NO.PZ201909280100000901
问题如下:
Which of the IC member’s statements regarding hedge fund strategies is incorrect?
选项:
A.Statement 1 B.
Statement 2
Statement 3
解释:
B is correct.
Statement 2 is incorrect: Event-driven strategies, such as merger arbitrage,
tend to be exposed to some natural equity market beta risk. Overall market risk
can potentially disrupt a merger’s consummation (though hedging may be possible).
To the extent that deals are more likely to fail in market stress periods,
event-driven merger arbitrage strategies have market sensitivity and left-tail
risk attributes. Also, while event-driven strategies may have less beta
exposure than simple, long-only beta allocations, the higher hedge fund fees
effectively result in a particularly expensive form of embedded beta. Equity
market-neutral strategies do use a relative value approach, because such
strategies hold balanced long and short equity exposures to maintain zero (or
close to zero) net exposure to the equity market and such factors as sector and
size. Also, opportunistic strategies do have risk exposure to market
directionality, also called trendiness.
A is incorrect
because equity market-neutral strategies do use a relative value approach.
Equity market-neutral strategies hold balanced long and short equity exposures
to maintain zero (or close to zero) net exposure to the equity market and such
factors as sector and size (i.e., market cap). They then focus on, for example,
pairs of long and short securities whose prices are out of historical alignment
and are expected to experience mean reversion. To take advantage of
idiosyncratic short-term mispricing between securities whose prices should otherwise
be co-integrated, equity market-neutral hedge fund strategies take opposite
(i.e., long and short) positions in similar or related equities that have
divergent valuations, while also attempting to maintain a near net zero
portfolio exposure to the market.
C is incorrect
because opportunistic strategies do have risk exposure to market
directionality, also called trendiness. Opportunistic strategies are based on
macro themes and multi-asset relationships on a global basis; therefore, broad
themes, global relationships, market trends, and cycles affect their returns.
Generally, the key source of returns in global macro strategies revolves around
correctly discerning and capitalizing on trends in global markets. For example,
global macro managers typically hold views on trends in inflation (among other
things). Global macro strategies are typically top down and use a range of
macroeconomic and fundamental models to express a view regarding the direction
or relative value of an asset or asset class. If the hedge fund manager is
making a directional bet, then directional models will use fundamental data
regarding a specific market or asset to determine whether it is undervalued or
overvalued relative to history and the expected macro trend.
事件驱动的策略,如并购套利,往往面临一些自然的股票市场贝塔风险。 整体市场风险可能会扰乱合并的完成(尽管可能进行对冲)。 就交易在市场压力时期更容易失败而言,事件驱动的并购套利策略具有市场敏感性和左尾风险属性。 此外,事件驱动策略的 Beta 敞口可能比简单的、只做多头的 Beta 配置少。 股票市场中性策略确实使用相对价值方法,因为此类策略持有平衡的多头和空头股票敞口,以保持对股票市场的净敞口为零(或接近于零)以及作为行业和规模的factor。 此外,opportunistic strategies主要靠市场方向性的风险敞口,也称为趋势性。
为何说市场中性是相对价值策略?这个不是属于equity的策略吗?