对冲基金基金策略.doc

Forpersonaluseonlyinstudyandresearch;mercialuse薆街上的那些基金用的策略总是让我们感到无比神奇,或者说很是遥远,wilmott论坛上有个帖子说了这个事情,很多事情说明白了就没有那么神秘了,不过只是一个list,没有具体的用法,当然没有谁吧自己赚钱的所有东西都说出来,不过看看也大概知道quant最终应用是个什么样的了。膄Therearemanydifferentwaystoclassifythestrategies,monlyrecognizedcategorieswhicharetrackedbyHFRindexes(seeHedgeFundResearch):袃-ConvertibleArbitrage:(可转换债券套利)Ahotareaforquantsafewyearsback,,hedgingthecreditandinterestraterisk,thenisolatingtheequityoptionssothatitcanbeeitherbesoldordeltahedgedforcheapvega/-DistressedDebt:(不良债权)Thesefundstradethedebtofbankrupt,near-bankrupt,panies,abitpastthehorizonofwhatastereotypicalhigh-,-Long/ShortEquity:(交易获利)HFRdividesthisgroupinto"EquityHedge"and"EquityMarketNeutral",butthislargestandprobablymostgeneralgroupofmanagersdojustaboutanythingthatinvolvesbuyingsomestocks/,theseweresupposedtobemarketneutral(buythealpha,canceloutthebeta)fundsoutthereenforcingpriceefficiency,butreallong/short,-Event-Driven:(事件获利)"EventDriven"typicallyreferstofundsthatspecializeinbettingoncertaintypesofcorporateevents,betheyM&A,FDArulings,newtechnologystori