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.
老师这道题对于B选项，long convertible bond ，short stock 赚取的是gamma收益。我有一点点疑问就是convertible bond 不是相当于long pure bond +call on stock，在加上short stock ，long bond +short stock 这可以获取债券的凸性的收益，那不还有个call option的收益嘛来自于股票的收益率的volatility。我感觉是不是B选项表述不够完整啊。
D选项short sell 头寸当中说和传统的头寸相关性低，这怎么理解啊？
