After reviewing the information, Chu tells Pukitis that she would like to receive more information on equity-related strategies. Pukitis makes the following statements to Chu regarding equity-related hedge fund managers:
Statement 1The most attractive feature of long–short equity managers is the lower beta sensitivity to equity markets than long-only equity managers.
Statement 2Dedicated short-bias managers typically benefit from higher levels of leverage and more frequent use of leverage than long–short or equity market neutral strategies.
Statement 3Equity market–neutral managers are likely to have high levels of diversification and turnover ratios.
Which of Pukitis statement’s to Chu regarding equity-related hedge fund managers is most likely correct?
- Statement 1
- Statement 2
- Statement 3
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C is correct. Pukitis correctly states that equity market–neutral managers are likely to have high levels of diversification and turnover ratios.
A is incorrect. Although a lower beta to equity markets is a characteristic of long–short managers, it is not one of the attractive features of long–short strategies. If an investor wishes to have exposure to a strategy with lower equity beta, there are cheaper long-only approaches to accomplish this goal.
B is incorrect. Dedicated short-bias managers typically have low levels of leverage.
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老师，高亮处的两点可以解释一下嘛？
- 我理解equity market–neutral 是在短期的同步行业找pairs，然后配对交易。请问怎么体现出diversification呢？
- 关于long-only approach怎么实现lower equity beta？我以为只有long+short，才能消除一部分的系统性风险。
