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biguo · 2024年04月22日

c选项

NO.PZ2022062601000029

问题如下:

Jack makes the following statement regarding equity-related hedge fund managers:

  • Statement 1:The most attractive feature of long-short stock managers is that they have lower beta sensitivity to the equity market compared to long-only equity managers.
  • Statement 2: Compared to long-short or equity market neutral strategies, dedicated short-bias managers typically benefit from higher levels of leverage and more frequent use of leverage.
  • Statement 3: The equity market - neutral managers may have a high level of diversification and turnover.
Which statement is most likely correct in Jack's statement about stock related hedge fund managers?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

C is correct. Jack correctly pointed out that equity market–neutral managers may have high levels of diversification and turnover.

A is incorrect. Although a lower beta to equity markets is a characteristic of long–short managers, it is not one of the attractive features of long–short strategies. If an investor wishes to have exposure to a strategy with lower equity beta, there is a cheaper way to achieve this goal by only going long.

B is incorrect. Dedicated short-bias managers typically have low levels of leverage.

知识点考察:Equity Strategies

A 不正确。long–short equity managers的特点之一是低β,但不是其相对于long-only最有有吸引的地方。因为要减少β,可以通过减少long-only得持仓来达到目的。

B 不正确。Dedicated short-bias managers通常是较低的杠杆率。毕竟做空风险高,再加杠杆会加大风险。

C 是正确的。market–neutral managers可能具有高水平的多元化和周转率。


能不能解释一下为什么equity neutral会有更高的分散化和周转率呢,我不太理解,谢谢

1 个答案

pzqa35 · 2024年04月23日

嗨,爱思考的PZer你好:


equity neutral是指要通过long/short的策略来保证beta为0的一个策略,那么也就是说它是不承担市场风险的,因为beta已经被调整为0,所以它的分散化程度相比于普通的long/short策略或者纯做多、做空的策略是要更高的。

那么为了要保证beta为0的一个状态,我们就需要频繁的去rebalance这个组合,因为股价的变动就会影响到对应的权重,beta就不一定是0了,所以频繁的rebalance就会导致要买入、卖出手中的股票,因此周转率就会上升。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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