开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Mahoosive · 2023年08月04日

选项三

* 问题详情,请 查看题干

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。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 1

    关注
  • 273

    浏览
相关问题

NO.PZ202206260100000603 问题如下 Whiof Pukitis statement’s to Chu regarng equity-relatehee funmanagers is most likely correct? A.Statement 1 B.Statement 2 C.Statement 3 SolutionC is correct. Pukitis correctly states thequity market–neutrmanagers are likely to have high levels of versification anturnover 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 investor wishes to have exposure to a strategy with lower equity betthere are cheaper long-only approaches to accomplish this goal.B is incorrect. cateshort-bimanagers typically have low levels of leverage. A 的优点不就是降低组合的贝塔值吗? C 怎么理解股票市场中性策略 中较高的turnover ratio?这个是啥意思?

2023-05-14 17:22 1 · 回答

NO.PZ202206260100000603 问题如下 Winter Stone Associates Case ScenarioAlise Pukitis works analyst for Winter Stone Associates. Winter Stone is a hee funconsulting specialist thprovis analysis anaccess to hee fun for family offices anhigh-net-worth investment aisers. Amy Chu is a senior wealth aiser with Brownstein LegaAssociates who hengageWinter Stone to ecate the firm on current investment opportunities within the hee fununiverse.In initimeeting with Chu, Pukitis provis a summary of the hee funlancape. Brownstein hhistorically investein trationlong-only investment strategies in public markets for its clients. Pukitis tells Chu to expethe following characteristiwhen reviewing the hee fununiverse:Pukitis explains thhee fun are categorizeantracketype. Exhibit 1 shows the six brohee funcategories trackeWinter Stone.Exhibit 1. Hee FunCategories TrackeWinter StoneAfter reviewing the information, Chu tells Pukitis thshe woullike to receive more information on equity-relatestrategies. Pukitis makes the following statements to Chu regarng equity-relatehee funmanagers:Brownstein’s investment committee hintifiethe following characteristiit is seeking in the selection of a hee funmanager: low to morate levels of leverage, iosyncratic alphlong biase anno concerns about investing in illiquistrategy. Chu reviews a number of strategies on Winter Stone’s recommenlist but is having a fficult time termining whistrategy will meet the nee of Brownstein’s investment committee. She reaches out to Pukitis for help intifying the appropriate strategy to bring to the committee for approval.Question Whiof Pukitis statement’s to Chu regarng equity-relatehee funmanagers is most likely correct? A.Statement 1 B.Statement 2 C.Statement 3 SolutionC is correct. Pukitis correctly states thequity market–neutrmanagers are likely to have high levels of versification anturnover 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 investor wishes to have exposure to a strategy with lower equity betthere are cheaper long-only approaches to accomplish this goal.B is incorrect. cateshort-bimanagers typically have low levels of leverage. 请问market–neutral不是消除beta的影响而focus on 个股风险吗?

2023-02-21 12:08 1 · 回答

NO.PZ202206260100000603问题如下 Winter Stone Associates Case ScenarioAlise Pukitis works analyst for Winter Stone Associates. Winter Stone is a hee funconsulting specialist thprovis analysis anaccess to hee fun for family offices anhigh-net-worth investment aisers. Amy Chu is a senior wealth aiser with Brownstein LegaAssociates who hengageWinter Stone to ecate the firm on current investment opportunities within the hee fununiverse.In initimeeting with Chu, Pukitis provis a summary of the hee funlancape. Brownstein hhistorically investein trationlong-only investment strategies in public markets for its clients. Pukitis tells Chu to expethe following characteristiwhen reviewing the hee fununiverse:Pukitis explains thhee fun are categorizeantracketype. Exhibit 1 shows the six brohee funcategories trackeWinter Stone.Exhibit 1. Hee FunCategories TrackeWinter StoneAfter reviewing the information, Chu tells Pukitis thshe woullike to receive more information on equity-relatestrategies. Pukitis makes the following statements to Chu regarng equity-relatehee funmanagers:Brownstein’s investment committee hintifiethe following characteristiit is seeking in the selection of a hee funmanager: low to morate levels of leverage, iosyncratic alphlong biase anno concerns about investing in illiquistrategy. Chu reviews a number of strategies on Winter Stone’s recommenlist but is having a fficult time termining whistrategy will meet the nee of Brownstein’s investment committee. She reaches out to Pukitis for help intifying the appropriate strategy to bring to the committee for approval.Question Whiof Pukitis statement’s to Chu regarng equity-relatehee funmanagers is most likely correct?A.Statement 1B.Statement 2C.Statement 3SolutionC is correct. Pukitis correctly states thequity market–neutrmanagers are likely to have high levels of versification anturnover 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 investor wishes to have exposure to a strategy with lower equity betthere are cheaper long-only approaches to accomplish this goal.B is incorrect. cateshort-bimanagers typically have low levels of leverage.纯long和纯short的leverage都比long/short低对吗?

2023-02-15 09:29 1 · 回答

NO.PZ202206260100000603 问题如下 Whiof Pukitis statement’s to Chu regarng equity-relatehee funmanagers is most likely correct? A.Statement 1 B.Statement 2 C.Statement 3 SolutionC is correct. Pukitis correctly states thequity market–neutrmanagers are likely to have high levels of versification anturnover 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 investor wishes to have exposure to a strategy with lower equity betthere are cheaper long-only approaches to accomplish this goal.B is incorrect. cateshort-bimanagers typically have low levels of leverage. 老师,statement 31(1)EMN highly versifie因为long/Short之后beta=0吗?一般的L/S策略也是versifie(2)另外EMN high turnover是因为这个策略是短期的?忘记哪题是说它的锁定期一般只有一年?

2023-02-14 17:00 1 · 回答