Hedge Funds - Macro and Managed Futures Flashcards
Macro and managed futures funds trading securities
Trade predominantly futures, forwards, and swaps;
Macro and managed futures funds attempt to benefit
from anticipating price level movements in major sectors or to take advantage of potential inefficiencies at sector and country levels.
Macro and managed futures funds ‘ strategies
- Systematic $ 250bn (1/2 of all
- Discretionary
- Combined 1+2
Macro and managed futures funds ‘ weight in the HF universe according to the HFR
$500bn or 20%
Macro and managed futures funds common features.
- increased liquidity vs hedge funds
- capacity
- focused on exchange-traded futures markets
- lower counter-party risks
Capacity is
Quantity of capital that a fund can deploy without substantial reduction in risk-adjusted performance.
Counter-party risk is
is the uncertainty associated with the economic outcomes on one party to a contract due to the potential failure of the other side of the contract to fulfill its obligations, presumably due to insolvency or illiquidity.
CTAs
commodity trading advisors
Discretionary fund trading is
where the decisions of the investment process are made by the judgment of human traders
Systematic fund trading is
black-box trading models because the details are hidden in complex software, is where the ongoing trading decisions of the investment process are automatically generated by computer programs.
Trading strategies are based on
analysis of information.
types of analyses trading/ investment strategies rely on
- fundamental analysis
- technical analysis
- both.
ascertain intrinsic value
устанавливать внутреннюю стоимость
Fundamental analysis
uses underlying financial and economic information to ascertain intrinsic values based on economic modeling.
Can be performed on macro-and micro levels.
Fundamental analysis often focuses on predicting price changes to securities based on current and anticipated changes in underlying economic factors
Technical analysis
- focuses on price movements due to trading activity or other information revealed by trading activity to predict future price movements.
- quantitatively analyzes the price and volume history of one or more securities with the goal of identifying and exploiting price patterns or tendencies.
Macro factors used in fundamental analysis
economy-wide information, such as economic growth rates, inflation rates, unemployment rates, and data on the supply and demand for commodities.
Micro factors used in fundamental analysis
firm-specific data such as revenues, expenses, earnings and dividends, or security-specific information
Underlying economic factors include
(1) market- or economy- wide factors such as changes to the monetary or fiscal policies,
(2) industry-wide factors such as changes in relevant commodity prices or consumer preferences
(3) firm-specific factors such as product innovations, product failures, labor strikes, or accidents.
essence
суть
latitude
- широта
A geographical position is given in latitude and longitude. Географическое положение задаётся широтой и долготой.
2.свобода действий
Asian Contagion
in the fall of 1997, when the government of Thailand devalued its currency, the baht, triggering a domino effect in currency movements throughout Southeast Asia.
avert sth.
предотвращать что-л.
salvage sth.
спасти что-л.
expel sb.
высылать кого-л. v
изгонять кого-л.
secular
светский мирской
Thematic investing is
a trading strategy that is not based on a particular instrument or market; rather, it is based on secular and long-term changes in some fundamental economic variables or relationships, for example, trends in population, the need for alternative sources of energy, or changes in a particular region of the world economy.
exemplify sth.
иллюстрировать что-л.
falter
замедлиться
savvy noun
savvy adjective
savvy verb
смекалка
сообразительный · толковый
понимать ・догонять ・ кумекать v
Quantitative macroeconomic empirical models vs theoretical models
empirical models of how markets have behaved or theoretical models of how they ought to behave.
Value-at-risk
quantifies the estimated loss at different levels of probability and time horizons, and has the advantage of being applicable across all asset classes and instruments as well as at the portfolio level
Event risk
refers to sudden and unexpected changes in market conditions resulting from a specific event (e.g., Lehman Brothers bankruptcy).