NO.PZ2023010407000011
问题如下：
John Puten is the chief investment officer of the Markus University Endowment Investment Office. Puten seeks to increase the diversification of the endowment by investing in hedge funds. He recently met with several hedge fund managers that employ different investment strategies. In selecting a hedge fund manager, Puten prefers to hire a manager that uses the following:
● Fundamental and technical analysis to value markets
● Discretionary and systematic modes of
implementation
● Top-down strategies
● A range of macroeconomic and fundamental models to
express a view regarding the direction or relative value of a particular asset
Puten’s staff
prepares a brief summary of two potential hedge fund investments:
Hedge Fund 1: A relative value strategy fund focusing
only on convertible arbitrage.
Hedge Fund 2: An opportunistic strategy fund focusing
only on global macro strategies.
Determine which hedge fund would be most appropriate for Puten. Justify your
response.
选项：
解释：
Hedge Fund 2 would
be most appropriate for Puten because it follows a global macro strategy, which
is consistent with Puten’s preferences. Global macro managers use both
fundamental and technical analysis to value markets, and they use discretionary
and systematic modes of implementation. The key source of returns in global
macro strategies revolves around correctly discerning and capitalizing on
trends in global markets.
Global macro
strategies are typically top-down and employ a range of macroeconomic and
fundamental models to express a view regarding the direction or relative value
of a particular asset or asset class. Positions may comprise a mix of
individual securities, baskets of securities, index futures, foreign exchange
futures/forwards, fixed-income products or futures, and derivatives or options
on any of the above. 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 if it is undervalued or overvalued relative to history
and the expected macro-trend.
Hedge Fund 1
follows a relative value strategy with a focus on convertible arbitrage, which
is not aligned with Puten’s preferences. In a convertible bond arbitrage
strategy, the manager strives to extract “cheap” implied volatility by buying
the relatively undervalued convertible bond and taking a short position in the
relatively overvalued common stock. Convertible arbitrage managers are
typically neither using fundamental and technical analysis to value markets nor
employing top-down strategies to express a view regarding the direction or
relative value of an asset.
题目上面说到要增加diversification，但是global macro strategy是不是分散化效果并不好，因为受相同市场情况的影响，资产之间的相关性会比较高
