NO.PZ2024020101000018
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.B is incorrect because the volatility seller is the provider of insurance during crises, not the beneficiary of it.
题目中描述到想要在下跌的市场行情中仍然保持一个高的sharp ratio，购买长期的OTM options on VIX index futures，相当于一个买保险的作用，尤其是在市场下跌的行情中。
RT
