NO.PZ2023010407000014
问题如下:
Liu is Johnson’customer,he want to add hedge fund to her portfolio, she is particularly
interested in opportunistic hedge fund strategies. Liu states that he prefers
opportunistic hedge fund strategies with high leverage, high liquidity, and
exhibit right-tail skewness.
Which opportunistic
hedge fund strategy meets Liu’s preferences?
选项:
A.
Only global macro
B.
Only managed futures
C.
Both global macro and managed futures
解释:
C is correct. Liu states that he prefers opportunistic hedge fund strategies that use high leverage, have high liquidity, and exhibit right-tail skewness. The two most common opportunistic hedge fund strategies are global macro and managed futures. Both global macro and managed futures are highly liquid. Further, returns of managed futures strategies typically exhibit positive right-tail skewness in periods of market stress, whereas global macro strategies have delivered similar diversification in such stress periods but with more heterogeneous outcomes. Global macro and managed futures strategies can also use high leverage, either through the use of futures contracts, in which high leverage is embedded, or through the active use of options, which adds natural elements of leverage and positive convexity.
A and B are incorrect because both global macro and managed futures strategies can offer the three characteristics that Liu seeks in an opportunistic hedge fund strategy.
Global macro的流动性如何体现的?futures 是因为是交易所交易所以流动性好,可以这样理解吗?