NO.PZ202207040100000303
问题如下：
Grasmere Asset Management Case Scenario
Morgan Abernathy, Nathaniel Granville, and Gabriella Carlucci are analysts at Grasmere Asset Management (Grasmere), an investment firm that offers a diversified mix of actively managed equity and fixed-income investment funds. The firm follows the fundamental approach, using both bottom-up and top-down investment management strategies. The analysts meet regularly to discuss investment ideas and related topics.
The meeting begins with a discussion of the fundamental approach to active equity management strategies. The analysts make the following statements:
The approach is a subjective investment process that uses discretion in making decisions.
The portfolio manager’s selections are based on determining a security’s exposure to selected variables that predict its return.
The construction of a portfolio is generally done using a portfolio optimizer, which controls risk at the portfolio level.
The analysts then review Exhibit 1, which describes a selection of the Grasmere equity funds.
Exhibit 1
Grasmere Equity Funds
The analysts made the following points about the potential investments that Fund B might undertake. The fund should be interested in
investing in the shares of a potential acquirer, even in a consolidating industry;
taking a control position in a distressed company’s shares selling at a deep discount to its intrinsic value; and
using its expertise to make long-term investments involving companies in reorganization.
Grasmere’s larger funds have had an impressive long-term record compared with peers. In more recent times, however, the results have been lagging. Positions have become more concentrated than in the past, and the proportion of positions underperforming their respective industries has increased. Carlucci believes managers may have become subject to two biases: an illusion of control and confirmation bias. Carlucci asks Abernathy what steps he could recommend to address the effect of these biases.
The final topic involves a discussion of some high-profile companies that recently released their full-year earnings results. Exhibit 2 contains market data and financial projections on three of the stocks discussed by Grasmere’s analysts. They are considering adding one of these stocks to Fund D.
Exhibit 2
Market Data and Financial Projections of Selected Stocks
Question
In the analysts’ discussion about Fund B’s potential investments, the point that is most accurate relates to:
选项：
A.reorganization opportunities. B.positions in distressed companies. C.acquisitions in a consolidating industry.解释：
Solution
C is correct. Fund B fund seeks to profit from the market inefficiencies that may arise as a result of corporate events. It can hold either long or short positions in the acquiring and target companies as appropriate to produce a profitable position. This would be true even in consolidating industries as long as it believed that a market inefficiency existed.
A is incorrect. Fund B fund seeks to profit from the market inefficiencies that may arise as a result of corporate events. Investing in reorganizations requires skill and expertise but normally involves a long-term investment horizon, which is inconsistent with Fund B’s strategy.
B is incorrect. Fund B fund seeks to profit from the market inefficiencies that may arise as a result of corporate events. A control position in a distressed company would normally involve a long-term investment horizon, which is inconsistent with Fund B’s strategy.
中文解析：
本题考查的是top-down投资策略和bottom-up投资策略的辨析。
Fund B的投资策略是自下而上策略中value-based approach， 利用“Special Situations”导致的短暂mispricing来获利，对目标公司可以持有多头或空头。
选项B说的投资方法是低价控股目前面临困境的企业，这属于Value-Based
Approaches中的另一种策略，通常投资期限很长，跟Fund B抓“短期错误定价机会”这一投资策略不相符，选项B不入选。选项A同样是对发生重组的目标公司进行长期投资，与Fund B的投资策略不相符，选项A不入选。
选项C说的是投资于潜在并购者，即使并购发生在一个在不断整合的行业中。后半句是混淆信息，Fund B抓的就是特殊公司事件——比如并购——带来的暂时mispricing，并购发生在什么行业并不重要，只要它认为并购事件可以带来market inefficiency，不管是股价上涨还是下跌，Fund
B都可以获利，因为Long或Short头寸它都可以持有。选项C的说法是符合Fund B投资策略的，因此选项C 正确。
investing in the shares of a potential acquirer, even in a consolidating industry，题干这里说的有问题吧？
难道不应该是long acquiree+short Acquirer？
