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FRM二级练习题：风险管理与投资管理（11）

来源：高顿网校 2015-11-05

　　Samantha Moore manages a hedge fund for a mid-sized money management firm.The fund frequently changes styles according to identified profit opportunities. At the beginning of the year ,the fund took a long position in 10-year subordinated 8% coupon debt issued by a firm expected to undergo reorganization under Chapter 11. Moore felt that analysts had been paying too 1ittle attention to the issuer. Six months later, the fund completed a second transaction involving a long position in Swiss Francs and a short position in Japanese Yen based on forecasted movements in interest rates in the two countries. What two hedge fund strategies are most likely being employed by Moore's hedge funds?

　　A. Distressed securities strategy and equity longlshort strategy.

　　B. Fixed-income arbitrage and global macro strategy.

　　C. Distressed securities strategy and global macro strategy.

　　D. Fixed-income arbitrage and equity long/short strategy.

　　Answer:C

　　In a distressed securities strategy，the manager takes a long position in the tinancial securities of a tinancially troubled company, holding the securities through the restructuring or bankruptcy process to capture value that is unrecognized by the market. The manager may also utilize short positions, but this is not a necessary element ofthe strategy. Global macro strategies take long and short positions in tinancial instruments (such as currencies, interest rates, debt, equities, and commodities) based on expected changes in global capital markets.

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