和市场negative corelation

问题如下：

Snohomish Mukilteo is a portfolio analyst for the Puyallup-Wenatchee Pension Fund (PWPF). PWPF’s investment committee (IC) asks Mukilteo to research adding hedge funds to the PWPF portfolio.The IC member also informs Mukilteo that for equity-related strategies, the IC considers low volatility to be more important than negative correlation. Based on what the IC considers important for equity-related strategies, which strategy should Mukilteo most likely avoid?

选项：

A.Long/short equity B.Equity market neutral C.Dedicated short selling and short biased

解释：

C is correct. For equity-related strategies, the IC considers low volatility to be more important than negative correlation. Dedicated short selling and short-biased strategies have return goals that are typically less than those for most other hedge fund strategies but with a negative correlation benefit. In addition, they are more volatile than a typical long/short equity hedge fund because of their short beta exposure. As a result, Mukilteo should avoid dedicated short selling and short-biased strategies.

题目中，IC在执行equity strategies时更看重的是low volatility，而不是negative 的correlation，而C选项中的两种策略都是和市场negative corelation，但是波动性是比较大的，因为头寸大都是只有short，所以C最不符合IC的要求。