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西红柿面 · 2025年02月28日

这里Long/Short Equity为啥不能提供Capital Growth呢

  1. CFA III
  2. Alternative

NO.PZ2023010407000028

问题如下：

Ingerðria Greslö is an adviser with an investment management company and focuses on asset allocation for the company’s high-net-worth investors. She prepares for a meeting with Maarten Pua, a new client who recently inherited a $10 million portfolio solely comprising public equities.

Greslö meets with Pua and proposes that she create a multi-asset portfolio by selling a portion of his equity holdings and investing the proceeds in another asset class. Greslö advises Pua that his investment objective should be to select an asset class that has a high potential to fulfill two functional roles: risk diversification and capital growth. Greslö suggests the following three asset classes:

· Public real estate

· Private real assets (timber)

· Equity long/short hedge funds

Determine the most appropriate equity-related hedge fund strategy that Shaindy should employ. Justify your response.

选项：

解释：


因为有卖空，所以有两个α，是可以赚取超额的呀

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1 个答案

伯恩_品职助教 · 2025年02月28日

嗨，从没放弃的小努力你好：


是有两个α，但是beta也低了，收益主要来自beta，所以这个策略相对收益不高。

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努力的时光都是限量版，加油！

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