NO.PZ2019122802000039
问题如下:
When is the most attractive market period for equity-market neutral strategy?
选项:
A.Non-trending or declining markets
C.When fixed income returns are high
解释:
A is correct.
During periods of non-trending or declining markets because they deliver returns that are steadier and less volatile than those of many other hedge strategy areas.
equity-market neutral strategy这个策略的Overall goal是Capture alpha while minimizing portfolio beta exposure。Capture alpha是Long and short in similar or related equities that have divergent valuations。翻译成人话就是套利(两个相似或者相关的股票,类似大A市场上的中石油和中石化,或者大A市场上的中石油和港股市场上的中石油,做多低估的同时做空高估的赚取之间的差价。因为正常情况下,这两个的估值应该是一样的。)因为目的是套利,所以不想受到β(就是整个市场走势,系统性)的影响,就minimizing portfolio beta exposure(这个也是通过做多和做空来实现的),那既然不受市场影响了, declining markets就不害怕受影响了;然后是Non-trending,首先反向理解, trending 就是单边上涨或者单边下跌,如果是trending,那就单边做多或者单边做空带来的收益肯定大于套利赚取的这点差价对吧。所以equity-market neutral strategy最有吸引力的是Non-trending or declining markets。
declining market 难道不是也是一种trend吗?一种下降的趋势?应该不利于做EMN策略啊?