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我们 · 2021年10月24日

请问这个题D怎么理解呢

  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.

请问这个题D怎么理解呢
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1 个答案

李坏_品职助教 · 2021年10月24日

嗨，努力学习的PZer你好：


D说的意思是做空的基金把自己当前没有的股票卖出去（从投行手里借股卖掉），这些做空的仓位与传统的股票多头没有相关性。


做空的仓位应该和做多的仓位是整体上负相关（negative correlated）的，而不是不相关。所以D的叙述是错误的，选D。

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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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