NO.PZ2021060201000005
问题如下:
The hedge fund manager(for an opportunistic strategy) selects AAA rated corporate bonds with actively traded futures contracts and equal durations. For each corporate bond, the manager calculates the 28-day change in the yield spread over a constant risk-free rate. Then he ranks the bonds according to this spread change. For bonds with the largest narrowing (widening) of spreads, hedge funds will hold long positions in their futures contracts. The net holding for this strategy is market neutral.
The opportunistic strategy is most likely to be described as a:
选项:
A.global macro strategy
time-series momentum strategy
cross-sectional momentum strategy
解释:
C is correct.
这个题要抓核心关键词,首先是opportunistic strategy,然后看到下面的market neutral,就要联想这个策略里market neutral的是哪个?
正在考虑的策略是Managed Futures ——具体来说,是a cross-sectional momentum approach。这种方法通常适用于同一资产类别的证券,在这种情况下是公司债券。该策略是在价值相对其他债券(利差收窄的债券)的合约中持有多头头寸,并在价值相对于其他债券(息差收窄的债券)的合约中持有空头头寸。利差扩大的债券)。a cross-sectional momentum strategies通常会导致持有净零头寸或市场中性头寸。相比之下, time-series momentum strategies中资产的头寸是独立确定的,独立于策略中其他资产的表现,可以根据资产的当前价格趋势进行净多头或净空头。
A 不正确,因为所考虑的机会主义策略更有可能被描述为Managed Futures ——特别是 a cross-sectional momentum approach——而不是global macro strategy。Global macro strategy通常是自上而下的,通常侧重于正确识别和利用全球金融市场的趋势,这并未描述正在考虑的战略。相比之下,使用 a cross-sectional momentum approach的Managed Futures是通过做多价格上涨的资产(通常在资产类别内,在这种情况下是高评级公司债券)来实施的大多数并通过做空跌幅最大的那些。
B 是不正确的,因为所考虑的策略是Managed Futures ——特别是a cross-sectional (not time-series) momentum approach。Time-series trading strategies由单个资产的过去表现驱动。经理将对价值上涨的资产持有多头头寸,对价值下跌的资产持有空头头寸。头寸是在绝对基础上进行的,个人头寸的确定与策略中其他资产的表现无关。这种方法与cross-sectional strategies相反,在 cross-sectional strategies中,资产的头寸取决于该资产相对于其他资产的表现。使用Time-series trading strategies,经理可以根据资产的当前价格趋势进行净多头或净空头。
题目中也有说到时间,为什么不能是TSM呢,CSM是market netural,但market netural不一定就CSM吧?