问题如下:
Jane Shaindy is the chief investment officer of a large pension fund. The pension fund is based in the United States and currently has minimal exposure to hedge funds. The pension fund’s board has recently approved an additional investment in a long/short equity strategy.
During a monthly board meeting, Shaindy discusses her updated market forecast for equity markets. Due to a recent large increase in interest rates and geopolitical tensions, her forecast has changed from one of modestly rising equities to several periods of non-trending markets. Given this new market view, Shaindy concludes that a long/short strategy will not be optimal at this time and seeks another equity-related strategy. The Fund has the capacity to use a substantial amount of leverage.
Determine the most appropriate equity-related hedge fund strategy that Shaindy should employ. Justify your response.
选项:
解释:
Shaindy should employ an equity market-neutral (EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation during
periods of non-trending or declining markets. EMN hedge fund strategies
take opposite (long and short) positions in similar or related equities
having divergent valuations while attempting to maintain a near net zero
portfolio exposure to the market. EMN managers neutralize market risk
by constructing their portfolios such that the expected portfolio beta
is approximately equal to zero. Moreover, EMN managers often choose to
set the betas for sectors or industries as well as for common risk
factors (e.g., market size, price-to-earnings ratio, and book-to-market
ratio) equal to zero. Since these portfolios do not take beta risk and
attempt to neutralize many other factor risks, they typically must apply
leverage to the long and short positions to achieve a meaningful return
profile from their individual stock selections.
EMN strategies
typically deliver return profiles that are steadier and less volatile
than those of many other hedge strategy areas. Over time, their
conservative and constrained approach typically results in a less
dynamic overall return profile than those of managers who accept beta
exposure. Despite the use of substantial leverage and because of their
more standard and overall steady risk/return profiles, equity
market-neutral managers are often a preferred replacement for
fixed-income managers during periods when fixed-income returns are
unattractively low.
老师,你好。能解释一下这道题的题目和答案吗,没太看懂。