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我们 · 2021年03月23日

这个题不是很理解

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000017

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.

老师，这个题不是很理解。麻烦能解释一下吗
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1 个答案

袁园_品职助教 · 2021年03月24日

同学你是问D选项为什么错吗？

卖空是靠资产价格下跌来赚钱。而long equity是靠资产价格上升来赚钱。所以两个是相反的关系。

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