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Captain America · 2024年03月29日

请问B选项哪里错了?

* 问题详情,请 查看题干

NO.PZ202401170100001006

问题如下:

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.

请问B选项哪里错了?

1 个答案

pzqa35 · 2024年04月01日

嗨,从没放弃的小努力你好:


这道题目的要求就是在市场下跌时仍然保持高的sharp ratio,这道题有一个隐含的推理就是市场下跌的时候,波动率会变大,所以就是要long volatility 的策略才能在市场下跌的时候仍然可以获利。那么B选项说的是short volatility从而赚取一个premium,这个刚好是一个相反的操作,所以是不选的哈。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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