NO.PZ2023010407000016
问题如下:
Mukilteo also plans to recommend a specialist hedge fund strategy that would allow PWPF to maintain a high Sharpe ratio even during a financial crisis when equity markets fall.
The specialist
hedge fund strategy that Mukilteo plans to recommend is most likely:
选项:
A.
cross-asset volatility trading between the US and
Japanese markets.
B.
selling equity volatility and collecting the
volatility risk premium.
C.
buying longer-dated out-of-the-money options on VIX
index futures.
解释:
C is correct.
Mukilteo needs to recommend a specialist hedge fund strategy that can help PWPF
maintain a high Sharpe ratio even in a crisis when equity markets fall. Buying
longer-dated out-of-the-money options on VIX index futures is a long equity
volatility position that works as a protective hedge, particularly in an equity
market crisis when volatility spikes and equity prices fall. A long volatility
strategy is a useful potential diversifier for long equity investments (albeit
at the cost of the option premium paid by the volatility buyer). Because equity
volatility is approximately 80% negatively correlated with equity market returns,
a long position in equity volatility can substantially reduce the portfolio’s
standard deviation, which would serve to increase its Sharpe ratio.
Longer-dated options will have more absolute exposure to volatility levels
(i.e., vega exposure) than shorter-dated options, and out-of-the-money options
will typically trade at higher implied volatility levels than at-the-money
options.
A is incorrect
because cross-asset volatility trading, a type of relative value volatility
trading, may often involve idiosyncratic, macro-oriented risks that may have
adverse effects during an equity market crisis.
B is incorrect
because the volatility seller is the provider of insurance during crises, not
the beneficiary of it. Selling volatility provides a volatility risk premium or
compensation for taking on the risk of providing insurance against crises for
holders of equities and other securities. On the short side, option premium
sellers generally extract steadier returns in normal market environments.
能否详细解释一下C正确的原因,是因为有权益收益率和波动性负相关这个结论吗?