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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。 策略
原文的链接：What are the major strategies used by hedge funds and prop desks?
There are many different ways to classify the strategies, so it may perhaps be best to start with some of the commonly recognized categories which are tracked by HFR indexes (see Hedge Fund Research):
- Convertible Arbitrage:(可转换债券套利) A hot area for quants a few years back, this strategy finds and exploits mispricings in convertible bonds against the components they break up into. A typical example is buying an undervalued convert, hedging the credit and interest rate risk, then isolating the equity options so that it can be either be sold or delta hedged for cheap vega/gamma exposure. Calamos wrote the book on this subject.
- Distressed Debt:(不良债权) These funds trade the debt of bankrupt, near-bankrupt, and restructuring companies, a bit past the horizon of what a stereotypical high-yield mutual fund might cover. The goal is to buy debt for pennies on the dollar for a reasonable assurance of getting nickels on the dollar, or shorting securities whose doom has not been fully priced in yet.
- Long/Short Equity: (交易获利） HFR divides this group into "Equity Hedge" and "Equity Market Neutral", but this largest and probably most general group of managers do just about anything that involves buying some stocks/indexes and shorting others. In theory, these were supposed to be market neutral (buy the alpha, cancel out the beta) funds out there enforcing price efficiency, but real long/short funds are often net long, net short, and some times completely long or short.
- Event-Driven:（事件获利） "Event Driven" typically refers to funds that specialize in betting on certain types of corporate events, be they M&A, FDA rulings, new technology stories, or just about anything you might hear about on CNBC accompanied by a double-digit move in a stock price. Often, these may be run by experts in a field (for example, former biochemists following drug stocks), but not always.
- Global Macro（宏观套利）: mdubuque’s call’s on Bush’s fiscal policy and the collapse of the US economy would fit right in here, as would Soros’s billion dollar P&L from the sterling’s fall in the early 90’s. The idea is to see the world top-down and be the first to profit when transoceanic damns break.
- Merger/Risk Arbitrage: （并购套利）This is a bit of a oxymoron given that RA neither trades risk nor involves riskless arbitrage. The idea is related to event-driven funds, but focuses on value differences between tender offers/rumors and the ultimate value of a merged firm. The Palm/3Com example might be a classic example of where this didn’t work.
- Relative value: (类比套利）Most strategies that would be descibed this way really fall under one of the other categories, be they L/S equity, FI arb, cap struct arb, etc.
Other common strategies not covered by an HFR investable index:
- Fixed Income Arbitrage（固定收益套利）: One of LTCM’s tricks was to short on-the-run bonds and buy off-the-run bonds to exploit an apparent mispricing between the two. Other strategies trade the swap spread, the TED spread, inter-country spreads, government bonds of Euro countries vs. Euro contenders, etc. Thanks in part to these funds, many yield curves around the world can be traded very smoothly with little cost or concern for specifics.
- Mortgage Arbitrage（抵押贷款套利）: This (basically) extention of FI arb focuses on mortgage backed securities, pass-throughs, and sometimes related asset-backeds, in an attempt to outguess the pre-payment models of the sell-side.
- Systematic Futures( 期货套利）: These program trading strategies, traditionally focused on commodities, have attracted funds to their trend-following methods since at least the early ’80s.
Strategies traditionally employed by prop desks, but also have hedge fund followers:
- Index Arbitrage: （指数套利）Ever since indexes have become tradable themselves, through index futures and ETFs, there has been a high-volume, razor-thin-margin business in watching whenever the tradable index and its components trade out of line by a penny, and pair trading the difference. These desks make index futures and ETFs far more liquid than they look.
- Statistical Arbitrage:（统计套利） Sometimes called "glorified technical analysis", these strategies provide plenty of liquidity in the markets as well as making sure most technical analysis does note work in those markets. Many of these techniques are run by computers and benchmarked to milliseconds to how quickly they can match a price pattern against a statistical analysis of mean reversion or trending, and get that 51% edge on the probability of it going up or down on the next tick. The relationship to technical analysis comes from words like overbought, oversold, and Bollinger bands.
- CDO Arbitrage: （债务抵押债券套利）Basically this involves assembling a pool of credits (cash bonds or synthetic CDSs) that can be tranched and sold for more than the cost of the pool. The alternative to "Arbitrage CDO" is often refered to as "Balance sheet CDO", which banks use to get loans or bonds off their balance sheet in ways that investors find appealing.
CDS volatility arbitrage（信用违约互换波动性套利）
ABS relative value（资产抵押证券套利）
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