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黑仔君。 · 2023年01月28日

A选项为什么错

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NO.PZ202206260100000603

问题如下:

Which of Pukitis statement’s to Chu regarding equity-related hedge fund managers is most likely correct?

选项:

A.Statement 1

B.Statement 2

C.Statement 3

解释:

Solution

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.

还是没有理解为什么a错了,难道更小的beta不是这个策略attractive的点么

1 个答案
已采纳答案

伯恩_品职助教 · 2023年01月28日

嗨,爱思考的PZer你好:


这个确实我也觉得有点牵强。但是按照题目的意思呢是,L/S是能提供更低的β,但是这个吸引力不够,因为long-only也可以提供。(怎么提供呢?就是比如本来的是头寸是100万long,现在为了降低β,就只long10万。)所以相对吸引力不够

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