这题对应的知识点是哪里？

NO.PZ2023040201000008

问题如下：

A hedge fund invests primarily in distressed debt. Quoted market prices are available for the underlying holdings but they trade infrequently. Which of the following will the hedge fund most likely use in calculating net asset value for trading purposes?

选项：

A.Average quotes B.Average quotes adjusted for liquidity C.Bid prices for short positions and ask prices for long positions

解释：

Many practitioners believe that liquidity discounts are necessary to reflect fair value. This has resulted in some funds having two NAVs—for trading and reporting. The fund may use average quotes for reporting purposes but apply liquidity discounts for trading purposes.

答案中的abc分别适合什么净值计算方式?

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Lucky_品职助教 · 2023年08月09日

嗨，努力学习的PZer你好：

问题中提到的是一只对冲基金，该基金主要投资于不良债务，而这些债务的交易价格不频繁。为了计算交易目的的净资产价值，该对冲基金最可能使用以下哪种方法？

解释：许多从业者认为，流动性折扣是反映公允价值的必要条件。这导致一些基金有两个净资产价值（用于交易和报告）。该基金可能使用平均报价用于报告目的，但为交易目的应用流动性折扣。

因此，对于这个问题，答案是B选项：平均报价调整为流动性。因为对冲基金可能使用平均报价来报告其净资产价值，但为了反映公平价值并考虑到不良债务的流动性不足，他们可能会在交易时应用流动性折扣。因此，B选项最符合该对冲基金的计算净资产价值的方法。

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2023-10-29 13:49 1 · 回答

这题对应的知识点是哪里？

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