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moon · 2021年05月27日

请问 convertible bond arbitrage策略不是在市场波动moderate时表现好吗？

  1. CFA III
  2. Alternative

NO.PZ2019122802000015

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 Time decay of call option can create concerns for Stein’s proposed hedge fund strategy.

选项：

解释：

The convertible bond arbitrage strategy can lose money due to time decay of the convertible bond’s embedded call option during periods of reduced realized equity volatility and/or due to a general compression of market implied volatility levels.

请问 convertible bond arbitrage策略不是在市场波动moderate时表现好吗？ 为什么这里说波动不大的时候价值下降呢？

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1 个答案

伯恩_品职助教 · 2021年05月27日

嗨，从没放弃的小努力你好：


同学你好，这里你要区分两个概念，一个是市场波动，一个是期权的波动，两个导致的结果完全不同。

市场波动会导致bond的价值下降（这个应该好理解），市场和波动和期权的波动不是一回事，就好比大盘的波动和个股的波动不一样（只是有可能会产生共振，但是仅限于有可能），市场中性，而期权波动大了会增加option的价值。从而增加CB的价值

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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