇØ´çµÇ´Â ¸¸ÅÀº ¼öÀÍÀÔ´Ï´Ù.
2. °ø¸Åµµ Àü·«
ÁÖ°¡°¡ Å×½½¶ó ó·³ °íÆò°¡µÇ¾ú´Ù¸é , °ø¸Åµµ¸¦ Ä¡´Â ¹æ¹ý.
¾ðÁ¨°¡´Â °íÆò°¡µÈ°Ç ¶³¾îÁø´Ù´Â Àü·«.
3. ¸ÞÀÚ´Ñ
Àüȯ»çä¶ó°í, ȸ»ç¿¡ µ·À» ºô·ÁÁÖ°í, ÁÖ°¡°¡ ¿À¸£¸é µ·´ë½Å ÁÖ½ÄÀ» ½Î°Ô ¹Þ°í,
ÁÖ°¡°¡ ¶³¾îÁö¸é ±×³É ¿ø±Ý°úÀÌÁ¦¸¸ ¹ÞÀ½. ÀÀ? ¹«Á¶°Ç ¼öÀÍÀ̳×?
4. µ¨Å¸ ´ºÆ®·²
ÆÄ»ý»óÇ°½ÃÀå¿¡¼ ÇÏ´Â ¹æ¹ýÀε¥, ÁÖ°¡°¡ ¿Ã¶óµµ ³»·Áµµ ´Ã °èÁ°¡ ¿À¸£³»¸²¿¡ ¿µÇâÀ»¹ÞÁö ¾Êµµ·Ï
¸Å¼ö¿Í ¸Åµµ Æ÷Áö¼ÇÀ» ÇÕ¼ºÇؼ ¸¸±â°¡ µÇ¸é , ÀÏÁ¤ ¼öÀÍÀ» ³»µµ·Ï ÇÏ´Â ¹æ¹ý
<Equity Long/Short Strategies>
- ÀúÆò°¡µÈ ÁÖ½Ä ·Õ, °íÆò°¡µÈ ÁÖ½Ä ¼ô
If) CAPM °°Àº ¸ðÇü¿¡¼ ³ª¿Â ¿ä±¸ ¼öÀÍ·ü < ½ÃÀå¿¡¼ °üÂûµÈ ¼öÀÍ·ü
à ÀúÆò°¡µÈ °Í à ·Õ
- ÁÖ·Î ·Õ/¼ôÀÇ ³Ý Æ÷Áö¼ÇÀÌ long bias ÀÎ °æÇâÀÌ ÀÖÀ½
- ½ÃÀåÀÇ Ãß¼¼¿¹Ãøº¸´Ù ÁÖ½Ä selection ¿¡ ÀÇÁ¸ÇÔ
- top-down analysis vs. bottom-up analysis
- ¼º°øÀûÀÎ ·Õ/¼ô Àü·«Àº long call optionÀÇ °á°ú
- ÃÊ°úÀÌÀÍ: ¸Å´ÏÁ®ÀÇ ´É·ÂÀ̱⵵ ÇÏÁö¸¸, ü°èÀû À§ÇèÀ» ¶°¸ÃÀº °Í¿¡ ´ëÇÑ º¸»ó(return due to risk premia)À̱⵵ ÇÔ. µÑ »çÀÌ°¡ ¸íÈ®ÇÏÁö ¾Ê´Ù.
- short sideÀÇ ÀÌÀÍÀº short rebate interest + °ø¸ÅÀÇ Á¦ÇÑÀ¸·Î ÀÎÇÑ ½ÃÀå ºñÈ¿À²¼ºÀ» ÅëÇÑ ÀÌÀÍ
<Equity Market Neutral Strategies>
- risk factor¸¦ 0À¸·Î ¸¸µå´Â Àü·« (neutralized) : ½ÃÀå°ú uncorrelated
- long bias (equity long/short ÀÇ Æ¯º°ÇÑ Á¾·ùÀÓ)
1) Statistical Arbitrage (black box approach)
- Åë°èÀû, ¼ö¸®Àû ¸ðÇü
- ÀúÆò°¡ long, °íÆò°¡ short : fair value/mean À¸·Î ¼ö·ÅÇÒ °ÍÀ̶ó´Â ±â´ë
- Á¤·®Àû, ±â¼úÀû ºÐ¼®. µ¶ÀÚÀûÀÎ ¸ðµ¨·Î ¼öÇàÇÔ
- Áֽĵ鰣ÀÇ ÅõÀÚ±âȸ¿Í °ü°è ºÐ¼® à ÅõÀÚ±âȸ¸¦ Æ®·¹À̵ù ·ê·Î Çؼ® à ¿ª»çÀûÀÎ µ¥ÀÌÅÍ·Î Àü·«À» º¤Å×½ºÆ® Çغ½
- Æ®·¹À̵ù ¸ðµ¨ °ø°³ ¾ÈÇؼ ºí·¢¹Ú½º ¶ó°íµµ ÇÔ.
2) Market Neutral long/short equity
- ÄÄÇ»ÅÍ ÃÖÀûÈ ÇÁ·Î±×·¥À¸·Î Æ÷Æ®Æú¸®¿À ¼ö¸³ (·Õ/¼ô Àü·«Àº ¶È °°À½;)
- screen and rank à select stocks à construct the portfolio
Cf) pair trading – statistical arbitrage strategyÀÇ Æ¯º°ÇÑ °æ¿ì p34
* market-neutral Àü·«½Ã ½ÃÀåºñÈ¿À²¼ºÀÇ ÀÌ¿ë:
value stock (ÀúÆò°¡ µÈ °Í ·Õ), momentum strategies (ÃÖ±Ù ½ÇÀû ÁÁÀº °Í ·Õ, ÃÖ±Ù ½ÇÀû ¾ÈÁÁÀº °Í ¼ô), small capitalization stocks => ÁÁÀº °á°ú °¡Á®¿Ô´Ù.
* Fama & French ÀÇ Á¤¸® : HML(high book-to-market value long, short low), SMB(long small-cap, short large caps), UMB(long recent out-performer, short under-per)
<Equity Market Timing Strategies>
- °¼¼ÀåÀÌ ¿¹»óµÇ¸é ÁÖ½Ä long, ¾à¼¼ÀåÀÌ ¿¹»óµÇ¸é Çö±Ý, Çö±Ýµî°¡¹° º¸À¯(risk free money asset)
- transaction cost¸¦ ³·Ãß´Â °ÍÀÌ Áß¿ä : À¯µ¿¼º ³ôÀº ½ÃÀå, ¼ö¼ö·á ¾ø´Â ¹ÂÃß¾ó Æݵå
1) sector timing – Àδõ½ºÆ®¸® ÁÁÀº ´º½º
2) time-zone arbitrage – ¼¼°èÀûÀÎ ½ÃÂ÷¿¡¼ »ý±ä °¡°Ý ºñÈ¿À²¼º
<Short-Selling Strategies>
- ÁÖ½ÄÀÇ °íÆò°¡ °¡´É¼ºÀ» »ý°¢Çؼ °ø¸Åµµ Àü·«
- short rebate interest : °ø¸Å·Î ÀÎÇØ »ý±ä µ·À¸·Î ´Ù¸¥ °÷¿¡ ÅõÀÚÇؼ »ý±ä ÀÌÀÍ
- bottom-up ºÐ¼®À¸·Î ÁÖ½Ä ¼±ÅÃ
* ¹®Á¦Á¡:
1) Áõ±Ç ºô¸± ¼ö ÀÖÀ» ¶§¸¸ °¡´É (´©°¡ ºô·ÁÁà¾ß °¡´É)
2) ¿øÄ¡ ¾Ê´Â short covering , margin call
3) ÀÌ·ÐÀû ¼Õ½ÇÀÌ ¹«ÇÑ´ë
4) risk profile ÀÌ Á¤ ¹Ý´ë
<Convertible Arbitrage Strategies>
- P(CB) = P(B) + P(call on stock) : Áֽİú Àüȯ»çä °£ÀÇ °¡°Ý ¸ð¼ø arbitrage profit
- ÁÖ°¡¿¡ ºñÇØ CB°¡ ½Î¸é ÁÖ½Ä short, CB long
- bottom-up analysis
- gamma tradingÀÇ °æ¿ì °¡°Ý ¸ð¼øÀÌ ¾ø¾îµµ °¡´ÉÇÔ
* returnÀÇ ¼¼°¡Áö ¿øõ
1) Static returns
- ÁÖ½Ä short, CB long Çϴµ¥¼ ³ª¿À´Â ¼öÀÍ, Áï. CB º¸À¯¿¡¼ ³ª¿À´Â ÀÌÀÚ, ¹è´ç ¼öÀÍ + short rebate interest from selling stock
- lower credit quality convertibles with in the money conversion options °¡ °¡Àå ³ôÀº °íÁ¤ ÀÌÀÍ à default risk ³ô´Ù. coupon payment(¿ª½Ã ³ô¾ÆÁü) °¡ º¸»ó
2) Gamma trading
- Áֽİ¡°Ý ÇÑ´ÜÀ§ º¯È ´ç option deltaÀÇ º¯È ºñÀ²
- ÁÖ°¡°¡ ¾î¶² ¹æÇâÀ¸·Î º¯ÇÏ´ø profit âÃâ
3) Pricing Inefficiencies
- ÃÊ°ú ÀÌÀÍÀÇ ÇÙ½É ºÎºÐ
- ä±Ç¹ßÇà½Ã(ÁÖ·Î discountÇÏ´Â °æÇâ ÀÖÀ½), º¯µ¿¼º Å« ½Ã±â °¡°Ý ºñÈ¿À² »ý±è
<Fixed-income Arbitrage Strategies>
ä±Ç¿¡ ÅõÀÚ
1) market neutral
- ÀÌÀÚÀ²(½ÃÀå) ¿òÁ÷ÀÓ¿¡ ÅõÀÚÇÏÁö ¾Ê°í, yield spread¿¡ ÅõÀÚ
- related bonds/butterfly/basis trades/asset swaps/TED spread/liquidity trade µî
2) non-market neutral
- yield curve³ª credit spread°¡ º¯ÈÇÒ °ÍÀ» ¿¹»óÇÑ ÅõÀÚ
- yield curve spread/credit spread/cross-currency/asset-backed securities
* risk ¿Í returnÀÇ ¿øõ:
1) systematic risk premia
2) price inefficiency: agency bias, structural bias, segmentation bias
* ÀÌ Àü·«Àº put optionÀ» short ÇÏ´Â °Í°ú °°´Ù. (½ÃÀåÀÇ ºÒÈ®½Ç¼ºÀÌ Ä¿Áö´Â °æ¿ì ¼ÕÇظ¦ º¼ ¼öµµ Àֱ⠶§¹®) Áï, º¯µ¿¼º¿¡ ¼ôÀ» ÇÏ´Â °ÍÀÓ (ÁÖ·Î ½ºÇÁ·¹µå°¡ ÁÙ¾îµå´Âµ¥ ÅõÀÚÇÏ´Â °ÍÀ» »ý°¢Çغ¸¸é µÊ)
à ÇÏÁö¸¸ ¸¶ÄÏ ¼îÅ©°¡ ¿ÔÀ» ¶§ ¼ÕÇظ¦ º¸°Ô µÈ´Ù. (°æ±â ÇÏ°ÀÌ ¿¹»óµÇ¸é ÅõÀÚÀÚµéÀÌ °íµî±Þ ä±ÇÀ¸·Î ¿Å°Ü°¡¹Ç·Î), ½ºÇÁ·¹µå Áõ°¡, flight to quality
* °æ±â »ó½Â¿¹»ó: flight from quality : ½ºÇÁ·¹µå °¨¼Ò
/ °æ±â ÇÏ°¿¹»ó: flight to quality :½ºÇÁ·¹µå Áõ°¡
<Volatility Arbitrage Strategies>
- implied vol is low (cheap vol) à ÀúÆò°¡ à long
Implied vol is high (expensive vol) à °íÆò°¡ à short (ÀûÁ¤ vol°ú ºñ±³.. historical°ú?)
- ½ÃÀå ¼îÅ© ÈÄ¿¡ vol mispricing ÀϾ (ÁÖ·Î implied vol ÀÌ ¿ª»çÀû °¡°Ýº¸´Ù Ä¿Áü)
<Capital Structure Arbitrage Strategies>
- ÀÚº» ±¸Á¶ ³»ÀÇ (´ëÂ÷´ëÁ¶Ç¥) ºÎä¿Í ÀÚº» °£ÀÇ °¡°Ý º¯È ¸ð¼øÀ» ³ë¸®°í ÅõÀÚ.
- ÁÖ·Î º¯µ¿¼º Ŭ ¶§, Áֽİ¡°ÝÀÌ ¶³¾îÁú ¶§ ¹ß°ßµÇ´Âµ¥, ºÎäÀÇ °¡°ÝÀÌ ÀÚº»ÀÇ °¡°Ýº¸´Ù ¸ÕÀú Á¶Á¤µÈ´Ù. ä±ÇÀÚµéÀÌ ÁÖÁֵ麸´Ù ¸ÕÀú ¾Í
<Event-Driven Strategies>
- Merger arbitrage / lawsuit / index changes / bankruptcy / holding company arbi / share-class arbi / structural arbi
- M&A½Ã Çö±Ý°Å·¡ À̸é ÇÇÀμö±â¾÷ long, ÁöºÐ °Å·¡À̸é ÇÇÀμö±â¾÷ long, Àμö±â¾÷ short
<Merger Arbitrage Strategies> Risk Arbitrage
- ÇÇÀμö±â¾÷ »ç¼ Çù»ó±â°£µ¿¾È º¸À¯ÇÏ´Ù°¡ merger price – purchase price ÀÇ ÀÌÀÍ
- deal risk Á¸Àç
<Distressed Securities Strategies>
- À繫Àû °ï°æ¿¡ óÇÑ ±â¾÷ÀÇ Áõ±ÇÀ» long, ȸ»ý ÀÛ¾÷¿¡µµ ±â¿©Çϱ⵵ ÇÔ
- extensive bottom-up analysis
- capital structure arbitrageµµ »ç¿ëµÊ
- ±â¾÷ÀÇ Á¶°Ç 4°¡Áö
- profit ÀÌ ³ôÀ½ : ÀÌ°ÍÀº ³ôÀº risk premia ÀÇ °á°ú(credit, liquidity, bankruptcy)
<Regulation D Strategies>
- Regulation D : 1933³â ¹Ì±¹ Áõ±Ç¹ý¿¡ ÀÇÇØ »ç¸ð¹æ½ÄÀ» ±ÔÁ¤ÇÏ´Â ºÎºÐ
- ÁÖ·Î Àüȯ»çä(convertible), ¹«´ãº¸»çä(debenture securities) Å¥Æù ³ô°í, ¸¸±â 짦Àº °Íµé¿¡ ÅõÀÚÇÔ
- conversionƯ¼º ¶§¹®¿¡ ÇÒÀÎµÈ °¡°ÝÀ¸·Î ¹ßÇàµÉ ¶§ long Çß´Ù°¡, °è¾àµÈ °¡°ÝÀ¸·Î ÆÇ´Ù.
- Ç졸ñÀûÀ¸·Î º¸ÅëÁÖ short Çϱ⵵
- bottom-up analysis
- death spiral : Áֽİø¸Å, dilution from conversion à ÁÖ½Ä °¡°ÝÀÌ ´õ ¶³¾îÁö´Â Çö»ó
<Global Macro Strategies>
- ±¹Á¦ ÀÚº» ½ÃÀåÀÇ °¡°Ýº¯µ¿¿¡ ÅõÀÚ, ±Ý¸®, ÁÖ½Ä, ȯÀ², ¿øÀÚÀç µî
- ºÐ¼®ÇÏ´Â °Íµé p43
- Æ÷Áö¼Ç Å©±â ¶§¹®¿¡ ¼±Áø±¹ÀÇ À¯µ¿¼º Å« °÷¿¡ ÅõÀÚ
- ü°èÀûÀÎ À§Çè ÇÁ¸®¹Ì¾ö¿¡ ´ëÇÑ º¸»óÀ¸·Î ¼öÀÍ
- credit / liquidity risk Å©Áö ¾ÊÀ½
<Managed Futures Strategies> Commodity trading adviser, CTA strategies
- futures ·Î ÅõÀÚ.
1) systematic managed futures strategies
- Åë°èÀû, ±â¼úÀû °Å·¡±â¹ý, Å« °Å·¡·®
- over-fitting : °ú°Å µ¥ÀÌÅÍ°¡ ¾ÈÁÁÀ» ¶§ ¸ðµ¨ÀÇ ¹®Á¦
- ´Ü¼øÇÑ Ãß¼¼ ¼øÀÀÀû ¸ðµ¨ÀÌ °úµµÀû¿ë ¹®Á¦ Àû¾ú´Ù.
- °Å·¡ºñ¿ë ÁÙÀÌ°í À¯µ¿¼º ³ôÀÌ´Â °Ô Áß¿ä
2) discretionary managed futures strategies
- 1)¹øº¸´Ù °Å·¡´Â Àû°í, ƯÁ¤Á¤º¸¿Í ´É¼÷ÇÑ °Å·¡¸¦ ÅëÇÑ º¸´Ù °³º°ÀûÀÎ °Å·¡
* 1)¹ø¿¡¼ Ãß¼¼ ¼øÀÀ Àü·«ÀÌ °¡Àå ÀϹÝÀûÀÓ, ½±°í Á¤º¸°¡ ¸¹´Ù.
* discretionary vs global macro ºñ±³
- futures »ç¿ëÇÑ´Ù vs ¹Ù·Î ÅõÀÚ
- µÑ´Ù °¡°Ý ºñÈ¿À²¼ºÀ» Àâ¾Æ³»±â À§ÇÑ Á¤º¸¼öÁý·Â µî °®Ãß°í ÀÖÀ½, managerµéÀÇ ¿ø
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