问一道题：NO.PZ2019122802000010

NO.PZ2019122802000010 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. ring a monthly boarmeeting, Shain scusses her uptemarket forecast for equity markets. e to a recent large increase in interest rates angeopolitictensions, her forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets. Given this new market view, Shain conclus tha long/short strategy will not optimthis time anseeks another equity-relatestrategy. The Funhthe capacity to use a substantiamount of leverage.termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response. Shain shoulemploy equity market-neutr(EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation ring perio of non-trenng or clining markets. EMN hee funstrategies take opposite (long anshort) positions in similor relateequities having vergent valuations while attempting to maintain a nenet zero portfolio exposure to the market. EMN managers neutralize market risk constructing their portfolios suththe expecteportfolio beta is approximately equto zero. Moreover, EMN managers often choose to set the betfor sectors or instries well for common risk factors (e.g., market size, price-to-earnings ratio, anbook-to-market ratio) equto zero. Sinthese portfolios not take beta risk anattempt to neutralize many other factor risks, they typically must apply leverage to the long anshort positions to achieve a meaningful return profile from their invistoselections.EMN strategies typically liver return profiles thare steaer anless volatile ththose of many other hee strategy areas. Over time, their conservative anconstraineapproatypically results in a less namic overall return profile ththose of managers who accept beta exposure. spite the use of substantileverage anbecause of their more stanranoverall stea risk/return profiles, equity market-neutrmanagers are often a preferrereplacement for fixeincome managers ring perio when fixeincome returns are unattractively low.简单归纳一下，题干的核心是基金经理认为市场将从适度上涨变为无趋势（non-trenng），问这种预期下要把L/S策略改成哪种equity策略更好。集体的核心思路是对于non-trenng的市场，market-neutral策略最合适。答案其余部分长篇大论的都是在分析了market-nuetral策略的特点和应用，上课都讲过。PS:long/short strategy并不是beta要等于0的，可以用net long 或者 net short, 一般net long的情况会比较多，因为股票市场长期是上涨的。而Equity market neutral就是要求一定是beta=0。两者只是在这里有区别，策略的本质思路是一样的。 case里面提到利率上升，那不是代表fixeincome的价格下降，这时候买fixeincome正好可以赚到比较高的收益吗？但EMN策略里不是说fixeincome收益低的时候才比较适合用这种策略吗？

NO.PZ2019122802000010 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. ring a monthly boarmeeting, Shain scusses her uptemarket forecast for equity markets. e to a recent large increase in interest rates angeopolitictensions, her forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets. Given this new market view, Shain conclus tha long/short strategy will not optimthis time anseeks another equity-relatestrategy. The Funhthe capacity to use a substantiamount of leverage.termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response. Shain shoulemploy equity market-neutr(EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation ring perio of non-trenng or clining markets. EMN hee funstrategies take opposite (long anshort) positions in similor relateequities having vergent valuations while attempting to maintain a nenet zero portfolio exposure to the market. EMN managers neutralize market risk constructing their portfolios suththe expecteportfolio beta is approximately equto zero. Moreover, EMN managers often choose to set the betfor sectors or instries well for common risk factors (e.g., market size, price-to-earnings ratio, anbook-to-market ratio) equto zero. Sinthese portfolios not take beta risk anattempt to neutralize many other factor risks, they typically must apply leverage to the long anshort positions to achieve a meaningful return profile from their invistoselections.EMN strategies typically liver return profiles thare steaer anless volatile ththose of many other hee strategy areas. Over time, their conservative anconstraineapproatypically results in a less namic overall return profile ththose of managers who accept beta exposure. spite the use of substantileverage anbecause of their more stanranoverall stea risk/return profiles, equity market-neutrmanagers are often a preferrereplacement for fixeincome managers ring perio when fixeincome returns are unattractively low.简单归纳一下，题干的核心是基金经理认为市场将从适度上涨变为无趋势（non-trenng），问这种预期下要把L/S策略改成哪种equity策略更好。集体的核心思路是对于non-trenng的市场，market-neutral策略最合适。答案其余部分长篇大论的都是在分析了market-nuetral策略的特点和应用，上课都讲过。PS:long/short strategy并不是beta要等于0的，可以用net long 或者 net short, 一般net long的情况会比较多，因为股票市场长期是上涨的。而Equity market neutral就是要求一定是beta=0。两者只是在这里有区别，策略的本质思路是一样的。 Shain shoulemploy equity market neutrstrategy。sinshain hchange forecast to severperio of non-trenng market, equity market neutrstrategy is appropriate. equity market neutrstrategy return is most ,anthe Funhthe capacity to use a substantiamount of leverage, this cearn more profit.

NO.PZ2019122802000010 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. ring a monthly boarmeeting, Shain scusses her uptemarket forecast for equity markets. e to a recent large increase in interest rates angeopolitictensions, her forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets. Given this new market view, Shain conclus tha long/short strategy will not optimthis time anseeks another equity-relatestrategy. The Funhthe capacity to use a substantiamount of leverage.termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response. Shain shoulemploy equity market-neutr(EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation ring perio of non-trenng or clining markets. EMN hee funstrategies take opposite (long anshort) positions in similor relateequities having vergent valuations while attempting to maintain a nenet zero portfolio exposure to the market. EMN managers neutralize market risk constructing their portfolios suththe expecteportfolio beta is approximately equto zero. Moreover, EMN managers often choose to set the betfor sectors or instries well for common risk factors (e.g., market size, price-to-earnings ratio, anbook-to-market ratio) equto zero. Sinthese portfolios not take beta risk anattempt to neutralize many other factor risks, they typically must apply leverage to the long anshort positions to achieve a meaningful return profile from their invistoselections.EMN strategies typically liver return profiles thare steaer anless volatile ththose of many other hee strategy areas. Over time, their conservative anconstraineapproatypically results in a less namic overall return profile ththose of managers who accept beta exposure. spite the use of substantileverage anbecause of their more stanranoverall stea risk/return profiles, equity market-neutrmanagers are often a preferrereplacement for fixeincome managers ring perio when fixeincome returns are unattractively low.简单归纳一下，题干的核心是基金经理认为市场将从适度上涨变为无趋势（non-trenng），问这种预期下要把L/S策略改成哪种equity策略更好。集体的核心思路是对于non-trenng的市场，market-neutral策略最合适。答案其余部分长篇大论的都是在分析了market-nuetral策略的特点和应用，上课都讲过。PS:long/short strategy并不是beta要等于0的，可以用net long 或者 net short, 一般net long的情况会比较多，因为股票市场长期是上涨的。而Equity market neutral就是要求一定是beta=0。两者只是在这里有区别，策略的本质思路是一样的。 突然不明白了，EMN策略本来是整体beta等于0实现对市场波动的免疫，那为什么不是在市场波动大的时候因为能实现最小化市场影响（使beta为0）而受偏好呢？如果市场本身是横盘的，也就是市场beta或波动就不大，为什么要用EMN来进一步实现组合beta为0呢（既然市场beta本身波动不大，系统性波动就不大）？

NO.PZ2019122802000010 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. ring a monthly boarmeeting, Shain scusses her uptemarket forecast for equity markets. e to a recent large increase in interest rates angeopolitictensions, her forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets. Given this new market view, Shain conclus tha long/short strategy will not optimthis time anseeks another equity-relatestrategy. The Funhthe capacity to use a substantiamount of leverage.termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response. Shain shoulemploy equity market-neutr(EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation ring perio of non-trenng or clining markets. EMN hee funstrategies take opposite (long anshort) positions in similor relateequities having vergent valuations while attempting to maintain a nenet zero portfolio exposure to the market. EMN managers neutralize market risk constructing their portfolios suththe expecteportfolio beta is approximately equto zero. Moreover, EMN managers often choose to set the betfor sectors or instries well for common risk factors (e.g., market size, price-to-earnings ratio, anbook-to-market ratio) equto zero. Sinthese portfolios not take beta risk anattempt to neutralize many other factor risks, they typically must apply leverage to the long anshort positions to achieve a meaningful return profile from their invistoselections.EMN strategies typically liver return profiles thare steaer anless volatile ththose of many other hee strategy areas. Over time, their conservative anconstraineapproatypically results in a less namic overall return profile ththose of managers who accept beta exposure. spite the use of substantileverage anbecause of their more stanranoverall stea risk/return profiles, equity market-neutrmanagers are often a preferrereplacement for fixeincome managers ring perio when fixeincome returns are unattractively low.简单归纳一下，题干的核心是基金经理认为市场将从适度上涨变为无趋势（non-trenng），问这种预期下要把L/S策略改成哪种equity策略更好。集体的核心思路是对于non-trenng的市场，market-neutral策略最合适。答案其余部分长篇大论的都是在分析了market-nuetral策略的特点和应用，上课都讲过。PS:long/short strategy并不是beta要等于0的，可以用net long 或者 net short, 一般net long的情况会比较多，因为股票市场长期是上涨的。而Equity market neutral就是要求一定是beta=0。两者只是在这里有区别，策略的本质思路是一样的。 when the market is non-trenng ,market neutrstrategy woulthe most appropriate strategy because it ccapture alpha while not taking the market beta risk.

NO.PZ2019122802000010 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. ring a monthly boarmeeting, Shain scusses her uptemarket forecast for equity markets. e to a recent large increase in interest rates angeopolitictensions, her forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets. Given this new market view, Shain conclus tha long/short strategy will not optimthis time anseeks another equity-relatestrategy. The Funhthe capacity to use a substantiamount of leverage.termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response. Shain shoulemploy equity market-neutr(EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation ring perio of non-trenng or clining markets. EMN hee funstrategies take opposite (long anshort) positions in similor relateequities having vergent valuations while attempting to maintain a nenet zero portfolio exposure to the market. EMN managers neutralize market risk constructing their portfolios suththe expecteportfolio beta is approximately equto zero. Moreover, EMN managers often choose to set the betfor sectors or instries well for common risk factors (e.g., market size, price-to-earnings ratio, anbook-to-market ratio) equto zero. Sinthese portfolios not take beta risk anattempt to neutralize many other factor risks, they typically must apply leverage to the long anshort positions to achieve a meaningful return profile from their invistoselections.EMN strategies typically liver return profiles thare steaer anless volatile ththose of many other hee strategy areas. Over time, their conservative anconstraineapproatypically results in a less namic overall return profile ththose of managers who accept beta exposure. spite the use of substantileverage anbecause of their more stanranoverall stea risk/return profiles, equity market-neutrmanagers are often a preferrereplacement for fixeincome managers ring perio when fixeincome returns are unattractively low.简单归纳一下，题干的核心是基金经理认为市场将从适度上涨变为无趋势（non-trenng），问这种预期下要把L/S策略改成哪种equity策略更好。集体的核心思路是对于non-trenng的市场，market-neutral策略最合适。答案其余部分长篇大论的都是在分析了market-nuetral策略的特点和应用，上课都讲过。PS:long/short strategy并不是beta要等于0的，可以用net long 或者 net short, 一般net long的情况会比较多，因为股票市场长期是上涨的。而Equity market neutral就是要求一定是beta=0。两者只是在这里有区别，策略的本质思路是一样的。 这道题目为什么不能用cate short？ 因为cateshort也是substantileverage？