NO.PZ2019122802000009
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. As part of Shaindy’s due diligence on a hedge fund that implements a long/short equity strategy, she uses a conditional linear factor model to uncover and analyze the hedge fund’s risk exposures. She is interested in analyzing several risk factors, but she is specifically concerned about whether the hedge fund’s long (positive) exposure to equities increases during turbulent market periods.
Describe how the conditional linear factor model can be used to address Shaindy’s concern.
选项：
解释：
A linear factor model can provide insights into the intrinsic characteristics and risks in a hedge fund investment. Since hedge fund strategies are dynamic, a conditional model allows for the analysis in a specific market environment to determine whether hedge fund strategies are exposed to certain risks under abnormal market conditions. A conditional model can show whether hedge fund risk exposures to equities that are insignificant during calm periods become significant during turbulent market periods. During normal periods when equities are rising, the desired exposure to equities (S&P 500 Index) should be long (positive) to benefit from higher expected returns. However, during crisis periods when equities are falling sharply, the desired exposure to equities should be short (negative).
linear factor model就是多元回归模型，而conditional linear factor model是在linear factor model基础上增加了不同宏观经济条件下的回归，基本的思想就是看不同的条件下针对不同因子回归的系数是多少。这里的市场情况，主要是正常情况下，以及市场动荡的情况下turbulent,看看分别对哪些因子比较敏感。
之所以可以解决Shaindy的问题，是因为可以看这些策略不同的市场情况下的到底对哪些因子比较敏感，可以通过这些回归结果来构建策略。就像答案中举的例子，比如目前的市场情况是平稳的，股票会涨，那么就可以来long股票，如果是市场情况比较波动，股票会跌，那么就应该short股票。
RT
