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?