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According to Fung and Hsieh, "An important feature that attracts investors to the hedge fund industry is the variety of strategies hedge fund managers deploy and the diversity of assets to which these strategies are applied." Which of the following best summarizes the historical evidence with respect to the ability of hedge funds to provide diversification benefits?

A) With few exceptions, most hedge fund strategies have successfully provided high diversification benefits and low correlation through all recent, major market events

B) Although there has rarely been a problem on the liability (funding) side of the balance sheet, diversification among risk factor exposures on the asset side has rarely been achieved in practice

掃碼參與

C) Managers who successfully diversified their risk factor exposures on the asset side, in turn, guaranteed their diversification on the liability (funding) side and thrived during major market events. 》》》想?yún)⒓尤谲SFRM培訓(xùn)班點(diǎn)我咨詢

D) Most strategies employ leverage and are vulnerable to forced liquidation, a shared problem on the liability side of the balance sheet, and there is no easy and complete solution.

答案：D

解析：Most strategies employ leverage and are vulnerable to forced liquidation, a shared problem on the liability side of the balance sheet, and and there is no easy and complete solution. Fung and Hsieh: "Can funding risk be mitigated in part or in whole? It is now almost four years since the 2008 financial crisis and the impact of global deleveraging is still unfolding with no end in sight. 【資料下載】FRM一級(jí)思維導(dǎo)圖PDF版

The profitability of most hedge fund strategies is driven by effective use of leverage. Therefore the risk of another funding crisis similar in character to what we experienced in the summer of 2008 is something that cannot, and should not, be overlooked. It is also a risk that cannot be easily mitigated by simply spreading one’s capital to different hedge fund strategies. The need to consider hedging a credit-driven tail risk event in a hedge fund portfolio is clear; however, a complete solution to this problem remains beyond our grasp and lies beyond the scope of this chapter."

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