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506623496 · 2024年01月16日

Global macro

NO.PZ2023010407000014

问题如下:

Liu is Johnsoncustomerhe 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?

2 个答案
已采纳答案

伯恩_品职助教 · 2024年01月16日

嗨,从没放弃的小努力你好:



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努力的时光都是限量版,加油!

伯恩_品职助教 · 2024年01月16日

嗨,爱思考的PZer你好:


Global macro的流动性如何体现的?——投资的产品流动性都比较好

futures 是因为是交易所交易所以流动性好,可以这样理解吗?——可以,但是其实投资不限于future,说白了,还是投资的产品本身流动性就好

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加油吧,让我们一起遇见更好的自己!

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