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考拉 · 2024年01月11日

hedge fund和equity比为什么有较高的分散化呢？要看它的底层资产把？

  1. CFA III
  2. Alternative

NO.PZ2023010407000026

问题如下：

Eileen Gension is a portfolio manager for Zen-Alt Investment Consultants (Zen-Alt), which assists institutional investors with investing in alternative investments. Charles Smittand is an analyst at Zen-Alt and reports to Gension. Gension and Smittand discuss a new client, the Benziger University Endowment Fund (the fund), as well as a prospective client, the Opeptaja Pension Plan (the plan).

The fund’s current portfolio is invested primarily in public equities, with the remainder invested in fixed income. The fund’s investment objective is to support a 6% annual spending rate and to preserve the purchasing power of the asset base over a 10-year time horizon. The fund also wants to invest in assets that provide the highest amount of diversification against its dominant equity risk. Gension considers potential alternative investment options that would best meet the fund’s diversification strategy.

Which asset class would best satisfy the Fund’s diversification strategy?

选项：

A.

Private equity

B.

Private real estate

C.

Absolute return hedge fund

解释：

C is correct. An absolute return hedge fund has a greater potential to diversify the fund’s dominant public equity risk than either private equity or private real estate. Absolute return hedge funds exhibit an equity beta that is often less than that of private equity or private real estate. Also, absolute return hedge funds tend to exhibit a high potential to diversify public equities, whereas equity long/short hedge funds exhibit a moderate potential to fulfill this role.

A is incorrect because although private equity provides moderate diversification against public equity, an absolute return hedge fund has a greater potential to do so. The primary advantage of private equity is capital growth.

B is incorrect because private real estate provides only moderate diversification against public equity, whereas absolute return hedge funds have a greater potential to do so. The primary advantage of private real estate is income generation.

Absolute return hedge fund 底层资产有哪些呢？也会包含equity 之类的么

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伯恩_品职助教 · 2024年01月11日

嗨，从没放弃的小努力你好：


主要是因为absolute return HF是追求绝对的α，也就是没有β，没有β就没有和其它资产的共同之处了，所以分散化会更好。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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