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轩羊羊 · 2023年01月30日

这题整体不理解

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NO.PZ202206260100000302

问题如下:

Which of Chang’s observations about Fund A is most likely accurate?

选项:

A.Observation 1 B.Observation 2 C.Observation 3

解释:

Solution

C is correct. For Fund A, adding deep out-of-the-money puts during periods of market stress would explain why the correlation with equity markets is relatively neutral in normal markets but is significantly negative during periods of crisis. It also is supported by a large increase in positive correlation with volatility during periods of crisis.

A is incorrect. Fund A does not likely have a dedicated short bias strategy because the sensitivity to equity markets is essentially zero except for during times of crisis.

B is incorrect. Fund A has a positive exposure to volatility through the VIX, especially during periods of market stress. This is not indicative of a manager selling puts against short positions.

都是什么意思,谢谢

1 个答案

伯恩_品职助教 · 2023年01月30日

嗨,努力学习的PZer你好:


A选项,dedicated short bias是指完全做空,那么其和标普500的系数值应该是负的。虽然normal的时候是是负的,但是-0.02,变化基本等于没有,所以与其说是dedicated short bias感觉更想EMN。所以A不对。

B选项。说是卖出期权。期权和波动率是正比,这时如果卖出期权,那么就是和波动是反比。crisis时期是高波动的,那么应该系数是小的,但是CRISIS的时候VIX的波动是增加的。所以不对。

C选项,其描述简单是说持有PUT,也就是option,还是和B解题思路一样。PUT是option,与波动成正比,CRISIS的时候是高波动,所以这个时候应该系数是增加的。而表格的VIX的crisis比normal高(0.46>0.14),所以证明C是对的

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