问一道题：NO.PZ2019122802000009 [ CFA III ]

NO.PZ2019122802000009 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. part of Shain’s e ligenon a hee funthimplements a long/short equity strategy, she uses a contionlinefactor mol to uncover ananalyze the hee funs risk exposures. She is interestein analyzing severrisk factors, but she is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio.scrihow the contionlinefactor mol cuseto aress Shain’s concern. A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. Sinhee funstrategies are namia contionmol allows for the analysis in a specific market environment to termine whether hee funstrategies are exposeto certain risks unr abnormmarket contions. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio. ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).linefactor mol就是多元回归模型，而contionlinefactor mol是在linefactor mol基础上增加了不同宏观经济条件下的回归，基本的思想就是看不同的条件下针对不同因子回归的系数是多少。这里的市场情况，主要是正常情况下，以及市场动荡的情况下turbulent,看看分别对哪些因子比较敏感。之所以可以解决Shain的问题，是因为可以看这些策略不同的市场情况下的到底对哪些因子比较敏感，可以通过这些回归结果来构建策略。就像答案中举的例子，比如目前的市场情况是平稳的，股票会涨，那么就可以来long股票，如果是市场情况比较波动，股票会跌，那么就应该short股票。 “ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).” 其实没太看懂答案为什么要写这么一句，问题问的是scrihow contionlinemol aress S同学的 concern\". 也没问在不同的事情情况下应该long还是short 股票。反倒觉得答案没有很好得回答S同学的concern，即在市场不好的时候，long exposure有没有变大。我们在考试中是不是应该更往问题问的方向作答。

NO.PZ2019122802000009 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. part of Shain’s e ligenon a hee funthimplements a long/short equity strategy, she uses a contionlinefactor mol to uncover ananalyze the hee funs risk exposures. She is interestein analyzing severrisk factors, but she is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio.scrihow the contionlinefactor mol cuseto aress Shain’s concern. A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. Sinhee funstrategies are namia contionmol allows for the analysis in a specific market environment to termine whether hee funstrategies are exposeto certain risks unr abnormmarket contions. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio. ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).linefactor mol就是多元回归模型，而contionlinefactor mol是在linefactor mol基础上增加了不同宏观经济条件下的回归，基本的思想就是看不同的条件下针对不同因子回归的系数是多少。这里的市场情况，主要是正常情况下，以及市场动荡的情况下turbulent,看看分别对哪些因子比较敏感。之所以可以解决Shain的问题，是因为可以看这些策略不同的市场情况下的到底对哪些因子比较敏感，可以通过这些回归结果来构建策略。就像答案中举的例子，比如目前的市场情况是平稳的，股票会涨，那么就可以来long股票，如果是市场情况比较波动，股票会跌，那么就应该short股票。 the contionlinefactor mol cuseto aress Shain’s concern about if the hee funs exposure to equities increases ring turbulent market perio. the mol analyzes sensitivity to severrisk factors unr stable economicenvironment anturbulent market. in turbulent market perio, the hee funs long (positive) exposure to equities will larger.

NO.PZ2019122802000009 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. part of Shain’s e ligenon a hee funthimplements a long/short equity strategy, she uses a contionlinefactor mol to uncover ananalyze the hee funs risk exposures. She is interestein analyzing severrisk factors, but she is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio.scrihow the contionlinefactor mol cuseto aress Shain’s concern. A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. Sinhee funstrategies are namia contionmol allows for the analysis in a specific market environment to termine whether hee funstrategies are exposeto certain risks unr abnormmarket contions. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio. ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).linefactor mol就是多元回归模型，而contionlinefactor mol是在linefactor mol基础上增加了不同宏观经济条件下的回归，基本的思想就是看不同的条件下针对不同因子回归的系数是多少。这里的市场情况，主要是正常情况下，以及市场动荡的情况下turbulent,看看分别对哪些因子比较敏感。之所以可以解决Shain的问题，是因为可以看这些策略不同的市场情况下的到底对哪些因子比较敏感，可以通过这些回归结果来构建策略。就像答案中举的例子，比如目前的市场情况是平稳的，股票会涨，那么就可以来long股票，如果是市场情况比较波动，股票会跌，那么就应该short股票。 RT

NO.PZ2019122802000009 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. part of Shain’s e ligenon a hee funthimplements a long/short equity strategy, she uses a contionlinefactor mol to uncover ananalyze the hee funs risk exposures. She is interestein analyzing severrisk factors, but she is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio.scrihow the contionlinefactor mol cuseto aress Shain’s concern. A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. Sinhee funstrategies are namia contionmol allows for the analysis in a specific market environment to termine whether hee funstrategies are exposeto certain risks unr abnormmarket contions. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio. ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).linefactor mol就是多元回归模型，而contionlinefactor mol是在linefactor mol基础上增加了不同宏观经济条件下的回归，基本的思想就是看不同的条件下针对不同因子回归的系数是多少。这里的市场情况，主要是正常情况下，以及市场动荡的情况下turbulent,看看分别对哪些因子比较敏感。之所以可以解决Shain的问题，是因为可以看这些策略不同的市场情况下的到底对哪些因子比较敏感，可以通过这些回归结果来构建策略。就像答案中举的例子，比如目前的市场情况是平稳的，股票会涨，那么就可以来long股票，如果是市场情况比较波动，股票会跌，那么就应该short股票。 “A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio”为什么对冲基金在市场平稳时风险敞口不重要？

NO.PZ2019122802000009 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. part of Shain’s e ligenon a hee funthimplements a long/short equity strategy, she uses a contionlinefactor mol to uncover ananalyze the hee funs risk exposures. She is interestein analyzing severrisk factors, but she is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio.scrihow the contionlinefactor mol cuseto aress Shain’s concern. A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. Sinhee funstrategies are namia contionmol allows for the analysis in a specific market environment to termine whether hee funstrategies are exposeto certain risks unr abnormmarket contions. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio. ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).linefactor mol就是多元回归模型，而contionlinefactor mol是在linefactor mol基础上增加了不同宏观经济条件下的回归，基本的思想就是看不同的条件下针对不同因子回归的系数是多少。这里的市场情况，主要是正常情况下，以及市场动荡的情况下turbulent,看看分别对哪些因子比较敏感。之所以可以解决Shain的问题，是因为可以看这些策略不同的市场情况下的到底对哪些因子比较敏感，可以通过这些回归结果来构建策略。就像答案中举的例子，比如目前的市场情况是平稳的，股票会涨，那么就可以来long股票，如果是市场情况比较波动，股票会跌，那么就应该short股票。 想请老师帮忙精简一下句子，如果考试的时候这道题怎么答能得分？就是怎么把这一大长串句子精简是bullet point能得分？