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陈Shelly · 2020年11月02日

问一道题：NO.PZ2019122802000013 [ CFA III ]

  1. CFA III
  2. Alternative

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.

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.

老师您好，可转债这个地方，一提到arbitrage和implementation就是指long convertible bond同时short stock吗？ 我看题目里都假设了short了stock

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mino酱是个小破货 · 2021年03月15日

是的，债券convex而股票straight买convex卖straight

1 个答案

韩韩_品职助教 · 2020年11月02日

嗨，从没放弃的小努力你好：


是的同学，我们这个策略的构建就是long convertible bond, short equity。课程上面讲了三种方法让大家来记住这个策略的头寸。可以再回顾一下基础班或者强化班的视频。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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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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NO.PZ2019122802000013 如题。

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NO.PZ2019122802000013 Convertible bonarbitrage nee thbonprices changes anoption’s prices changes have the same rection. If there is a fferent changing trenng between bonprianoption price, the portfolio manager woulsufferefrom a big losses.

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