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