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kazaya · 2023年12月17日

convertible bond strategy何时获利了结?

  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.

由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。

大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。

随着时间流逝convertible bond价值不断降低, 而老师上课也说convertible bond arbitrage最后不会执行转股, 那这整个头寸最后怎么获利了结哪?又是在什么时间点?

是到期前,整个头寸反向平仓吗?

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1 个答案

伯恩_品职助教 · 2023年12月18日

嗨，努力学习的PZer你好：


随着时间流逝convertible bond价值不断降低, 而老师上课也说convertible bond arbitrage最后不会执行转股, 那这整个头寸最后怎么获利了结哪?又是在什么时间点?

是到期前,整个头寸反向平仓吗?——是的，因为在到期前期权还有时间价值，如果转换了时间价值就没了，而且还有bond的价值这些都没有了。所以选择平仓是最好的选择，当然主要价值是内在价值。时间点主要是在恢复其内在价值的时候，因为买入的时候就是看中其低估，没有反应出内在真实价值，持有一段时间后等恢复真实价值的时候进行平仓获利了结

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