Xu tells Anderson that while she is open to using all hedge fund strategies, she is particularly interested in opportunistic hedge fund strategies. Xu states that she prefers opportunistic hedge fund strategies that use high leverage, have high liquidity, and exhibit right-tail skewness.
Q.
Which opportunistic hedge fund strategymeets Xu’s preferences?
1. Only global macro
2. Only managed futures
C. Both global macro and managed futures
Solution
C is correct. Xu states that she prefers opportunistic hedge fund strategies that use high leverage, have high liquidity, and exhibit right-tail skewness. The two most common opportunistic hedge fund strategies are global macro and managed futures. Both global macro and managed futures are highly liquid. Further, returns of managed futures strategies typically exhibit positive right-tail skewness in periods of market stress, whereas global macro strategies have delivered similar diversification in such stress periods but with more heterogeneous outcomes. Global macro and managed futures strategies can also use high leverage, either through the use of futures contracts, in which high leverage is embedded, or through the active use of options, which adds natural elements of leverage and positive convexity.
请问为什么global macro 有positive right-tail skewness ？怎么理解它的heterogeneous outcomes?
为什么opportunistics 的leverage会高呢？
