CFA® Level II
Hedge Fund Strategies
Opportunistic Strategies
© 2023 by Keith Tan. All rights reserved.
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CFA® Level II
Hedge Fund Strategies
Opportunistic Strategies
1. Global Macro
2. Managed Futures
TOP
DOWN
Regions
Sectors
Asset Classes
Variety of: Instruments
Techniques Implementation
Opportunistic
Hedge Funds
Opportunistic Strategies
1. Global Macro 2. Managed Futures
TOP
Managed Futures DOWN Global Macro
Technical Techniques Fundamental
(past price (examine relation between
movements/patterns) markets, sectors and prices)
Systematic Implementation Discretionary
(prede ned rules) (instincts and judgment)
Instruments
Opportunistic
Hedge Funds
Opportunistic Strategies
1. Global Macro 2. Managed Futures
fi
Global Viewpoints
in ation
TOP e.g. subprime crisis
Macro trends
DOWN
FX rates
monetary
volatile, uneven returns potential for
Global Macro policies outsized returns
Technical Techniques Fundamental
Directional
e.g. long stocks
anticipated to bene t
Systematic Implementation Discretionary from interest rate hikes
Positions
Thematic
e.g. invest in companies
vast array of securities, expected to gain from
Instruments asset classes
upcoming trade deals
Opportunistic Strategies
1. Global Macro 2. Managed Futures
fl
fi
Allow substantial leverage based on price targets,
Futures (⅛ of capital as collateral, momentum reversals, time-based
Contracts remainder in ST gov bonds) exits, trailing stop-loss orders
Wide range of Highly
asset classes Liquid Managed Futures
Lots of
strategies to
implement Technical Techniques Fundamental
with futures
SIGNALS
(triggered by volatility
or momentum) Systematic Implementation Discretionary
LONG SHORT
💡Time Series Momentum (TSM)
buy securities that are rising in price and
sell those that are trending downward
Derivatives
vast array of securities,
futures, forwards, options, Instruments
Cross-sectional Series Momentum asset classes
swaps, currencies, commodities
(CSM)
‘crowding’ TSM applied within a speci c asset class
→herding effect
Strategy performs poorly in low-volatility / mean-reverting markets
→slippage
Opportunistic Strategies
1. Global Macro 2. Managed Futures
fi
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