本文翻译自量化对冲经典书籍EFFICIENTLY INEFFICIENT，How Smart Money Invests and Market Prices Are Determined，LASSE HEJE PEDERSEN，PRINCETON UNIVERSITY PRESS PRINCETON AND OXFORD
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Risk arbitrage, generally, is investing in securities of corporations going through a corporate event where the return is not based on the stock going up and down, but the success and completion of the event.
—John A. Paulson
风险套利通常是投资于企业的证券，这些企业通过公司活动，其回报不是基于股票上涨和下跌，而是基于事件的成功和完成。
—John A. Paulson
Event- driven investment is an opportunistic strategy of investing around corporate- specific events and possibly marketwide events. Event- driven managers continually look for many types of “events” and try to find trading opportunities that arise in this connection.
事件驱动型投资是一种机会主义策略，围绕企业特定事件和可能的市场事件进行投资。事件驱动型交易者不断寻找许多类型的“事件”，并试图找到在这方面出现的交易机会。
The classic event- driven trade is merger arbitrage (also called “risk arbitrage”). Merger arbitrage tries to profit from the price moves that happen when a merger is announced. Just as the merger of two companies can lead to opportunities from the temporary price moves, so can corporate events that do the opposite, namely split a company into smaller pieces. Such events include spin- offs, split- offs, and carve- outs.
经典的事件驱动型交易是合并套利（也称为“风险套利”）。合并套利试图从合并宣布时发生的价格变动中获利。正如两家公司的合并可以带来临时价格变动带来的机会，公司事件也可以做相反的事情，即将公司分成小块。这些事件包括派生，分拆和剥离。
Another class of trades is related to changes in the capital structure of a firm, such as share buybacks, debt exchanges, security issuances, or other capital structure adjustments. Some event- driven managers specialize in distressed firms, trading in a range of securities when corporations face financial distress, bankruptcy, or lawsuits. Such distressed investment often requires an active involvement in the firm, leading event managers to serve on creditor committees, try to renegotiate debt, or find ways to turn the business around.
另一类交易涉及公司资本结构的变化，例如股票回购，债务交换，证券发行或其他资本结构调整。一些事件驱动型交易者专注于陷入困境的公司，当公司面临财务困境，破产或诉讼时，他们会交易一系列证券。这种不良投资往往需要积极参与公司，领导事件经理在债权人委员会任职，尝试重新谈判债务，或找到扭转业务的方法。
A third class of trades tries to profit from discrepancies between different types of securities. Capital structure arbitrage trades different securities issued by the same firm against each other, for instance, buying corporate bonds while shorting the stock. Event- driven managers sometimes also trade on specialized security structures such as closed- end funds, exchange traded funds (ETFs), special purpose acquisition companies (SPACs), and private investment in public equity (PIPE).
第三类交易试图从不同类型的证券之间的差异中获利。资本结构套利交易同一公司发行的不同证券，例如，在卖空股票时购买公司债券。事件驱动型交易者有时也会在特定的安全结构上进行交易，例如封闭式基金，交易所交易基金（ETF），特殊目的收购公司（SPAC）以及私募股权投资（PIPE）。
A fourth class of events relates to changes in the market structure for the securities, e.g., if a stock is included in an index such as the S&P 500 stock market index, or is excluded from an index.
第四类事件涉及证券市场结构的变化，例如，如果股票包括在诸如标准普尔500股票市场指数的指数中，或者从指数中排除。
Beyond corporate events, event- driven managers may also look for events in other markets or asset classes. The most famous example is the trade by the event- driven hedge fund manager John A. Paulson, which has been called “the greatest trade ever.” Paulson shorted derivatives related to subprime mortgages, which in 2007–2008 became one of the most profitable trades in the history of hedge funds, reportedly making more than $15 billion. This credit bet could also be considered a global macro trade.
除了公司活动，事件驱动型交易者还可以在其他市场或资产类别中寻找事件。最着名的例子是由事件驱动的对冲基金经理约翰·保尔森（John A. Paulson）进行的交易，该交易被称为“有史以来最大的交易。”保尔森缩短与次级抵押贷款相关的衍生品，这在2007 - 2008年成为最赚钱的利润之一。据报道，对冲基金的历史交易额超过150亿美元。这种信用赌注也可以被视为全球宏观贸易。
While the events differ greatly across all these trades, they share a similar portfolio construction methodology. The portfolio is constructed based on two principles: (1) isolate the event- specific risk and hedge out market, interest- rate, and credit risks; and (2) diversify across many events to minimize idiosyncratic event risk. For example, the event manager constructs his portfolio such that he will profit if a merger is completed and lose if the merger fails. The risk associated with the failure of the merger is the risk he wants to be compensated for taking, and this risk cannot be eliminated—but it can be largely diversified away by holding many small positions related to many different mergers. Warren Buffett puts it this way:
虽然所有这些行业的事件差异很大，但它们共享类似的投资组合构建方法。投资组合基于两个原则构建：（1）隔离事件特定风险并对冲市场，利率和信用风险; （2）在许多事件中实现多样化，以最大限度地减少特殊事件风险。例如，事件管理器构建他的投资组合，以便在合并完成时他将获利，如果合并失败则他将失败。与合并失败相关的风险是他希望获得补偿的风险，并且这种风险无法消除 - 但是通过持有与许多不同合并相关的许多小头寸，它可以在很大程度上多样化。沃伦巴菲特这样说：
Of course, some investment strategies—for instance, our efforts in arbitrage over the years—require wide diversification. If significant risk exists in a single transaction, overall risk should be reduced by making that purchase one of many mutually- independent commitments. Thus, you may consciously purchase a risky investment—one that indeed has a significant possibility of causing loss or injury—if you believe that your gain, weighted for probabilities, considerably exceeds your loss, comparably weighted, and if you can commit to a number of similar, but unrelated opportunities. Most venture capitalists employ this strategy. Should you choose to pursue this course, you should adopt the outlook of the casino that owns a roulette wheel, which will want to see lots of action because it is favored by probabilities, but will refuse to accept a single, huge bet.
—Warren Buffett, Annual Report, 1993
当然，一些投资策略 - 例如，我们多年来在套利上的努力 - 需要广泛的多样化。如果单笔交易存在重大风险，则应通过将该购买作为许多相互独立的承诺之一来降低总体风险。因此，你可能会有意识地购买一种高风险的投资-一种确实有很大的可能造成损失或伤害的投资-如果你认为你的收益期望大大超过了你的相对损失，并且如果你能对一些类似但不相关的机会作出承诺的话。大多数风险资本家都采用这种策略。如果你选择继续这个课程，你应该采用拥有轮盘赌的赌场的前景，它会想要看到很多动作，因为它受到概率的青睐，但是会拒绝接受单一的巨额赌注。
——Warren Buffett，1993年年度报告
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