NO.PZ2019012201000057
问题如下：
Next, Leeter describes the
investment approach of the Kopernicus Fund. Kopernicus makes extensive use of
market data to support its primary focus—pairs trading between industry peers.
Statistical techniques identify two securities that have been highly correlated
with each other in the past. If the price relationship between a pair diverges,
Kopernicus expects mean reversion over a few days or weeks and places
long–short positions accordingly to take advantage of the divergence.
Which risk
management method is the Kopernicus Fund most likely to use to offset
the primary risk of its strategy?
选项：
A.Proper identification of the pairs
Frequent use of stop-loss order rules
Extensive analysis of the limit order book
解释：
The biggest risk in pairs trading is that
the observed price divergence is not temporary and could be due to structural
reasons. Frequent use of stop-loss rules, which are set to exit trades when a
loss limit is reached, addresses this risk.
A is incorrect. Although proper
identification of the pairs to be used is critical to the success of this
statistical arbitrage strategy, the selection process alone does nothing to
address the risk that changes in fundamentals between the companies in the pair
may occur, thereby extending (or eliminating) price convergence.
C is incorrect. Using the limit order book
to identify pairs pricing anomalies implies a very short time frame—as brief as a
few milliseconds—and focuses on
high-frequency trading. Kopernicus lets trades play out for days or weeks;
therefore, using the limit order book will not help it.
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