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西红柿面 · 2024年04月23日

Long/Short Equity的目标是尽量对冲掉β吗?

NO.PZ2024020101000015

问题如下:

Xu and Johnson is co-worker for the south University Endowment Fund (the Fund). The Fund’s investment committee recently decided to add hedge funds to the Fund’s portfolio to increase diversification. And then they discuss various hedge fund strategies that might be suitable for the Fund. Johnson tells Xu the following:

Statement 1 Relative value strategies tend not to use leverage.

Statement 2 Long/short equity strategies usually do not exposed to equity market beta risk.

Statement 3 Global macro strategies will naturally have higher volatility in the return profiles typically delivered.

Which of Johnson’s three statements regarding hedge fund strategies is correct?

选项:

A.Statement 1 B.Statement 2 C.Statement 3

解释:

C is correct. Global macro investing may introduce natural benefits of asset class and investment approach diversification, but they come with naturally higher volatility in the return profiles typically delivered. The exposures selected in any global macro strategy may not react to the global risks as expected because of either unforeseen contrary factors or global risks that simply do not materialize; thus, macro managers tend to produce somewhat lumpier and more uneven return streams than other hedge fund strategies.


Statement1relative value不使用杠杆,这个表述是错的,relative value大都会涉及到long一种资产short另一种资产,所以是会使用杠杆的。

Statement2long/short equity 策略不承担市场风险,这个也是错的,因为只有特殊情况market-neutral才是beta0的,long/short还是会有一定的市场风险的。

Statement3Global-macro具有较高的波动性,这个是对的,因为这个策略会受到整体的宏观因素的影响,因此波动性比较大。

老师上课讲过Long/Short Equity的目标,其中就有尽量对冲掉β,因为β本身可以通过被动投资获取,但是正常情况下只有EMN才会正好使β=0?而Long/Short Equity的β不一定=0?

1 个答案
已采纳答案

pzqa35 · 2024年04月24日

嗨,爱思考的PZer你好:


同学的理解是对的哈,long/short的beta一般都是不为0的,只有EMN的beta才等于0,因此EMN是long/short的一种特殊情况。

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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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