这道题彻彻底底的看不懂，什么是subindex？又该如何构建long-short策略？

NO.PZ2021120102000025

问题如下：

Which of the following credit portfolio positioning strategies is the most appropriate to underweight the financial sector versus an index?

选项：

Purchase protection on the CDX and sell protection on the CDX Financials subindex.

Sell protection on the CDX and purchase protection on the CDX Financials subindex.

Purchase a payer option on the CDX and sell protection on the CDX Financials subindex.

解释：

B is correct. Selling protection on the CDX index is a “long” credit spread risk position, while purchasing protection on the CDX Financials subindex is a “short” credit spread risk position, leaving the investor with a long index position without exposure to financial reference entities in the CDX index. Both A and C increase exposure to financial sector issuers.

看不懂题，是哪块知识点漏了吗？

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pzqa31 · 2023年12月13日

嗨，努力学习的PZer你好：

这道题的CDX和financial subindex是两个不同的CDS指数产品，对应不同的敞口，前者对应的是大盘（index），后者对应的是financial sector。

这道题是说要降低financial 的敞口，所以要buy protection on the CDX financials subindex。

把CDX相关讲义贴在下面，同学可以参考

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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这道题彻彻底底的看不懂，什么是subindex？又该如何构建long-short策略？

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