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?