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506623496 · 2024年01月16日

C选项理解

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?

3 个答案
已采纳答案

伯恩_品职助教 · 2024年01月20日

嗨,努力学习的PZer你好:


equity上涨的时候,VIX index futures.波动率是下降?——是的,

能具体解释一下VIX index futures的性质吗——同学你好,我不太明白,你说的这个性质是什么,VIX就是波动率的期货,当股市的风险增加的时候,波动就会增加,VIX就会上涨。反之,股市上涨的,大家的情绪平稳,波动减少,VIX下降

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加油吧,让我们一起遇见更好的自己!

伯恩_品职助教 · 2024年01月17日

嗨,爱思考的PZer你好:


有点不太理解,权益上涨时波动率不增加吗?——equity上涨的时候,波动率是下降的,它们之间的走势刚好相反

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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!

伯恩_品职助教 · 2024年01月16日

嗨,努力学习的PZer你好:


是的,就是同学你理解的意思,当equity下跌,波动率就会增加,那么这个时候买入VIX就会赚钱盈利,进而提高了夏普比率

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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!

506623496 · 2024年01月16日

有点不太理解,权益上涨时波动率不增加吗?

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2024-08-06 12:58 1 · 回答

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2024-01-02 10:27 1 · 回答