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.
看过前面的答疑,关于选项B,还是有些疑问。如前面同学和老师所说,利润应该来自于convertible Bond 的凸性;而gamma就是convertible bond所含的option里的凸性的反映。
疑问在于,选项B中提及套利利润来源于gamma trading on the stocks,并不是convertible bond中的option啊。能给再详细解释一下么。
另外,short on the stocks,而stocks如李老师在课上所说,是直线的啊。为什么说gamma trading on the stocks。谢谢