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lxwfj9 · 2023年12月17日

买了protection不是可以overweight吗？

  1. CFA III
  2. Fixed Income

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：

A.

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

B.

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

C.

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.

买了protection不是可以overweight吗？

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2 个答案

pzqa015 · 2024年01月03日

嗨，努力学习的PZer你好：


 这道题考察的是主动管理策略，题目说underweight the financial sector versus an index，那么有两个标的，一个是宽泛的的Index，一个是finincial sector，要underweight financial sector，overweight index。买CDS降低风险敞口，属于underweight的方式，卖CDS增加风险敞口，属于overweight的方式，所以，这道题应该是买financial sector的CDS，卖index的CDS

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努力的时光都是限量版，加油！

pzqa015 · 2023年12月17日

嗨，爱思考的PZer你好：


不可以

overweight是要承担风险的，只能是sell propection。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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