R81 练习: 对冲基金
考纲范围
- explain investment features of hedge funds and contrast them with other asset classes
- describe investment forms and vehicles used in hedge fund investments
- analyze sources of risk, return, and diversification among hedge fund investments
Q1.
Which of the followings is correct if a hedge fund uses market neutral strategy?
A. This fund takes long and short positions in different stocks.
B. Ideally, the portfolio should have a positive overall beta.
C. Using this strategy, the fund intends to expose to systemic risks.
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答案：A
解析：市场中性策略（market neutral）通过同时持有多头和空头头寸来消除市场风险，使组合的beta接近零而非正值。该策略旨在消除系统性风险敞口，只赚取alpha。
选项 判断 解析 A ✓ 市场中性策略同时持有不同股票的多空头寸 B ✗ 理想状态下beta应接近零，不是正值 C ✗ 该策略旨在消除系统性风险，不是暴露于系统性风险
Q2.
Which of the followings is correct if a hedge fund uses fundamental long/short growth strategy?
A. Only long positions will be taken in high growth stocks.
B. Technical analysis may be used in the stock selection process.
C. Short position in low growth stocks may be taken to hedge long position in growth stocks.
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答案：C
解析：基本面多空成长策略中，基金做多高成长股同时做空低成长股进行对冲。这是”fundamental”策略，使用基本面分析而非技术分析。该策略不仅做多，还做空。
选项 判断 解析 A ✗ 不仅做多，还会做空低成长股 B ✗ “Fundamental”策略使用基本面分析，非技术分析 C ✓ 做空低成长股对冲做多高成长股是该策略的核心
Q3.
A hedge fund trades relative value in different asset classes and this fund can be called a:
A. volatility strategy fund.
B. fundamental value fund.
C. multi-strategy fund.
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答案：C
解析：在不同资产类别中交易相对价值的基金称为multi-strategy fund（多策略基金）。Multi-strategy基金在多个资产类别中寻找相对价值机会。Volatility strategy专注于波动率交易，fundamental value专注于单一资产类别的基本面。
选项 判断 解析 A ✗ 波动率策略专注于期权和波动率交易 B ✗ 基本面价值基金通常聚焦单一资产类别 C ✓ 跨资产类别的相对价值交易属于多策略基金
Q4.
A hedge fund manager seeks to profit from expected movements in economic variables influenced by major economic trends and events. He trades opportunistically in the fixed income, equity currency, derivatives and commodity markets. Which strategy does the manager most likely use?
A. Market Neutral.
B. Fundamental Value.
C. Macro Strategy.
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答案：C
解析：Global macro strategy（全球宏观策略）基于重大经济趋势和事件，在多个市场（固定收益、股票、货币、衍生品、大宗商品）中机会性交易。这完全符合题目描述。
选项 判断 解析 A ✗ 市场中性策略不关注宏观经济趋势 B ✗ 基本面价值策略聚焦个股分析 C ✓ 宏观策略基于宏观经济趋势在多市场交易
Q5.
Which of the followings is correct if a hedge fund uses short biased strategy?
A. Fund managers takes large positions both in long and short trading.
B. Fund managers will focus on unrealized accounting and business flaws.
C. Only technical analysis will be used for selecting overvalued stocks.
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答案：B
解析：Short biased策略（空头偏向策略）的基金经理关注被高估的公司，寻找会计和商业模式中未被发现的缺陷。该策略以空头为主（不是多空均衡），使用基本面分析（不仅是技术分析）。
选项 判断 解析 A ✗ Short biased以空头为主，不是多空均衡 B ✓ 关注会计和商业缺陷以识别被高估的公司 C ✗ 不仅使用技术分析，更多使用基本面分析
Q6.
Cary, a well-known fund manager, manages two hedge funds currently. One fund is dominated with event-driven strategies while another fund mainly uses global macro strategies. Which of the following is suitable for both funds?
A. Macroeconomics indicators
B. Long-short positions
C. Bottom-up approach
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答案：B
解析：多空头寸（long-short positions）是事件驱动策略和全球宏观策略都会使用的工具。宏观经济指标主要用于宏观策略，bottom-up方法更适用于事件驱动策略。
选项 判断 解析 A ✗ 宏观指标主要用于全球宏观策略 B ✓ 两种策略都使用多空头寸 C ✗ Bottom-up方法更适用于事件驱动策略
Q7.
A hedge fund strategy that takes positions in shares of firms undergoing restructuring or acquisition is a/an:
A. event driven strategy.
B. macro strategy.
C. equity hedge strategy.
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答案：A
解析：投资于正在进行重组或收购的公司股票属于事件驱动策略（event driven strategy），包括并购套利（merger arbitrage）和困境证券（distressed）等子策略。
选项 判断 解析 A ✓ 重组和收购属于公司事件，是event driven策略的核心 B ✗ 宏观策略关注宏观经济趋势，非公司事件 C ✗ 股票对冲策略基于股票价值判断，非事件驱动
Q8.
The indexes of hedge funds may be upward biased. The main reasons do not include:
A. survivorship bias.
B. self-reporting of hedge funds.
C. trading in short position.
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答案：C
解析：做空交易（trading in short position）不是导致对冲基金指数向上偏差的原因。生存者偏差（表现差的基金被清算后不再纳入指数）和自主报告（表现好的基金更愿意报告业绩）才是导致上偏的主要原因。
选项 判断 解析 A ✗ 生存者偏差是上偏的主要原因 B ✗ 自主报告导致业绩好的基金过度代表 C ✓ 做空交易不是导致指数上偏的原因
Q9.
With respect to hedge funds, all of the following are correct except:
A. hedge funds aim at high returns.
B. hedge funds have many investment restrictions.
C. hedge funds are aggressively managed.
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答案：B
解析：对冲基金的特点之一是投资限制较少（fewer investment restrictions），而非很多限制。对冲基金可以使用杠杆、卖空、衍生品等多种工具，灵活性很高。
选项 判断 解析 A ✗ 正确，对冲基金追求高回报 B ✓ 错误，对冲基金投资限制少，灵活性高 C ✗ 正确，对冲基金采用积极的管理策略
Q10.
Both of private equity funds and hedge funds are characterized by:
A. partnerships structure.
B. being unrestricted on redemptions.
C. charging management fees based on assets under management.
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答案：A
解析：PE基金和对冲基金都采用合伙企业结构（LP/GP结构）。两者在赎回方面都有限制（不是无限制），且管理费计算基础不同（对冲基金基于AUM，PE基金基于committed capital）。
选项 判断 解析 A ✓ 两者都采用合伙企业结构 B ✗ 两者都有赎回限制 C ✗ PE基金管理费基于committed capital，非AUM
Q11.
The benefits of a master feeder structure do not include:
A. It allows investors in taxable jurisdictions to invest in an offshore hedge fund without any tax liability.
B. Pooling funds from offshore and onshore funds creates economies of scale.
C. Many regional regulatory requirements can be avoided by such a structure.
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答案：A
解析：Master-feeder结构并不能让应税地区的投资者完全免除税务责任。投资者仍需在其所在地区缴纳税款。B（规模经济）和C（规避部分地区监管要求）是master-feeder结构的实际好处。
选项 判断 解析 A ✓ 错误，不能完全免除税务责任 B ✗ 正确，汇集资金可产生规模经济 C ✗ 正确，可以规避部分地区监管要求
Q12.
Which of the following statements about SMAs is least accurate?
A. SMAs are usually used by high-net-worth investors with specific investment mandates because they are highly customizable.
B. SMAs provide less transparency but charge simpler fee structures compared to other fund structures.
C. The potential for conflicts of interest exists for SMAs since managers are not personally invested in the funds and the regulation requirements are light.
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答案：B
解析：SMAs（独立管理账户）实际上提供更高的透明度（not less），因为投资者直接拥有账户中的资产。A和C都是对SMAs的准确描述。
选项 判断 解析 A ✗ 正确，SMAs适合高净值投资者，高度可定制 B ✓ 错误，SMAs提供更高的透明度，不是更低 C ✗ 正确，SMAs存在利益冲突风险
Q13.
Relative to a single hedge fund, a fund of funds is least likely to be characterized by:
A. accessible to smaller investors.
B. expertise in conducting due diligence.
C. lower fees.
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答案：C
解析：Fund of funds（FoF）的费用更高而非更低，因为存在双重收费（底层基金费用+FoF层级费用）。FoF对小投资者更易进入且具备尽职调查专业能力。
选项 判断 解析 A ✗ 正确，FoF降低了投资门槛 B ✗ 正确，FoF具备专业的尽职调查能力 C ✓ 错误，FoF费用更高（双重收费）
Q14.
Jason is an investor who focuses on alternative investments. Compared with a single hedge fund, he shows more interest in a fund of funds. This is because:
A. a single hedge fund has a more complex fee structure.
B. a single hedge fund has better redemption terms.
C. a fund of funds has expertise in conducting due diligence.
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答案：C
解析：FoF的主要优势之一是具备进行尽职调查的专业能力，帮助投资者选择优质的底层基金。单一对冲基金的费用结构并不比FoF更复杂，且赎回条款也不一定更好。
选项 判断 解析 A ✗ FoF的费用结构更复杂（双层费用） B ✗ 单一基金不一定有更好的赎回条款 C ✓ FoF的尽职调查专业能力是其核心优势
Q15.
The issue that the actual performance is overstated when a new hedge fund is included in a given index is called:
A. Survivorship bias.
B. Backfill bias.
C. Selection bias.
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答案：B
解析：Backfill bias（回填偏差）是指当新基金被纳入指数时，其过去的良好业绩被回填到指数中，导致指数历史业绩被高估。Survivorship bias是表现差的基金退出后不再被统计。
选项 判断 解析 A ✗ 生存者偏差是差基金被清算后从指数中删除 B ✓ 回填偏差是新基金纳入时历史好业绩被回填 C ✗ 选择偏差不是标准术语
Q16.
An investor wants to invest in a diversified hedge fund that minimizes the return correlation with the traditional asset classes but would prefer the fund to be more liquid and transparent while minimizing the leverage obtained by borrowing or shorting. What would be the most appropriate hedge fund the investor can choose?
A. Fundamental value
B. Managed futures
C. Multi-strategy
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答案：B
解析：Managed futures（管理期货）基金具有与传统资产低相关性、较高的流动性和透明度，且通过期货合约获得杠杆（不需要借款或卖空）。这完全符合投资者的要求。
选项 判断 解析 A ✗ 基本面价值基金与传统资产相关性较高 B ✓ 管理期货基金满足低相关、高流动性、高透明度、不借款不卖空的要求 C ✗ 多策略基金可能使用杠杆和卖空