02-01 So you want to be a hedge fund manager

ETF

  • Buy/sell like stocks
  • Baskets of stocks
  • Transparent, liquid

Mutual Fund 共同基金

  • Buy/sell at end of day
  • Quarterly disclosure
  • Less transparent

Hedge Fund

  • Buy/sell by agreement
  • No disclosure
  • Not transparent

Large cap 大盤
shares\timesprice = 市值
Assets Under Management，AUM 資產(chǎn)管理規(guī)模

Incentives: How are they compensated?

ETFs: Expense Ratio 0.01\% - 1.00\%
Mutual Funds: Expense Ratio 0.05\% - 3.00\%
Hedge Funds:"Two and Twenty": 2%AUM +20%portfolio"
100 million dollar >> 115 million dollar
Two: 100m * 0.02 = 2m
Twenty: 15m * 0.2 = 3m
total: 5m

How funds attract investors?

Who?
  • Individuals
  • Institutions (often 公益機(jī)構(gòu))
  • Funds of funds
Why?
  • Track record
  • Simulation and story
  • Good portfolio fit：如果你的基金是關(guān)于指數(shù)的，而投資者已經(jīng)投了這個(gè)指數(shù)，那么ta可能就不會(huì)選擇你了。
Goals
  • Beta benchmark >> SP500
  • Absolute return >>long/short
Metrics
  • Cumulative return =(\mathrm{val}[-1]/\mathrm{val}[0])-1
  • Volatility = daily\_ rets.std()
  • Risk/Reward \mathrm{S.R.}=\sqrt{252}\frac{\mathrm{mean}(daily\_ rets\_ rf)}{daily\_ rets\_ std}
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