2020 CFA L3 原版书 另类投资 组合管理课后习题.pdfVIP

Practice Problems 81 PRACTICE PROBLEMS 1 Bern Zang is the chief investment officer of the Janson University Endowment Investment Office. The Janson University Endowment Fund (the “Fund”) is based in the United States and has current assets under management of $10 bil- lion, with minimal exposure to alternative investments. Zang currently seeks to increase the Fund’s allocation to hedge funds and considers four strategies: dedicated short bias, merger arbitrage, convertible bond arbitrage, and global macro. At a meeting with the Fund’s board of directors, the board mandates Zang to invest only in event-driven and relative value hedge fund strategies. Determine, among the four strategies under consideration by Zang, the two that are permitted given the board’s mandate. Justify your response. i. Dedicated short bias ii. Merger arbitrage iii. Convertible bond arbitrage iv. Global macro Determine, among the four strategies under consideration by Zang, the two that are permitted given the board’s mandate. (circle two) Justify your response. Dedicated short bias Merger arbitrage Convertible bond arbitrage Global macro strategies The following information relates to Questions 2 and 3 Jane Shaindy is the chief investment officer of a large pension fund. The pension fund is based in the United States and currently has minimal exposure to hedge funds. The pension fund’s board has recently approved an additional investment in a long/short equity strategy. As part of Shaindy’s due diligence on a hedge fund that implements a long/short equity strategy, she uses a conditional linear factor model to uncover and analyze the hedge fund’s risk exposures. She is interested in analyzing several risk factors,