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aljy · 2024年08月26日

为什么选C不选B呢?

NO.PZ2024020101000016

问题如下:

Liu is Johnson’customer,he want to add hedge fund to her portfolio, she is particularly interested in opportunistic hedge fund strategies. Liu states that he prefers opportunistic hedge fund strategies with high leverage, high liquidity, and exhibit right-tail skewness.Which opportunistic hedge fund strategy meets Liu’s preferences?

选项:

A.Only global macro B.Only managed futures C.Both global macro and managed futures

解释:

C is correct. Liu states that he prefers opportunistic hedge fund strategies that use high leverage, have high liquidity, and exhibit right-tail skewness. The two most common opportunistic hedge fund strategies are global macro and managed futures. Both global macro and managed futures are highly liquid. Further, returns of managed futures strategies typically exhibit positive right-tail skewness in periods of market stress, whereas global macro strategies have delivered similar diversification in such stress periods but with more heterogeneous outcomes. Global macro and managed futures strategies can also use high leverage, either through the use of futures contracts, in which high leverage is embedded, or through the active use of options, which adds natural elements of leverage and positive convexity.

he prefers opportunistic hedge fund strategies with high leverage, high liquidity, and exhibit right-tail skewness

Global macro没有右偏的特性,为什么也能选入?

1 个答案

pzqa35 · 2024年08月26日

嗨,从没放弃的小努力你好:


global macro和managed futures都是跟踪趋势的,跟踪趋势的投资都是有右偏的一个特征,但是区别就是managed futures的右偏特征是更明显的,但是global macro相对来讲没有那么明显,所以就没有进行特意的强调,但总体来看,两者都是有右偏特征的哈。

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