NO.PZ2019122802000021
问题如下：
Bern Zang is the chief investment officer of the Janson University Endowment Investment Office. The Janson University Endowment Fund (the
“Fund”) is based in the United States and has current assets under
management of $10 billion, with minimal exposure to alternative
investments. Zang currently seeks to increase the Fund’s allocation to
hedge funds and considers four strategies: dedicated short bias, merger
arbitrage, convertible bond arbitrage, and global macro.
At a meeting
with the Fund’s board of directors, the board mandates Zang to invest
only in event-driven and relative value hedge fund strategies.
Determine, if Convertible bond arbitrage is permitted given the board’s mandate. Justify your response.
解释：
A convertible bond arbitrage hedge fund strategy is permitted to invest.
A convertible bond arbitrage hedge fund strategy is an example of a relative value strategy, which is permitted under the board’s mandate. Relative value hedge fund strategies focus on the relative valuation between two or more securities. Relative value strategies are often exposed to credit and liquidity risks because the valuation differences from which these strategies seek to benefit are often due to differences in credit quality and/or liquidity across different securities. A classic convertible bond arbitrage strategy is to buy the relatively undervalued convertible bond and take a short position in the relatively overvalued underlying stock.
核心记得下面这个图
但endowment fund不是大的机构投资者吗 当债券评级下调会强制退出 所以不是应该不合适吗
