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猫肉球 · 2022年07月31日

选项b

NO.PZ2016071602000017

问题如下:

A fund of hedge funds combines a mix of strategy sectors, managers, and styles, and therefore fund of funds risk managers need to understand the common attributes of hedge fund strategies. Which of the following statements is incorrect?

选项:

A.

Equity market neutral funds aim to generate returns that have low correlation to the overall equity market and to insulate their portfolios from broad market risk factors.

B.

Convertible arbitrage funds typically purchase securities that are convertible into the issuer's stock and simultaneously short the underlying stock. These funds earn returns in part from gamma trading on the stock’s volatility.

C.

Merger arbitrage funds buy the stock of an acquisition target company and simultaneously short the bidding company’s stock. These funds have large exposure to deal risk.

D.

Equity short-selling funds sell stocks not currently owned by the seller in order to take a directional bet that the stock price will decline. These funds tend to be uncorrelated with traditional long-only equity portfolios.

解释:

D is correct. Statements a., b., and c. are correct. Funds that short-sell, however, have negative correlation with long-only portfolios. They cannot be uncorrelated.

我理解,等额hedge掉delta(买cb卖stock)’所以他是个gamma trade对吗?

1 个答案

李坏_品职助教 · 2022年07月31日

嗨,从没放弃的小努力你好:


A说的是股票市场中性基金往往倾向于投资那些和大盘指数相关性较低的股票,这样可以不受大盘波动的影响。正确。

B说的是可转债基金会购买可转债,同时做空标的公司的股票。就算股票跌了,可转债的债券属性会使得可转债下跌少于股票,所以是做了gamma trading。

C说的是并购套利,这种交易需要买入被购买方的股票同时做空购买方的股票,风险在于如果并购失败,那会亏钱。

D里面说的是做空交易,这种交易是从投行手里借入自己本没有的股票,卖出去。期望等股价跌下去之后再买回来还券。做空的收益和普通的多头股票收益是负相关性的,并不是不相关。所以D错误。

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