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宇宙球求 · 2024年05月13日

请问选项A怎么理解

NO.PZ2019012201000057

问题如下:

Next, Leeter describes the investment approach of the Kopernicus Fund. Kopernicus makes extensive use of market data to support its primary focus—pairs trading between industry peers. Statistical techniques identify two securities that have been highly correlated with each other in the past. If the price relationship between a pair diverges, Kopernicus expects mean reversion over a few days or weeks and places long–short positions accordingly to take advantage of the divergence.

Which risk management method is the Kopernicus Fund most likely to use to offset the primary risk of its strategy?

选项:

A.

Proper identification of the pairs

B.

Frequent use of stop-loss order rules

C.

Extensive analysis of the limit order book

解释:

The biggest risk in pairs trading is that the observed price divergence is not temporary and could be due to structural reasons. Frequent use of stop-loss rules, which are set to exit trades when a loss limit is reached, addresses this risk.

A is incorrect. Although proper identification of the pairs to be used is critical to the success of this statistical arbitrage strategy, the selection process alone does nothing to address the risk that changes in fundamentals between the companies in the pair may occur, thereby extending (or eliminating) price convergence.

C is incorrect. Using the limit order book to identify pairs pricing anomalies implies a very short time frameas brief as a few millisecondsand focuses on high-frequency trading. Kopernicus lets trades play out for days or weeks; therefore, using the limit order book will not help it.

A is incorrect. Although proper identification of the pairs to be used is critical to the success of this statistical arbitrage strategy, the selection process alone does nothing to address the risk that changes in fundamentals between the companies in the pair may occur, thereby extending (or eliminating) price convergence.“A选项不正确。虽然正确识别要使用的配对对这种统计套利策略的成功至关重要,但选择过程本身并不能解决公司间基本面变化的风险,这种变化可能导致价格趋同的延长(或消失)。” 似乎A有一定道理啊

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笛子_品职助教 · 2024年05月14日

嗨,从没放弃的小努力你好:


Hello,亲爱的同学~

A的做法,在配对交易中,是非常重要的,也是必须的步骤。

但本题的问题,与A无关。

本题问: offset the primary risk

风险如何完全抵消。

风险的消除,只要靠止损,退出市场。

A选项是选择合适的配对,无论怎么选择,终究只是降低风险,降低风险后依然需要承担一些风险。

这不符合题目offset风险的问题。


而且从金融投资流程上来说,一般分为三个步骤。

1)进场

2)离场

3)风控:也就是止损。


本题的offset risk,问的是3),风控。并不是1)如何进场。


----------------------------------------------
努力的时光都是限量版,加油!

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