HEDGE FUND

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INtrader
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HEDGE FUND

Mensaje por INtrader »

Bueno pues esto es lo que había intentado mostrar en otro hilo sin mucho éxito. Se trata de un artículo que he encontrado en http://asesorfin.wordpress.com/2010/07/ ... dge-funds/ y que voy a intentar resumir a continuación.

Compras bonos convertibles con un 5% de rendimiento anual, con vencimiento en un año canjeables por 100 acciones por $1000. Te pones corto de 50 acciones del mismo activo a $10 cada una. Y luego la gracia está en que suba o baje el valor tú siempre ganas. ¿Como?

Al cabo de un año:

- Si no cambia el precio de la acción.
Pago de intereses del bono convertible de $1000 (5%): $50
Intereses pagados por los $500 de acciones: $25
Comisiones (0,25% al año): ($1,50)
Resultado Neto $73,50
% Retorno anual 7,3%

- Si sube un 25% el precio de la acción.
Ganancia en el bono convertible $250
Perdidas por posición corta (50 acciones x 2,5) ($125)
Pago de intereses del bono convertible de $1000 (5%): $50
Intereses pagados por los $500 de acciones: $25
Comisiones (0,25% al año): ($1,50)
Resultado Neto $198,50
% Retorno anual 19,85%

- Si baja un 25% el precio de la acción.
Perdida en el bono convertible (valor de inversión*) ($80)
Ganancias por posición corta (50 acciones x 2,5) $125
Pago de intereses del bono convertible de $1000 (5%): $50
Intereses pagados por los $500 de acciones: $25
Comisiones (0,25% al año): ($1,50)
Resultado Neto $118,50
% Retorno anual 11,85%

*Los bonos convertibles solo bajan lo mismo que el valor de la inversión, en este caso se estima una bajada hasta $920.

Las preguntas las pondré en el siguiente post, por espacio y porque me reclaman para ir a tomar unos vinos…

Mientras tanto podéis comentar lo que queráis… como siempre.





Estrategias Bonos Convertible (hedge funds)

he Case for Convertibles
by Dion Friedland, Chairman, Magnum Funds

Fund manager Mikhail Filimonov isn’t taking any chances, or any large ones anyway, with investments like that of his nine-year-old daughter’s college savings. Instead, Filimonov has adopted a low-risk, high-reward approach for his Alexandra Global Investment Fund, so-named for his daughter. Buying convertible bonds and simultaneously selling short the underlying stock, Filimonov positions his investments to be neutrally hedged – in other words, immune to market fluctuations. If a stock price falls, the investment is protected — and often enhanced — by the short position. No matter the stock price, the investment generates profits from interest on the bond and short sale proceeds.

Filimonov’s approach is called convertible bond arbitrage, one of many “hedging” strategies found in the hedge fund universe. Hedge funds refer to funds that can use one or more alternative investment strategies. Popularly perceived to be risky due to over-publicized losses in global macro funds in recent years, hedge funds, in fact, by their very definition seek to protect their investments by hedging against the downside. True, not all hedge funds “hedge,” but many do, and one of the most successful of these techniques is convertible bond arbitrage.

The term arbitrage refers to the trading strategy of identifying assets which are not efficiently priced by the market in comparison to prices of other related assets. In the case of convertible bonds, it works like this: Take a 5% convertible bond maturing in one year at $1,000, exchangeable into 100 shares of non-dividend-paying common stock currently trading at $10 per share. An arbitrage strategy might hedge against this long convertible bond with a short position of 50 shares of underlying common stock at $10 per share. Pricing inefficiencies between these two related securities, as we’ll see, allow for profits both when the stock price rises and falls. Adding to gains on the downside is the fact that convertible bonds can only fall in value as low as their “investment value” — the value of the same company bond if were it were not convertible. In this case, let’s say the investment value is $920.

An investment position such as this would likely have the following return dynamics:

Return When No Change in Stock Price:

Interest payments on $1,000 convertible bond (5%)
Interest earned on $500 short sale proceeds (5%)

Fees paid to lender of common stock (0.25% per annum)

Net cash flow

Annual Return
$50
$25

($1.50)

$73.50

7.3%

Return When 25% Rise in Stock Price:

Gain on convertible bond

Loss on shorted stock (50 shares @ $2.50/share)

Interest from convertible bond

Interest earned on short sale proceeds

Fees paid to lender of common stock

Net trading gains and cash flow

Annual Return
$250
($125)

$50

$25

($1.50)

$198.50

19.85%

Return When 25% Fall in Stock Price:

Loss on convertible bond (only falling as low as “investment value”)

Gain on shorted stock (50 shares @ $2.50/share)

Interest from convertible bond

Interest earned on short sale proceeds

Fees paid to lender of common stock

Net cash flow

Annual Return
($80)
$125

$50

$25

($1.50)

$118.50

11.85%

As this example shows, if a convertible bond arbitrage position is properly constructed, it should profit not only from the bond coupons and short rebate but from changes up or down in the underlying equity price. In other words, if the stock price drops, the gain from the short common stock position should exceed the corresponding loss on the long convertible bond. Likewise, if the stock price rises, the gain on the long convertible position should be greater than the accompanying loss on the short common stock position.

Explains Filimonov of his fund’s position in Gold Mines of Kalgoorlie (Australia), “The position generates cash flow (bond coupons less stock dividend, less financing cost, plus short rebate) of 12% per year. On top of that, hedged neutrally against stock fluctuations, the position makes an additional 2% for every 10% up or down in the underlying stock.”

Adding substantially to the upside, of course, can be leverage. Given the low-risk nature of convertible bond arbitrage, leverage is often an attractive option to investors.

If convertible bond arbitrage sounds simple, well it is. But simple doesn’t mean easy: In fact, fund managers caution against small investors trying it on their own. Reasons: Timing. If you’re 30 seconds too slow in executing a trade, gains could quickly turn to losses. Furthermore, high brokers’ fees and brokers not paying interest earned on the proceeds of short sales can also cut into profits.

In the five years from 1992 through 1996, market neutral arbitrage funds, of which convertible bond arbitrage is a part, netted 13.5% per year compounded. Those are impressive numbers to anyone, not only investors whose first priority is to preserve capital. Though when it’s a loved one’s future at stake, like young Alexandra Filimonov, protecting capital while reaping strong returns is especially sweet.

http://www.magnum.com/hedgefunds/convertibles.asp
I have not failed. I've just found 10,000 ways that won't work - Thomas A. Edison
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eqp53
Mensajes: 17
Registrado: 27 Nov 2009 20:07

Re: HEDGE FUND

Mensaje por eqp53 »

Si ya, pero también tendrás que contar las comisiones por cada operación de bolsa, no?. Además, en bolsa no te puedes poner corto, no?, a no ser que lo hagas con futuros. Y donde compras bonos convertibles?, podrias poner un ejemplo con empreass concretas?
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INtrader
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Re: HEDGE FUND

Mensaje por INtrader »

eqp53 escribió:Si ya, pero también tendrás que contar las comisiones por cada operación de bolsa, no?. Además, en bolsa no te puedes poner corto, no?, a no ser que lo hagas con futuros. Y donde compras bonos convertibles?, podrias poner un ejemplo con empreass concretas?
Gracias eqp53, has estado muy sagaz. Efectivamente parece que le faltan algunos flecos a la estrategia de Dion Friedland. Yo solo me he limitado a traducir el articulo que me he encontrado, pero seguro que hay alguien en este foro que es capaz de responder a los interrogantes que plantea.

¿Hay alguien que pueda explicar si es factible para el inversor de a pie este tipo de estrategia? ¿O quizás se trata de una estrategia de salón, meramente teórica?

Gracias por vuestros comentarios.
I have not failed. I've just found 10,000 ways that won't work - Thomas A. Edison
Sigueme en Twitter: @INtrader_ :smt006
Spirit
Mensajes: 4739
Registrado: 12 Jun 2008 19:49

Re: HEDGE FUND

Mensaje por Spirit »

Los arbitrajes, sobre el papel son todos ganadores. Si haces backtesting son todos ganadores, en algunos casos incluso el 100% de las veces, pero la realidad es muy distinta.

En realidad son un ejemplo extremo del porqué los backtest y las lógicas matemáticas que tanto pululan por ahí, hay que cogerlas todas con pinzas y tan sólo sirven de referencia o explicación de una lógica operativa o de gestión. Más allá de eso, cualquier parecido con la realidad es pura coincidencia.
ranunculo
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Re: HEDGE FUND

Mensaje por ranunculo »

eqp53 escribió:Si ya, pero también tendrás que contar las comisiones por cada operación de bolsa, no?. Además, en bolsa no te puedes poner corto, no?, a no ser que lo hagas con futuros. Y donde compras bonos convertibles?, podrias poner un ejemplo con empreass concretas?
En acciones si te puedes poner corto.
Lo de los bonos, ni idea..

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SharkOpciones
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Re: HEDGE FUND

Mensaje por SharkOpciones »

El "Convertible Bond Arbitrage" es uno de los muchos estilos de gestión de un hedge fund. Te recomiendo el libro "Investment Strategies of hedge Funds" de Filippo Stefanini, y ahí vas a entender este tipo de estrategia mucho mejor.

Personalmente, creo que es un estilo no apto para particulares (no conozco a nadie que lo haga). Las estrategias de arbitrage dan un beneficio muy reducido, por lo que el apalancamiento necesario debe ser grande. Creo que va más enfocado a instituciones. Además de las herramientas de búsqueda y análisis que uno debe tener para encontrar oportunidades antes que otro.

Las estrategias Equity Long/Short, también utilizadas por muchos hedge funds, son totalmente factibles para el pequeño inversor. De hecho, muchos en este foro utilizan estrategias similares a hedge funds, quizá sin ellos saberlo.

Te dejo un extracto del libro, las conclusiones sobre este tipo de operativa:
Saludos.

Convertible bond arbitrage is an example of a non-directional strategy whose return is not
correlated to capital markets, but rather depends on the fund manager’s ability to capture
and take advantage of directional spreads.
It is a classical strategy in the hedge fund world, which has become too crowded due
to the presence of too many traders and where there is a strong competition among hedge
funds to carry out arbitrages. This erodes the profitability of arbitrages and tempts hedge
fund managers into taking on directional risks based on their market expectations.
The current trend shows that hedge fund managers are shifting from a pure convertible
bond arbitrage strategy to a multi-strategy approach, with a greater propensity to side a
classical convertible bond arbitrage with strategies like PIPEs, statistical arbitrage, eventdriven
arbitrage, special situation arbitrage and even long/short equity.
There are convertible bond arbitrage fund managers who even resemble macro fund
managers, because they take on directional risks on all components of the convertible bond:
equity, credit, interest rate and volatility. This happens with larger hedge funds, with assets
under management of E2–5 billion, or funds with a high leverage (over 5 times), which once
again is associated with the need to manage a larger fund.
New financial instruments are emerging, like mandatory convertibles, which means that
for a hedge fund manager the ability to analyze the characteristics of single issues and
understand even the most complex structures may prove a competitive advantage, allowing
him to explore the new frontiers of capital markets where rich investment opportunities may
be at hand.
"The money is made in the sitting and the waiting, not the trading" - Jesse Livermore

http://www.sharkopciones.com" onclick="window.open(this.href);return false;
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INtrader
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Re: HEDGE FUND

Mensaje por INtrader »

Muchas gracias Spirit, ranunculo y SharkOpciones.

Por lo que entiendo de vuestros correos este tipo de estrategias es más teórico que práctico y reservado para inversores institucionales en todo caso.

En cualquier caso gracias Shark por la recomendación del libro; lo añadiré a mi biblioteca sin duda.

Saludos.
INtrader
I have not failed. I've just found 10,000 ways that won't work - Thomas A. Edison
Sigueme en Twitter: @INtrader_ :smt006
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