NO.PZ2022062601000025
问题如下：
Investor John evaluated the U-fund, which is a convertible bond strategy. In order to gain a more accurate understanding of fund investment styles, John studied various trading examples used by U fund managers to generate alpha. Exhibit 1 provides data on recent transactions in which managers have been involved.
Exhibit 1
U-Fund Convertible Bond Arbitrage Position
Based on the data in Exhibit 1, what strategy is the most likely to be implemented by the portfolio manager of Fund U?
选项：
A.Taking advantage of option mispricing
Profiting from extreme market volatility
Going long a put on the equity net of hedging
解释：
A is correct. In order to obtain and extract relatively cheap embedded options in convertible securities, the manager hedged other risks embedded in convertible securities. These risks include interest rate risk, credit risk, and market risk. These risks can be hedged through a combination of interest rate derivatives, credit default swaps, and short selling the appropriate Delta adjusted amount of the underlying stock, or by purchasing put options.
B is incorrect because convertible arbitrage strategies perform best in moderate volatility. Heightened volatility would suggest a period of illiquidity and widening credit spreads.
C is incorrect because purchasing convertible bonds and Delta hedging positions do not equate to long put positions.
知识点考察：Convertible Bond Arbitrage。
首先看到表格中红框的这几项，联想到Convertible Bond Arbitrage，long CB short stock，同时使用杠杆。然后表格中剩下的没有红框的内容是是针对convertible arbitrage strategy中的convertible security的interest rate risk, credit risk of the corporate issuer, and market
risk进行对冲，相应的对冲工具也是表格中的内容interest rate derivatives, credit default swaps, and short sales of
an appropriate delta-adjusted amount of the underlying stock or, alternatively,
the purchase of put options。
所以判断是Convertible Bond Arbitrage。然后这个策略实际就是利用Convertible Bond由于新发行时交易量小，债券的复杂性导致其内嵌的option波动低，因此其交易价格低于其自身价值，也就是被低估，所以做多Convertible Bond。这正是选项A的Taking advantage of option mispricing。所以选择A。
如果是一般的Convertible Bond Arbitrage的头寸，long 可转债+short stock，在这种情况下，【 Heightened volatility would suggest a period of illiquidity and widening credit spreads】，但是在这个case里面，组合还另外long CDS 和long put，一方面把credit risk hedge掉了，另一方面，还相当于另外做多了波动率，所以Profiting from extreme market volatility
想请教一下老师，这个理解的问题在哪里？谢谢老师
