Rachel
2019-12-23 00:43老師，請問書本81頁第二題答案的解釋和題目有什么關(guān)系？有些不太明白？題目"concerned about whether the hedge fund’s long (positive) exposure to equities increases during turbulent market periods"而答案解釋是"A conditional model can show whether hedge fund risk exposures to equities that are insignificant during calm periods become significant during turbulent market periods. During normal periods when equities are rising, the desired exposure to equities (S&P 500 Index) should be long (positive) to benefit from higher expected returns. However, during crisis periods when equities are falling sharply, the desired exposure to equities should be short (negative)"不太理解答案想要表達的是什么意思？和題目是什么關(guān)系？
所屬：CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Peter F助教
2019-12-24 16:41
該回答已被題主采納
同學(xué)，你好：首先，需要知道什么是 conditional linear factor models ？ Conditional linear factor models can be useful for uncovering and analyzing hedge fund strategy risk exposures. This model that incorporates four factors for assessing risk exposures in both normal periods and market stress/crisis periods: equity risk, credit risk, currency risk, and volatility risk.
這 4 個因子（equity risk, credit risk, currency risk, and volatility risk）可以幫助分析。
然后，答案 主要 說明了 euqity 與 市場之間的關(guān)系（兩種種情況：normal periods 和 crisis periods），回答了 how 這個點。
建議作答時，包含 1）定義/公式，2）市場影響分析，回答關(guān)鍵詞。
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