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Ethan · 2022年05月06日

考试要回答到什么程度呢？

  1. CFA III
  2. Alternative

NO.PZ2019122802000018

问题如下：

Sushil Wallace is the chief investment officer of a large pension fund. Wallace wants to increase the pension fund’s allocation to hedge funds and recently met with three hedge fund managers. These hedge funds focus on the following strategies:
Hedge Fund A: Specialist—Follows relative value volatility arbitrage
Hedge Fund B: Multi-Manager—Multi-strategy fund
Hedge Fund C: Multi-Manager—Fund-of-funds

After a significant amount of internal discussion, Wallace concludes that the pension fund should invest in either Hedge Fund B or C for the diversification benefits from the different strategies employed. However, after final due diligence is completed, Wallace recommends investing only in Hedge Fund B, noting its many advantages over Hedge Fund C.

Discuss two advantages of Hedge Fund B relative to Hedge Fund C with respect to investment characteristics.

选项：

解释：

a) Multi-strategy managers like Hedge Fund B can reallocate capital into different strategy areas more quickly and efficiently than would be possible by a fund-of-funds (FoF) manager like Hedge Fund C. The multi-strategy manager has full transparency and a better picture of the interactions of the different teams’ portfolio risks than would ever be possible for FoF managers to achieve. Consequently, the multi-strategy manager can react faster to different real-time market impacts—for example, by rapidly increasing or decreasing leverage within different strategies depending upon the perceived riskiness of available opportunities.

b) The fees paid by investors in a multi-strategy fund can be structured in a number of ways, some of which can be very attractive when compared to the FoFs’ added fee layering and netting risk attributes. Conceptually, FoF investors always face netting risk, whereby they are responsible for paying performance fees due to winning underlying funds while suffering return drag from the performance of losing underlying funds. Even if the FoF’s overall performance is flat or down, FoF investors must still pay incentive fees due to the managers of winning funds.

这块考点是教材的内容，例题也有，需要背诵。

我是这么写的：

  • faster tactical allocation, more faster to react to market change.
  • improved fee structure, can net performance among contained different managers.


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伯恩_品职助教 · 2022年05月06日

嗨，从没放弃的小努力你好：


再加上主语，要完整的一句话。

  • Multi-strategy managers like Hedge Fund B can faster tactical allocation, more faster to react to market change.
  • Multi-strategy managers like Hedge Fund B can improved fee structure, can net performance among contained different managers.


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

闫珅考试必过 · 2022年05月06日

Can net performance 和 netting risk 区别是什么呀

伯恩_品职助教 · 2022年05月06日

嗨，从没放弃的小努力你好：


Can net performance 和 netting risk 区别是什么呀—— whereby they are responsible for paying performance fees due to winning underlying funds while suffering return drag from the performance of losing underlying funds这句话就是解释netting risk的，如果把netting risk 消除了就是net performance

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加油吧，让我们一起遇见更好的自己！

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