NO.PZ2022062601000024
问题如下：
DA Fund focuses on event-driven strategies. Especially focusing on situations where a company offers cash-for-stock or stock-for-stock quotes for the target company. Its strategy assumes that the merger will fail or succeed. If the transaction is successful, the return on using moderate leverage ranges from 5% to 10%. Equities are the main securities used in merger arbitrage strategies, but DA funds also uses convertible bonds, options, and senior and junior debt. A common transaction is to hold a long position in the target company and a short position in the acquiring party. Although the return target is not high, the appeal to investors lies in the high Sharpe ratio associated with the strategy.
What are the reasons why investors are most likely to include DA funds in their investment portfolios?
选项：
A.
Uncorrelated source of alpha
B.
Capital structure arbitrage of valuation divergence
C.
Earn the illiquidity premium associated with the strategy
解释：
A is correct. Merger arbitrage is a good unrelated source of alpha. Diversification in various mergers, transactions, and industries can further help hedge against the risk of any transaction failure. Merger arbitrage does not utilize capital structure divergence of individual companies and is a relatively liquidity strategy.
知识点考察：event-driven strategies。
首先B选项Capital structure arbitrage of valuation divergence从归类上不是Merger Arbitrage Strategy而是Distressed Securities的策略。而材料中提的都是merger相关事宜，所以B不选。
C选项由于merger如果流动性不好的话会影响买卖，所以要求流动性较好。
A选项是正确答案，而merger由于策略本身主要就是事件本身，很少受到宏观经济因素的影响，因此具有很好的分散化效果。所以A选项是对的。
讲义里写了MA策略有分散化效果，但别的答题说比如在市场不好时，MA很可能会失败，也就是说会受到市场贝塔的影响。为什么这道题是说MA就是事件本身，受市场宏观因素影响小，所以分散化好。这个逻辑没太理解。而且这个分散化好的问题，基础班课也没有太讲清楚，会混淆是多投资几家MA来做到分散化降低失败风险，还是MA策略作为alternative的HF投资本身与其他类投资的分散化效果。以及分散化是由于beta导致还是alpha导致。不知道强化班是否讲到，但基础班讲得这么浅我理解是考试根本不是重点吗？
