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Which of the following statements regarding various hedge fund strategies least accurately reflects a source of return for the strategy? A. Equity long/short strategies earn returns from their exposure to systematic risk factors related to value and small-cap stocks. B. Volatility arbitrage strategies earn returns from mispricings on fixed-income options resulting in accurate implied volatility estimates. C. Event-driven strategies earn returns from their exposure to unsystematic risk factors such as an expected merger or the expected outcome of a lawsuit. D. Regulation D strategies earn returns from their exposure to unsystematic risk factors related to credit and liquidity risk resulting from private placement. |