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Mahoosive · 2023年08月04日

选项三

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NO.PZ202206260100000603

问题如下:

Which of Pukitis statement’s to Chu regarding equity-related hedge fund managers is most likely correct?

选项:

A.Statement 1

B.Statement 2

C.Statement 3

解释:

Solution

C is correct. Pukitis correctly states that equity market–neutral managers are likely to have high levels of diversification and turnover ratios.

A is incorrect. Although a lower beta to equity markets is a characteristic of long–short managers, it is not one of the attractive features of long–short strategies. If an investor wishes to have exposure to a strategy with lower equity beta, there are cheaper long-only approaches to accomplish this goal.

B is incorrect. Dedicated short-bias managers typically have low levels of leverage.

怎么理解EMN的diversification高?

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:


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。既然EMN都没有β了,所有都没有共同影响价格的因素了,自然分散化更好了。例如股票和债券都受到加息的影响,至少从这点来说,分散化还不够好。而EMN完全没有了影响价格的共同因素,即能让EMN涨跌的factor和传统股票的涨跌的factor完全不一样。

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