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世纪之龙5 · 2024年03月19日

可以讲讲这几个选项什么意思以及不选的原因吗

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000017

问题如下：

A fund of hedge funds combines a mix of strategy sectors, managers, and styles, and therefore fund of funds risk managers need to understand the common attributes of hedge fund strategies. Which of the following statements is incorrect?

选项：

A.

Equity market neutral funds aim to generate returns that have low correlation to the overall equity market and to insulate their portfolios from broad market risk factors.

B.

Convertible arbitrage funds typically purchase securities that are convertible into the issuer's stock and simultaneously short the underlying stock. These funds earn returns in part from gamma trading on the stock’s volatility.

C.

Merger arbitrage funds buy the stock of an acquisition target company and simultaneously short the bidding company’s stock. These funds have large exposure to deal risk.

D.

Equity short-selling funds sell stocks not currently owned by the seller in order to take a directional bet that the stock price will decline. These funds tend to be uncorrelated with traditional long-only equity portfolios.

解释：

D is correct. Statements a., b., and c. are correct. Funds that short-sell, however, have negative correlation with long-only portfolios. They cannot be uncorrelated.

如题

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pzqa27 · 2024年03月19日

嗨，努力学习的PZer你好：


这个题问哪个陈述不对，那就选个错误的陈述即可。

D说的意思是做空的基金把自己当前没有的股票卖出去（从投行手里借股卖掉），这些做空的仓位与传统的股票多头没有相关性。做空的仓位应该和做多的仓位是整体上负相关（negative correlated）的，而不是不相关。所以D的叙述是错误的，选D。

ABC都是对的

A说的是股票市场中性基金旨在产生与整体股票市场相关性较低的回报，并使其投资组合不受广泛市场风险因素的影响。

B说的是可转换套利基金通常购买可转换为发行人股票的证券，同时做空相关股票。这些基金部分收益来自股票波动的gamma交易。

C说的是并购套利基金买入收购目标公司的股票，同时做空出价公司的股票。这些基金面临较大的交易风险。

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世纪之龙5 · 2024年03月20日

ab不是很理解原因

pzqa27 · 2024年03月20日

嗨，努力学习的PZer你好：


A选项中Equity market neutral 是把β对冲到0，所以不受市场风险因素的影响。

B说的是有关gamma交易的内容，详情可以参考对冲基金交易策略这部分的视频。

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