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雨洁🦄 · 2024年07月25日

怎么理解netting attribution risk

  1. CFA III
  2. Alternative

NO.PZ2023010407000018

问题如下：

Sushil Wallace is the chief investment officer of a large pension fund. Wallace wants to increase the pension fund’s allocation to hedge funds and recently met with three hedge fund managers. These hedge funds focus on the following strategies:

Hedge Fund B: Multi-Manager—Multi-strategy fund

Hedge Fund C: Multi-Manager—Fund-of-funds

Discuss two advantages of Hedge Fund B relative to Hedge Fund C with respect to investment characteristics.

解释：

A Multi-strategy managers like Hedge Fund B can reallocate capital into different strategy areas more quickly and efficiently than would be possible by a fund-of-funds (FoF) manager like Hedge Fund C. The multi-strategy manager has full transparency and a better picture of the interactions of the different teams’ portfolio risks than would ever be possible for FoF managers to achieve. Consequently, the multi-strategy manager can react faster to different real-time market impacts—for example, by rapidly increasing or decreasing leverage within different strategies depending upon the perceived riskiness of available opportunities.

B The fees paid by investors in a multi-strategy fund can be structured in a number of ways, some of which can be very attractive when compared to the FoFs’ added fee layering and netting risk attributes. Conceptually, FoF investors always face netting risk, whereby they are responsible for paying performance fees due to winning underlying funds while suffering return drag from the performance of losing underlying funds. Even if the FoF’s overall performance is flat or down, FoF investors must still pay incentive fees due to the managers of winning funds.

怎么理解netting attribution risk

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1 个答案

伯恩_品职助教 · 2024年07月25日

嗨，从没放弃的小努力你好：


同学，请问你是要提问的是netting risk attributes吗？

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