Chang is discussing Fund A with First Ocean’s Investment Committee and makes the following observations about its role in the portfolio:
Observation 1
Fund A has a dedicated short bias, which helps offset beta exposure from the long–short managers in the fund.
Observation 2
The sensitivity to volatility is indicative of selling puts against some of its short positions.
Observation 3
The manager has demonstrated the ability to hold long positions in deep out-of-the-money puts during periods of market stress.
Which of Chang’s observations about Fund A is most likely accurate?
1. Observation 1
2. Observation 2
C. Observation 3
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.
请问这道题要怎么做呢？怎么看出来有没有put option ? 还看的出来put 是不是OTM? 是卖还是买PUT？
