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James · 2025年05月04日

这题什么意思?

NO.PZ2025021204000026

问题如下:

An analyst gathers the following information about multi-strategy hedge fund returns:

Which fund is most likely to be running strategies using less liquid instruments?

选项:

A.Fund 1

B.Fund 2

C.Fund 3

解释:

Fund 1 has the highest Rho, which indicates relatively high serial autocorrelation. This is reasonable because multi-strategy funds may be simultaneously running strategies using less liquid instruments, such as convertible arbitrage, fixed-income arbitrage, and other relative value strategies. That is why, unlike FoFs, they often impose investor-level or fund-level gates on maximum quarterly redemptions. Also, high Rho signals smoothed returns and thus is an indicator of potential liquidity issues (specifically, illiquidity and infrequent trading) in the underlying securities.

less liquid instruments是什么意思?没看懂题目想问什么

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