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Ruthlessbaby · 2020年02月27日

问一道题:NO.PZ2019122802000013

问题如下:

Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds, Stein proposes to increase the foundation’s exposure to relative value hedge fund strategies. As part of Stein’s due diligence on a hedge fund engaging in convertible bond arbitrage, Stein asks his investment analyst to summarize different risks associated with the strategy.

Describe how Short selling can create concerns for Stein’s proposed hedge fund strategy.

选项:

解释:

Since Hedge Fund 1 employs a convertible arbitrage strategy, the fund buys the convertible bond and takes a short position in the underlying security. When short selling, shares must be located and borrowed; as a result, the stock owner may want his/her shares returned at a potentially inopportune time, such as during stock price run-ups or when supply for the stock is low or demand for the stock is high. This situation, particularly a short squeeze, can lead to substantial losses and a suddenly unbalanced exposure if borrowing the underlying equity shares becomes too difficult or too costly for the arbitrageur.

股价只涨到9块钱就会造成挤兑情况下HF损失,若股价涨到执行价格以上,就不用担心HF损失吗?如股价涨到15块钱,可转债赚到15-10=5块钱,此时再从市场15块钱买入股票平卖空的头寸,此时8-15=-7,还是亏呀,那什么市场convertable +short selling 才会赚钱呢?是不是这个做法根本就不赚钱?

1 个答案

星星_品职助教 · 2020年02月27日

同学你好,

bond是有convexity性质的,如果涨的话,可转债涨的比股票多。也就是bond上涨部分要超过short equity的下跌部分。所以只要这个策略维持下去,就会赚钱(不考虑信用风险等)。

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NO.PZ2019122802000013 问题如下 Yankel Stein is the chief investment officer of a large charitable fountion basein the UniteStates. Although the fountion hsignificant exposure to alternative investments anhee fun, Stein proposes to increase the fountion’s exposure to relative value hee funstrategies. part of Stein’s e ligenon a hee funengaging in convertible bonarbitrage, Stein asks his investment analyst to summarize fferent risks associatewith the strategy.scrihow Short selling ccreate concerns for Stein’s proposehee funstrategy. SinHee Fun1 employs a convertible arbitrage strategy, the funbuys the convertible bonantakes a short position in the unrlying security. When short selling, shares must locateanborrowe a result, the stoowner mwant his/her shares returnea potentially inopportune time, suring stoprirun-ups or when supply for the stois low or manfor the stois high. This situation, particularly a short squeeze, cleto substantilosses ana suenly unbalanceexposure if borrowing the unrlying equity shares becomes too fficult or too costly for the arbitrageur.股票所有者可能希望他/她的股票在可能不合时宜的时间归还,这可能会导致空头挤压,如果借入基础股票变得太困难或对套利者来说成本太高,则可能导致重大损失和突然不平衡的风险敞口。 如题

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