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Weike · 2024年02月23日

C和D哪不对

NO.PZ2023112401000010

问题如下:

An investor wants to invest in a diversified hedge fund that minimizes the return correlation with the traditional asset classes but would prefer the fund to be more liquid and transparent while minimizing the leverage obtained by borrowing or shorting. What would be the most appropriate hedge fund the investor can choose?

选项:

A.

Fundamental value

B.

Managed futures

C.

Multi-strategy

D.

Fund of funds

解释:

B is correct. Managed futures have, historically, exhibited low correlation with traditional assets and invest in active futures in liquid commodities and foreign exchange markets. They are also able to increase exposure without resorting to borrowing or shorting.

CD 为什么不符合分散化,高流动性透明性和杠杆低的特点

1 个答案

pzqa35 · 2024年02月26日

嗨,爱思考的PZer你好:


Managed futures因为本身投资的就是期货,期货作为衍生品是自带杠杆属性的,所以这个策略就要求在做投资本身的时候不能够再加杠杆了,因此是极少采用借钱或者short来加杠杆的。但是FOF和multi-strategy,并没有对杠杆有严格的要求,它们还是采用的一般对冲基金的策略,只不过是多了一层结构而已,因此也是可以正常进行long/short的。这个题最关键的解题点就是“minimizing the leverage obtained by borrowing or shorting”。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!