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沉睡宝宝鸭 · 2024年09月21日

c选项是什么意思

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000022

问题如下：

The Big Bucks hedge fund has the following description of its activities. It uses simultaneous long and short positions in equity with a net beta close to zero. Which of the following statements about Big Bucks is/are correct?

I.      It uses a directional strategy.

II.     It is a relative value hedge fund.

III.    This fund is exposed to idiosyncratic risks.

选项：

A.

I and II

B.

II and III

C.

I and III

D.

II only

解释：

B is correct. This fund has zero beta, so is a relative value fund. It is, however, exposed to idiosyncratic, stock-specific risk.

请问c选项是什么意思。。。。。。

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1 个答案

品职答疑小助手雍 · 2024年09月22日

嗨，爱思考的PZer你好：


你是说描述三：“This fund is exposed to idiosyncratic risks.”这句吧。

这句是说这个基金面临的风险是针对个股的风险（而不是市场风险systematic risk）。因为这个基金已经把代表市场风险的beta对冲成0了，所以它确实没有systematic risk的风险敞口，却有针对个股的风险。

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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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