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410140980 · 2023年07月11日

hedge fund的策略

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.

老师这道题对于B选项,long convertible bond ,short stock 赚取的是gamma收益。我有一点点疑问就是convertible bond 不是相当于long pure bond +call on stock,在加上short stock ,long bond +short stock 这可以获取债券的凸性的收益,那不还有个call option的收益嘛来自于股票的收益率的volatility。我感觉是不是B选项表述不够完整啊。

D选项short sell 头寸当中说和传统的头寸相关性低,这怎么理解啊?

1 个答案

李坏_品职助教 · 2023年07月11日

嗨,从没放弃的小努力你好:


long convertible bond + short stock,这样就把call option的delta利用short stock给对冲掉了,只剩下long call option带来的gamma以及债券的收益。

B选项翻译过来的意思是:可转债套利一般是做多可转债的同时做空股票,收益有一部分(in part from)来自于股票波动带来的gamma。这个叙述是对的。至于你说的债券的凸性,那也是收益的另一部分,和B选项的叙述并不矛盾。


D选项是错误的叙述。D选项的意思是:做空股票的基金收益和传统的只做多的投资组合不相关,这是错误的。做空股票的收益和做多股票应该是负相关,而不是“不相关”。这道题让我们选出哪一项是错误的叙述,所以选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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