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Mahoosive · 2023年08月04日

另外有一道题提到这个策略也有beta exposure

* 问题详情,请 查看题干

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:

Solution

A 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

1 个答案

伯恩_品职助教 · 2023年08月07日

嗨,努力学习的PZer你好:


emmm。。。首先同学需要理解β和α,这两个的意思,beta值,是一种风险指数,用来衡量个别股票或股票基金相对于整个股市的价格波动情况。α值是代表证券收益率超出风险/收益模型所预测水平的超额收益。简单说,beta因为受到共同因素因素影响而产生的价格波动,α是完全因为投资的股票的个体的情况的回报。再简单的说就是beta只要有,就有风险(特指系统风险),而α是非系统性风险,这样分散化更好。如果没有β,主要是α,那么就是无关联的 source of alpha。就是merger投资的两个股票自身的因合并产生增长和下跌的α。,

至于另一个题目说的。是这样的,merger理论上说要消灭β的,但是实践merger很难做到消灭β,因为merger的两个股票关联性不是特别强,价格变化后,原有的β清零的值又有β了。

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