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dognmnm · 2022年06月12日

relative value volatility arbitrage

  1. CFA III
  2. Alternative

NO.PZ2019122802000018

问题如下：

Sushil Wallace is the chief investment officer of a large pension fund. Wallace wants to increase the pension fund’s allocation to hedge funds and recently met with three hedge fund managers. These hedge funds focus on the following strategies:
Hedge Fund A: Specialist—Follows relative value volatility arbitrage
Hedge Fund B: Multi-Manager—Multi-strategy fund
Hedge Fund C: Multi-Manager—Fund-of-funds

After a significant amount of internal discussion, Wallace concludes that the pension fund should invest in either Hedge Fund B or C for the diversification benefits from the different strategies employed. However, after final due diligence is completed, Wallace recommends investing only in Hedge Fund B, noting its many advantages over Hedge Fund C.

Discuss two advantages of Hedge Fund B relative to Hedge Fund C with respect to investment characteristics.

选项：

解释：

a) Multi-strategy managers like Hedge Fund B can reallocate capital into different strategy areas more quickly and efficiently than would be possible by a fund-of-funds (FoF) manager like Hedge Fund C. The multi-strategy manager has full transparency and a better picture of the interactions of the different teams’ portfolio risks than would ever be possible for FoF managers to achieve. Consequently, the multi-strategy manager can react faster to different real-time market impacts—for example, by rapidly increasing or decreasing leverage within different strategies depending upon the perceived riskiness of available opportunities.

b) The fees paid by investors in a multi-strategy fund can be structured in a number of ways, some of which can be very attractive when compared to the FoFs’ added fee layering and netting risk attributes. Conceptually, FoF investors always face netting risk, whereby they are responsible for paying performance fees due to winning underlying funds while suffering return drag from the performance of losing underlying funds. Even if the FoF’s overall performance is flat or down, FoF investors must still pay incentive fees due to the managers of winning funds.

这块考点是教材的内容，例题也有，需要背诵。

relative value volatility arbitrage

这是什麽? 相对价值怎么也会有波动套利? 而且我印象中波动性套利在一级另类确实是放在相对价值中, 这里又放在专家里面, 为何一级跟三级分类会有差异?

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2 个答案

伯恩_品职助教 · 2022年06月16日

嗨，努力学习的PZer你好：


我问的是Hedge Fund A: Specialist—Follows relative value volatility arbitrage,这是什麽? 相对价值怎么也会有波动套利? ——讲义上没有，但是其本质确实是套利，买便宜的卖贵的

第二个问题, 而且我印象中波动性套利在一级另类确实是放在相对价值中, 这里又放在专家里面, 为何一级跟三级分类会有差异?——因为不是同一个作者写的。。。。。

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努力的时光都是限量版，加油！

伯恩_品职助教 · 2022年06月13日

嗨，爱思考的PZer你好：


同学，我赶紧你的提问和题目没有关系？是不是说的别的题。这个题是考察Multi-Manager

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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