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1、KCSFundStrategiesInc.DisciplinedFundofHedgeFundsPortfolioManagementContemporaryPerspectivesonHedgeFundInvestingCFAVictoria–February21st,2007AgendaWhyaddhedgefundstoaportfolio?Whytakeaportfolioapproach?Whatarethemeritsoflowvolatilityhedgefunds?Isanequityinvestin
2、gframeworkuseful?2WhatisaHedgeFund?3DescriptionWhatisaHedgeFund?SimilartomutualfundProfessionallymanagedpoolofassetsSpecifiedobjectivesInvestorstypicallymustbequalifiedoraccreditedShortpositions/hedgingallowedLeveragePositionconcentrationLowerliquidityTradingst
3、rategy≠investmentstrategy4HedgeFundStrategiesEquityLong/ShortEquityMarketNeutralDedicatedShortBiasEmergingMarketsConvertibleArbitrageFixedIncomeArbitrageEventDrivenMergerArbitrageDistressedGlobalMacroManagedFutures/CTAMulti-StrategyWhatisaHedgeFund?5Hypothetica
4、lConvergence/DivergencePairsTrade5060708090100110PriceAsset1Asset2TradeCompletedTradeInitiatedTradeCompletedTradeInitiatedWhatisaHedgeFund?TypicalHedgeFundTrade6TypicalHedgeFundTradingModelWhatisaHedgeFund?Aconvergencehypothesisunderliesthetradingmodelofmosthed
5、gefundmanagersTradingmodelsareanalogoustobusinessmodelsforprivateorpubliccompaniesEvaluationoflikelihoodofsuccessissimilar:Focusonquality,trackrecordofmanagersEnsurestrategyiswellarticulatedLookforsustainablecompetitiveadvantages7WhyaddHedgeFundstoaPortfolio?8S
6、tabilityofReturns&OutperformanceWhyaddHedgeFundstoaPortfolio?9HighReturnperUnitofRiskCSFB/TremontIndicesvs.TraditionalAssets–SinceFebruary19979.8%7.2%9.0%7.1%15.2%16.3%0%5%10%15%20%TremontHedgeFundIndexS&P500TSXReturnsStandardDeviationWhyaddHedgeFundstoaPortfol
7、io?10DiversificationBenefitsCorrelations–SinceFebruary1997CSFB/TremontS&P500TSXS&P5000.43TSX0.620.79ScotiaBondIndex0.12-0.020.05WhyaddHedgeFundstoaPortfolio?11Drawdown&RecoveryDrawdownPeriodofnegativereturnsfrompeaktotroughHedgeFundIndicesLesssevereandfasterrec
8、overyOtherMetrics-SinceFebruary1997%PositiveMonthsMaximumDrawdownMonthstoRecover/%YettoRecoverS&P50060.5%-46.28%52/6.55%TSX61.3%-45.05%38/noneScotiaBondIndex69.7%-11.19%9/no
