2 Types of Hedge Funds
CLASSIFYING HEDGE FUNDS
With thousands of hedge funds in existence, classifying individual funds into 10 or 20 groups in a challenge. Some funds might fit in more than one category or none of the categories used to classify hedge funds. Nevertheless, fund managers and investors rely on hedge fund classifications.
Importance of Classifications
There are many reasons to categorize hedge funds and group them into subsets. Investors often study a hedge fund style by reviewing aggregate performance data, selecting a sector, then reviewing funds within the sector. The classification makes the average return a meaningful benchmark and permits the investor to match up with the right fund manager.
To make the classifications meaningful, many investors prefer hedge funds that fit neatly into a single strategy. Style purity measures how much a hedge fund keeps to a single, identifiable strategy. The investor preference for style purity is easy to understand. Suppose an investor researches several hedge fund styles and decides that a particular style would be an attractive addition to the investor’s existing portfolio of assets. That investor would be sorely disappointed if the individual fund selected failed to track the composite.
For a variety of reasons, funds may choose to pursue multiple strategies in a single hedge fund. In some ways, the aggregate performance resembles a fund of funds that gains some benefits from diversification.
Academic writers are often quick to point out that well-healed investors can accomplish the same diversification (perhaps more efficiently). However, some investors nevertheless prefer the multistrategy funds, either because they lack the financial resources to get the maximum benefit from diversification or because the multistrategy fund avoids a layer of fees present in the fund of funds.
Who Categorizes Hedge Funds?
Many types of organizations label hedge funds according to the style or investment philosophy they follow. Hedge funds frequently categorize themselves in their disclosure documents and marketing literature. Hedge fund data providers such as Evaluation Associates Capital Markets (EACM), CSFB Tremont, Hennessee, Hedge Fund Research (HFR), and the Center for International Securities and Derivatives Markets (CISDM) track thousands of hedge funds and assign most of them to 10 or 15 styles. (Data from these providers can be used to study the characteristics of the types of hedge funds discussed here.) A growing industry of hedge fund indexers begins by creating a benchmark that can be replicated; then the indexers invest in individual funds to create a portfolio that tracks their benchmarks.
The media often classifies hedge funds, sometimes without regard to the facts. Finally, analysts and academic researchers may categorize hedge funds based on their actual performance, explaining returns based on broad economic factors like interest rates, stock returns, default risk, volatility, and other factors.
Inconsistency of Hedge Fund Categorizations
Regardless of how and why hedge funds are classified, the results are occasionally inconsistent. Sometimes categories overlap, so the choice of strategy is a bit arbitrary. Sometimes a fund will shift strategies gradually (called style drift); one data provider might classify the fund by the current strategy and another might include it in the style previously followed.
Some funds may be tough to categorize because the manager deviates from the announced strategy. Other funds may follow multiple strategies so can’t fit into a single category. Finally, some funds may be erroneously classified either because of human error or because there aren’t enough categories to match all hedge funds.
SHARE OF THE MARKET BY STRATEGIES
The changing popularity of individual hedge fund strategies has led to changes in the composition of the hedge fund universe. Popular strategies become a large part of the mix of hedge fund assets. Out-of-favor strategies may shrink in size.
Size Shifts
The largest category of hedge funds contains mostly common stocks, although they may pursue several different strategies. Although the first hedge funds were also predominately equity funds, different styles have come in and out of favor over the years. For example, global macro hedge funds (see descriptions of this and other styles later in this chapter) were very popular in the early 1990s, offering high returns and high risk. Later in the same decade, various fixed income arbitrage funds provided low risk and low returns; however, this latter style went out of favor after several high-profile fixed income funds suffered large losses. Investors are returning to equity strategies seeking an attractive combination of moderately high returns and moderately low risk.
Prevailing Trends
By 1990, the public had become aware of hedge funds, primarily because of the trading activity of the global macro hedge funds. These funds were large, traded large positions, and frequently influenced market prices. Figure 2.1 suggests part of the reason for this notoriety: This group controlled 43.99 percent of all hedge fund assets. Other sources put the global macro portion as high as 70 percent of all hedge fund assets in 1990.1
Figure 2.2 shows the same hedge fund groups in 2003. Global macro hedge funds constitute the sixth largest group, comprising only 5.57 percent of the total. Most other groups have grown at the expense of global macro hedge funds.
The same styles are listed in Figure 2.1 and Figure 2.2, both ranked in order of assets in 1990. Long/short equity hedge funds have risen from 20.99 percent of the total in 1990 to 45.19 percent in 2003.
HEDGE FUND CATEGORIES
Although individual funds vary within the following categories, a description of a strategy typical for the group provides a definition for each category. Note that his list includes subcategories not broken out in Figure 2.1 and 2.2.
Equity Hedge Funds
Equity hedge funds include those categories that invest primarily in common
stocks.
Equity Long Biased This group of hedge funds is the most familiar style to many people. The group may carry short positions, but the size of the long positions is usually larger than the size of the short positions. This group is one of several styles that are included in the broader category in Figure 2.2 and 2.2. The managers usually seek to generate returns by selecting a narrow portfolio of common stocks. Individual managers may seek to supplement the returns from stock selection by overlying a market-timing strategy. The stock selection may be based on fundamental analysis or, less commonly, on technical analysis. Often, hedge funds employ proprietary strategies to construct the portfolio. The portfolios in this group generally have low leverage (2 to 1 or less).
The equity long biased hedge funds have produced returns somewhat higher than broad equity returns, with risk (volatility of returns) about equal to index returns. Not surprisingly, the performance of long biased hedge funds correlates highly with stock returns (70 percent) but not particularly with interest rates. The VIX index measures implied volatility on equity options. Correlation between the long biased funds and this measure is high but somewhat less than stock index returns.
Equity Market Neutral Equity market neutral hedge funds may use a variety of strategies. Arbitrage trading includes trading between futures and underlying common stocks (basis or basket trading), buying and selling related classes of common stock (pairs trading) or certain options strategies. The category also includes hedge funds that balance long and short positions (matched issue by issue or as a portfolio) to hedge market impact.
Equity market neutral hedge funds have provided returns about equal to those of broad indexes while assuming much less risk than a portfolio of common stocks (perhaps half the volatility of returns of the S&P 500 index). Despite the name given to this category, the group remains somewhat linked to market stock returns (30 to 40 percent). The equity market neutral hedge funds are much less linked to uncertainty in the financial markets than a traditional pool of common stocks. The correlation of the S&P 500 index to the VIX index of volatility is above 65 percent versus the equity hedge funds, which have a correlation about 20 percent to the VIX index.
Equity ArbitrageThis strategy is sometimes incorporated in the equity market neutral category. While the equity market neutral group is broad and a bit too inclusive, the equity arbitrage group includes funds that trade definable, tradable relationships between securities.
When data vendors provide a separate breakdown of equity arbitrage from other equity market neutral strategies, the arbitrage group provides higher returns and somewhat higher risk (as measured by the standard deviation of returns). The high risk and return is probably attributable to the higher leverage in the arbitrage funds compared to other equity market neutral strategies. As a portfolio investment, this higher risk may be forgivable because the volatility remains well below traditional stock returns. In addition, the performance of the equity arbitrage funds is less correlated to stock returns (about 25 percent) than any other equity hedge fund strategy.
Long/Short Equity Generally, this category includes hedge funds that may be either long or short.2 In particular, the funds can be levered long (probably no more than 2 to 1), market neutral, or modestly short. Performance depends both on stock selection and market timing. The performance of this group depends on the data source. The group of long/short hedge funds tracked by both CSFB Tremont and CISDM between January 1, 1990, and December 31, 2003, had higher returns than the S&P 500 index while the data from EACM reported returns only half the level of the S&P 500 return. Although differences are common between data providers, this discrepancy is untypically large. The hedge fund group was a bit more consistent over time than the S&P (as might be expected from a group of nondirectional investors) so the differences depend more on the return of the index than the returns in the group. The returns for long/short hedge funds can be rather volatile, although usually less than an investment in a market portfolio of common stocks such as the S&P 500 index. The correlation of the long/short group to stock returns ranges from very high to very low across different data vendors, although the correlation has been low recently.
Event Driven The event driven category includes several strategies often tracked separately. This group includes hedge funds involved with risk arbitrage (also called merger arbitrage), bankruptcy and reorganization (and other high-yield variations), spin-offs, and Regulation D funds. The category includes funds that invest purely in one of these strategies and multistrategy funds that may pursue several of the strategies.
The individual event driven strategies (risk arbitrage and Regulation D funds) are described separately. As a group, the strategies provide returns and risk typical of hedge funds. That is, they provide returns about equal to stock returns (more or less depending on the particular strategy) and substantially less risk than stock returns (about median among hedge fund returns). The performance is fairly correlated to stock returns (50 percent) and has a fairly high correlation to market uncertainty (correlation to VIX around 40 percent).
Risk Arbitrage Risk or merger arbitrage generally involves buying the target company of a takeover after an attempt is announced and selling short the acquiring company. Although complicated terms may require more complicated positions, the typical position includes a long position that can be delivered to close out the short position if the deal is completed.3
Risk arbitrage provides relatively low returns (somewhat less than stock returns), compared to other hedge fund strategies but involves rather low risk. Early returns were higher than recent and a wave of deals may raise the return in the future. Returns remain highly correlated to stock returns (45 to 50 percent) and are sensitive to market uncertainty (correlation to VIX around 50 percent).
Regulation D This group of hedge funds buys private equity positions in young, often very small companies. Frequently, these investments may be structured as convertible bonds with features designed to provide downside protection.
Performance on this section ranks among the highest of hedge fund strategies, up to twice the return on the S&P 500 index. Return volatility is very low when based on monthly net asset value (NAV) data, but the NAV is probably not as stable as the data suggest. The returns on private equity positions are frequently more volatile than the reported performance would indicate because hedge funds often don’t mark private equity positions to market. Likewise, a low correlation to the VIX index probably understates the sensitivity of these positions to market sentiment.
Convertible ArbitrageConvertible bonds and convertible preferred stock are fixed income instruments that may be exchanged for common stock. The typical issuers of convertible securities are young and fast growing and have a low debt rating. The debt structure might appear to offer some downside protection if the investor expects to get back the full principal value of the investment as a worst case. In practice, the market value of the debt is usually closely tied to the market value of the common stock because the company can reliably repay the bonds if the company does well, and if the company does well the common stock does well.
The option to convert is an option to exchange the bonds for stock. This type of option is more difficult to value than a simple call option. To further complicate matters, convertible securities may include call options, put options, and features to force the holder to convert to stock. In its purest form, the convertible arbitrage fund buys the convertible instrument, sells short the common stock, buys or sells options on the common stock, and perhaps hedges the interest rate risk(s). In practice, the fund may not be able to hedge all the risks or may choose to hedge only some of the risks. The performance of convertible arbitrage funds approximates the return of a basket of unlevered common stock, although the volatility of return is considerably lower for the convertible strategy than for the stock portfolio. The strategy has fairly low correlation to stock and bond returns and market uncertainty. It is somewhat sensitive to changes in credit spreads.
Sector Funds Sector funds include a collection of long-only or long biased hedge funds invested in a narrow sector of the stock market. Sector funds pursue a wide range of sectors, but the most common sector funds involve health care companies, biotechnology, the technology sector, real estate, and energy. Because these sectors tend to be volatile anyway, these hedge funds use little or no leverage. The returns on the individual funds depend on stock selection, but a major part of the return is determined by the performance of the sector.
These sectors have substantially outperformed broad stock indexes like the S&P 500 (except for real estate, whose returns have roughly matched the S&P). The returns published by the major hedge fund data providers for most sector funds have been more or less as volatile as stock returns, which means they are much more volatile than most other hedge funds. Because of their narrow concentration, their performance is relatively uncorrelated with broad market returns (30 to 50 percent correlation to the S&P 500 index) so they might be a good choice for an investor seeking to diversify a traditional stock portfolio. Many sector funds are concentrated in technology stocks, so they would not be as effective in diversifying a technology-heavy portfolio.
Fixed Income Hedge Funds
Fixed income strategies include the hedged strategies that invest in bonds and other fixed income instruments. Fixed income strategies include fixed income arbitrage, mortgage funds, various default-risk funds, and emerging markets debt funds.
Fixed Income Arbitrage Fixed income arbitrage funds rely primarily on debt instruments. Sometimes the group is called just “fixed income fund” to recognize that some of these funds retain substantial risks, albeit typically not the risk of rising or declining rates. The funds combine long and short positions with derivative instruments to hedge the level of interest rates, the rates of one maturity sector versus other maturity sectors (the “yield curve”), credit risks, and other factors.
Fixed income arbitrage funds have very effective hedges because interest rates tend to move up and down together (to a lesser extent when hedges span international borders or involve significantly different default risks). Because these hedges remove much of the day-to-day portfolio risks, arbitrage funds or “arb” funds usually have the highest leverage of all hedge fund strategies.
Fixed income arb funds may have sizable positions in foreign currencies but the currency exposure is usually hedged away. Similarly, the funds frequently buy individual issues that have considerable interest rate risk. However, this category of hedge fund would hedge away most of this risk.
As a group, fixed income funds have produced the lowest returns over time. However, the returns are rather consistent over time and the funds have low volatility of returns. The performance is nearly independent of stock and bond returns. Fixed income funds are viewed as more risky than the historical data would suggest because several fixed income funds have failed and created a major impact on the markets. For example, both the Granite Fund and Long-Term Capital Management lost nearly 100 percent of their capital while investing primarily in fixed income assets. Each of these highly publicized failures was accompanied with dislocations in the fixed income markets.
Mortgage-Backed and Collateralized Debt Obligations Mortgage-backed securities (MBSs) include a variety of bonds backed by mortgage loans. Most mortgage loans (especially residential loans) can be repaid with little or no penalty at any time. This right closely resembles an option because the homeowner can refinance if rates decline but force a lender to hold to a fixed rate if rates rise.
When borrowers repay these mortgage loans, investors must reinvest, often at a lower rate. A variety of engineered securities—collateralized mortgage obligations (CMOs), real estate mortgage investment conduits (REMICs), and interest-only (IO) and principal-only (PO) notes—divide the many risks of the underlying loans in ways that may be more attractive to most investors. As it works out, much of the option risk gets distilled into a couple of high-yield, high-risk assets. Usually MBS strategies concentrate on buying this tricky category and hedging the many risks present in the investment.
Collateralized debt obligations (CDOs) resemble the engineered mort- gage securities except that they involved other debt instruments, usually moderately low to low grade corporate bonds. Hedge funds use these instruments—including collateralized loan obligations (CLOs) and collateralized bond obligations (CBOs)—to earn credit spread without taking substantial interest rate risk, to arbitrage against other credit default instruments, or as a way of financing positions.
The MBS and CDO funds are often included in the fixed income category of hedge funds. Like the other fixed income funds, these funds have had lower average returns and lower volatility of returns than most hedge fund strategies. Investors have become nervous about holding MBS hedge funds after the losses at Granite fund and other mortgage funds, which probably explains why this sector remains small.
Credit, Bankruptcy, and DistressThis category of hedge fund is listed with other fixed income strategies. But while these funds tend to invest in debt instruments of financially troubled companies, the category is broad enough to include equity investments. Generally, hedge funds buy and hold debt instruments of companies in or near default. Hedge funds may sell short securities of some companies. The managers may create hedges, buying one security and selling short other issues of the same company (hedging debt by selling common, for example) or instruments of other companies. The hedge fund may also hedge a portfolio of instruments with credit derivatives. Most of the data vendors track a distress category of hedge funds. Performance has been fairly high on distress hedge funds, with low to moderately low risk. In general, these funds tend to do best when stock returns are positive. There is a moderate tendency for these funds to do well when rates rise. These funds also do well when securities markets are calm. For example, most indexes of bankruptcy and distress strategies are negatively correlated with the VIX index of stock option volatility (when volatility declines, these funds do well).
Emerging Markets As the name of the category suggests, emerging markets hedge funds invest in securities issued by companies or countries that don’t have well-established securities markets. These investments can be eitherdebt or equity investments. Hedge funds may acquire a widely diversified portfolio of instruments from many countries or may focus on a particular country or economic region. Generally, these funds cannot or do not hedge the risk in these portfolios, either because there is no futures or derivatives market for hedging or because the fund manager wants to retain the market exposure. Because the securities are fairly risky and generally unhedged, these funds tend to use little or no leverage.
Emerging markets hedge funds have been among the highest performing groups, although the category shows up as only average in the performance data published by some data providers. The strategy produces inconsistent returns, having one of the highest volatilities of returns of all hedge fund strategies (about equal to an unlevered investment in the Standard & Poor’s 500 index). The strategy is moderately correlated to stock returns (around 50 percent versus the S&P 500). Like most hedge fund strategies, the performance in emerging markets hedge funds is correlated to the level of uncertainty in the financial markets. For example, the strategy has a correlation of about –30 percent versus the VIX index of stock option volatility (the funds do well when volatility declines).
Other Hedge Fund Strategies
With 8,000 or more hedge funds in existence, it is not surprising that they do not fit neatly into a few categories. Other categories are important not so much because of the assets committed to these strategies but rather because they extend the range of investment opportunities.
Global MacroThe global macro hedge funds brought the concept of hedge fund trading to the attention of many investors for the first time. These funds generally started out as equity portfolios but the managers also traded debt and foreign currency. Despite being called hedge funds, these funds generally take speculative, directional positions in stocks, bonds, and currencies worldwide, based on macroeconomic forecasts.
Global macro hedge funds have some of the highest returns of all hedge fund strategies. Nevertheless, the volatility of returns is (at least as a group) lower than stock market volatilities but considerably higher than most hedge fund strategies. Because these funds may take either long or short positions and carry positions from a broad universe (including many emerging markets), correlation to stock and bond returns is relatively low (20 to 40 percent correlation to stock returns and 20 to 30 percent correlation to bond returns). This group has a higher correlation to bond returns than most hedge fund strategies.
CurrencyCurrency hedge funds may be seen as a particular kind of global macro hedge fund. However, this group invests in currencies strategically and invests in fixed income markets only incidentally or as part of an arbitrage strategy. The group contains arbitrage traders that produce low returns but take little risk. The group also contains funds that take strategic positions in a variety of currencies (not necessarily hedged and generally not part of arbitrage positions). This second group is an example of a “portable alpha strategy.” A portable alpha strategy is an investment strategy, possibly part of a traditional, long-only portfolio strategy that has favorable performance and can be recast as a strategy that: (1) is extracted from the traditional portfolio and (2) could be added to any type of portfolio to improve the return on the portfolio. These traders have adapted trading styles from other types of investment vehicles to create a non-directional investment strategy.
Funds of Funds
Funds of hedge funds invest in other hedge funds. On the surface, this seems redundant and the investor might hesitate to pay fees to a fund of funds manager on top of the fees paid to the managers directly managing the funds.
Funds of hedge funds have several advantages to both large institutional investors and investors with considerably less sophistication and with smaller portfolios. First, the minimum investment is often smaller for a fund of funds than for a hedge fund. Second, the fund of funds invests in many funds, so the investor gets some risk reduction from diversification, especially for investors who have limited resources to invest in hedge fund assets. Third, the fund of funds may negotiate a reduction on fees so an investor may not pay significantly higher fees investing through a fund of funds intermediary. Fourth, the fund of funds manager may have access to information about funds and may perform analysis of funds that improves return or reduces risk. Fifth, the fund of funds manager may be able to invest in funds otherwise closed to new investment because of agreements made to get preferential access to hedge fund capacity.
SUMMARY AND CONCLUSION
It is impossible to classify 8,100 hedge funds into a dozen categories. The strategies or styles described in this chapter include the largest categories. Each of these styles is tracked by one or more data provider. While these categorizes may be defined somewhat inconsistently, they nevertheless serve as a helpful resource to the fund investor.
The performance of the many styles of hedge funds derives from the inherent characteristics of the assets in the hedge fund portfolios. The performance is also affected by the way the instruments are combined.
The resulting returns can be predicted in an important way. It is difficult to forecast the performance of a particular fund or sector next month. It is possible, though, to predict which hedge funds will do well (or poorly) if certain things happen (rising interest rates, changes in corporate borrowing spreads, rising volatility, etc.). Because of this predictability, investors can combine these hedge fund assets with traditional portfolios to improve the risk and return characteristics of their portfolios.
QUESTIONS AND PROBLEMS
2.1 Why do so many organizations provide hedge fund indexes?
2.2 What is a long/short equity hedge fund?
2.3 What is an equity arbitrage hedge fund?
2.4 What is an equity pairs strategy?
2.5 What is an equity market neutral hedge fund?
2.6 What are some of the types of strategies an event driven hedge fund would pursue?
2.7 Describe the nature of a convertible bond investment.
2.8 What kinds of trades would you expect to find in a fixed income arbitrage
hedge fund?
2.9 What kinds of securities would you expect to find in an emerging markets hedge fund?
2.10 What is the biggest risk to an investment in a distressed securities hedge fund?
2.11 What kind of fund would call itself a global macro hedge fund?
2.12 What is a fund of funds?
You own a portfolio of common stocks that more or less tracks the stock index in the preceding table. The statistics are historical but you believe they are reasonable forecasts of future returns. Rely on the following table to answer questions 2.13 to 2.17.
Performance of Hedge Fund Styles (Hypothetical)
2.13 What is the expected return on the portfolio if you reallocate 10 percent of the stock portfolio into a convertible arbitrage hedge fund?
What is the standard deviation of the portfolio comprising 90 percent stocks and 10 percent convertible bond hedge fund?
2.14 What is the expected return on the portfolio if you reallocate 10 percent of the stock portfolio into a global macro hedge fund? What is the standard deviation of the portfolio comprising 90 percent stocks and 10 percent global macro hedge fund?
2.15 What is the expected return on the portfolio if you reallocate 10 percent of the stock portfolio into a long/short equity hedge fund? What is the standard deviation of the portfolio comprising 90 percent stocks and 10 percent long/short equity hedge fund?
2.16 Based on your results in questions 2.13 to 2.15, which hedge fund should you invest in?
2.17 Suppose you could invest in a hedge fund that would provide an expected
return of 8 percent and have volatility of 20 percent with a correlation of 50 percent to stock returns. Should you move some of the stock money into this fund?
2.18 An individual has half of the family net worth tied up in a closely held public business and the balance in a broadly diversified portfolio of common stocks. What special concerns would this investor have in selecting a hedge fund style?
2.19 What advantages does an investor get from investing directly in a portfolio of individual hedge funds rather than investing in a fund of funds?
2.20 Why do so many different hedge fund styles exist?
2.21 Why would an investor put money in a hedge fund that followed a short-only strategy?
2.22 How is it possible to reconcile the low measured risk (at least in terms of the standard deviation of return) of the fixed income arbitrage strategy and the investor perception that this is a risky strategy?
NOTES
1. Data collected by Hedge Fund Research, Grosvnor Capital Management, and Undiscovered Managers, LLC, as presented on the Undiscovered Managers web site in Alternative Investments and the Semi-affluent Investor; Chapter 2: “Absolute Return Strategies—Part 1,” 2001, page 16.
2. The indexes published by the Center for International Securities and Derivatives Markets (CISDM) include an equity market neutral long/short category.
3. The obvious complication is a bid to buy in cash. If the deal is completed, the fund becomes outright short the acquirer. At least part of the profit in the deal would depend on where the short hedge could be covered. Other combinations include a combination of cash and securities (including common, preferred, and debt) and multistep bids (where a bid is made for a controlling amount of stock with the hope of buying back the minority positions more cheaply).
MBS：美国抵押支持债券
In finance, a mortgage-backed security (MBS) is an asset-backed security whose cash flows are backed by the principal and interest payments of a set of mortgage loans. Payments are typically made monthly over the lifetime of the underlying loans.
MBS是最早的资产证券化品种。最早产生于60年代美国。它主要由美国住房专业银行及储蓄机构利用其贷出的住房抵押贷款，发行的一种资产证券化商品。其基本结构是，把贷出的住房抵押贷款中符合一定条件的贷款集中起来，形成一个抵押贷款的集合体（pool），利用贷款集合体定期发生的本金及利息的现金流入发行证券，并由政府机构或政府背景的金融机构对该证券进行担保。因此，美国的MBS实际上是一种具有浓厚的公共金融政策色彩的证券化商品。
抵押集合体所产生的本金与利息原封不动地转移支付给MBS的投资者，因此，MBS也被称为过手证券（pass-through securities）。美国的过手抵押证券主要有以下四种：
1）政府国民抵押协会（GNMA）担保的过手证券；
2）联邦住宅贷款抵押公司（FHLMC）的参政书；
3）联邦国民抵押协会（FNMA）的抵押支持债券；
4）民间性质的抵押过手债券。
Collateralised Debt Obligation，担保债务权证
资产证券化家族中重要的组成部分。它的标的资产通常是信贷资产或债券。这也就衍生出了它按资产分类的重要的两个分支：CLO(Collateralised Loan Obligation)和CBO(Collateralised Bond Obligation)。前者指的是信贷资产的证券化，后者指的是市场流通债券的再证券化。但是它们都统称为CDO。