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Jin WANG · 2020年06月13日

问一道题:NO.PZ2016071602000022

问题如下:

The Big Bucks hedge fund has the following description of its activities. It uses simultaneous long and short positions in equity with a net beta close to zero. Which of the following statements about Big Bucks is/are correct?

I.      It uses a directional strategy.

II.     It is a relative value hedge fund.

III.    This fund is exposed to idiosyncratic risks.

选项:

A.

I and II

B.

II and III

C.

I and III

D.

II only

解释:

B is correct. This fund has zero beta, so is a relative value fund. It is, however, exposed to idiosyncratic, stock-specific risk.

为什么是relative value strategy 呢?这个概念在讲义的哪里

1 个答案

小刘_品职助教 · 2020年06月13日

同学你好,

可以直接看基础班讲义219页,非常清楚哈~

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