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mino酱是个小破货 · 2024年07月20日

如题，请解释

  1. CFA III
  2. Alternative

NO.PZ2019122802000018

问题如下：

Sushil Wallace is the chief investment officer of a large pension fund. Wallace wants to increase the pension fund’s allocation to hedge funds and recently met with three hedge fund managers. These hedge funds focus on the following strategies:
Hedge Fund A: Specialist—Follows relative value volatility arbitrage
Hedge Fund B: Multi-Manager—Multi-strategy fund
Hedge Fund C: Multi-Manager—Fund-of-funds

After a significant amount of internal discussion, Wallace concludes that the pension fund should invest in either Hedge Fund B or C for the diversification benefits from the different strategies employed. However, after final due diligence is completed, Wallace recommends investing only in Hedge Fund B, noting its many advantages over Hedge Fund C.

Discuss two advantages of Hedge Fund B relative to Hedge Fund C with respect to investment characteristics.

解释：

a) Multi-strategy managers like Hedge Fund B can reallocate capital into different strategy areas more quickly and efficiently than would be possible by a fund-of-funds (FoF) manager like Hedge Fund C. The multi-strategy manager has full transparency and a better picture of the interactions of the different teams’ portfolio risks than would ever be possible for FoF managers to achieve. Consequently, the multi-strategy manager can react faster to different real-time market impacts—for example, by rapidly increasing or decreasing leverage within different strategies depending upon the perceived riskiness of available opportunities.

b) The fees paid by investors in a multi-strategy fund can be structured in a number of ways, some of which can be very attractive when compared to the FoFs’ added fee layering and netting risk attributes. Conceptually, FoF investors always face netting risk, whereby they are responsible for paying performance fees due to winning underlying funds while suffering return drag from the performance of losing underlying funds. Even if the FoF’s overall performance is flat or down, FoF investors must still pay incentive fees due to the managers of winning funds.

这块考点是教材的内容，例题也有，需要背诵。

  • Manager can be fully focused on their respective portfolios because the business, operational, and regulatory aspects of running the hedge fund are handled by other administrative professionals.

这条有点啥意思？第一次见

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1 个答案

伯恩_品职助教 · 2024年07月21日

嗨，爱思考的PZer你好：


这个你是在哪看到的，翻译是经理能够完全专注于他们各自的投资组合，因为运营对冲基金的业务、运营和监管方面由其他行政专业人员负责处理。

没相关题目，我理解就是各司其职，没啥问题啊

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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