NO.PZ202206260100000502
问题如下:
What would the rationale most likely be for an institutional investor to include the Pegasus Fund in its portfolio?
选项:
A.Uncorrelated source of alpha
B.Capital structure arbitrage of valuation divergence
C.Earn the illiquidity premium associated with the strategy
解释:
SolutionA is correct. Merger arbitrage is a good uncorrelated source of alpha. Diversifying across a variety of mergers, deals, and industries can further help hedge the risk of any one deal failing. Merger arbitrage does not exploit capital structure divergence in a single company and is a relatively liquid strategy.
B is incorrect because capital structure arbitrage involves taking long and short positions in the debt and equity of individual companies to extract misvaluations, and it would not be a rationale for inclusion in the portfolio. This generally falls under distressed security strategies.
C is incorrect because merger arbitrage is a liquid strategy.
怎么理解A选项呢,有哪些source呢