[2008] Topic 79: Individual Hedge Fund Strategies 相关习题 structure, including, long, category

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AIM 1: Describe various hedge fund strategies, including equity long/short, market-neutral, pair trading, market timing, short-selling, event-driven, distressed securities, Regulation D, and global macro as well as arbitrage strategies, including convertible, fixed-income, volatility, capital structure, merger.

1、A hedge fund that focuses on earning returns from mergers, spin-offs, and takeovers would be most accurately placed in which style category?

A) Equity market neutral. 

B) Hedged equity.

C) Global macro. 

D) Merger arbitrage. 

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The correct answer is D

Merger arbitrage focuses on returns from mergers, spin-offs, takeovers, etc... For example, if company X announces it will acquire company Y, the manager might buy shares in Y and short X.

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2、The largest category of hedge funds in terms of asset size is:

A) market-neutral funds.

B) long/short funds.

C) global macro funds.

D) event-driven funds.

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The correct answer is B

Long/short funds are considered to be the “traditional” type of hedge funds, and they represent the largest category of hedge funds.

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3、Which of the following statements regarding hedge funds is least accurate?

A) Market-neutral hedge funds may have long and/or short positions.

B) Event-driven hedge funds seek to capitalize on a unique opportunity in the market.

C) Global macro funds make bets on the direction of a market, currency or interest rate.

D) Long/short funds have a net market neutral position.

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The correct answer is Dfficeffice" />

Long/short funds, by definition, are not market-neutral and usually maintain a net positive or net negative market exposure.

 

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4、A popular hedge fund strategy is a long/short equity strategy. What would be the typical target “net” exposure in such a hedge fund strategy?

A) net short.

B) close to perfectly hedged.

C) core long positions with a near total hedge overlay using short index futures.

D) net long.

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The correct answer is D

While this is not always the cases, most managers would maintain a net long position, or at least have a long bias. It is not as common, but some hedge fund managers have core long positions with a partial hedge overlay using short index futures, long puts (out-of-the-money), or short covered calls.

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5、A hedge fund manager generally has more flexibility and freedom to make investment “bets” and uses this flexibility to sell short and thus create opportunities for gains. Which of the following would NOT be a purpose for taking short positions?

A) To earn significant beta.

B) To hedge overall broad market risk.

C) To earn the short rebate interest.

D) To earn a profit when the stock declines.

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The correct answer is A

To hedge overall broad market risk, to earn the short rebate interest, and to earn a profit when the stock declines are all legitimate, different purposes for taking short positions. Such “shorting” is generally not available to traditional investment managers who may have regulatory constraints or internal compliance rules, particularly within financial institutions. The term “short rebate” is interest earned on the proceeds from short selling. To earn significant beta is not a legitimate purpose of taking short positions. In fact, the majority of long/ short equity managers also claim to return a large amount of alpha.