老师请教一下，选项B中我理解利润应该来自于convertible Bond 的凸性，不知对不对，请指教。

NO.PZ2016071602000017 问题如下 A funof hee fun combines a mix of strategy sectors, managers, anstyles, antherefore funof fun risk managers neeto unrstanthe common attributes of hee funstrategies. Whiof the following statements is incorrect? A.Equity market neutrfun aim to generate returns thhave low correlation to the overall equity market anto insulate their portfolios from bromarket risk factors. B.Convertible arbitrage fun typically purchase securities thare convertible into the issuer's stoansimultaneously short the unrlying stock. These fun earn returns in part from gamma trang on the stock’s volatility. C.Merger arbitrage fun buy the stoof acquisition target company ansimultaneously short the biing company’s stock. These fun have large exposure to risk. Equity short-selling fun sell stocks not currently ownethe seller in orr to take a rectionbet ththe stopriwill cline. These fun tento uncorrelatewith trationlong-only equity portfolios. is correct. Statements a., b., anare correct. Fun thshort-sell, however, have negative correlation with long-only portfolios. They cannot uncorrelate 如题

NO.PZ2016071602000017 问题如下 A funof hee fun combines a mix of strategy sectors, managers, anstyles, antherefore funof fun risk managers neeto unrstanthe common attributes of hee funstrategies. Whiof the following statements is incorrect? A.Equity market neutrfun aim to generate returns thhave low correlation to the overall equity market anto insulate their portfolios from bromarket risk factors. B.Convertible arbitrage fun typically purchase securities thare convertible into the issuer's stoansimultaneously short the unrlying stock. These fun earn returns in part from gamma trang on the stock’s volatility. C.Merger arbitrage fun buy the stoof acquisition target company ansimultaneously short the biing company’s stock. These fun have large exposure to risk. Equity short-selling fun sell stocks not currently ownethe seller in orr to take a rectionbet ththe stopriwill cline. These fun tento uncorrelatewith trationlong-only equity portfolios. is correct. Statements a., b., anare correct. Fun thshort-sell, however, have negative correlation with long-only portfolios. They cannot uncorrelate 老师这道题对于B，long convertible bon，short sto赚取的是gamma收益。我有一点点疑问就是convertible bon不是相当于long pure bon+call on stock，在加上short sto，long bon+short sto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表述不够完整啊。hort sell 头寸当中说和传统的头寸相关性低，这怎么理解啊？

NO.PZ2016071602000017问题如下A funof hee fun combines a mix of strategy sectors, managers, anstyles, antherefore funof fun risk managers neeto unrstanthe common attributes of hee funstrategies. Whiof the following statements is incorrect?A.Equity market neutrfun aim to generate returns thhave low correlation to the overall equity market anto insulate their portfolios from bromarket risk factors.B.Convertible arbitrage fun typically purchase securities thare convertible into the issuer's stoansimultaneously short the unrlying stock. These fun earn returns in part from gamma trang on the stock’s volatility.C.Merger arbitrage fun buy the stoof acquisition target company ansimultaneously short the biing company’s stock. These fun have large exposure to risk.Equity short-selling fun sell stocks not currently ownethe seller in orr to take a rectionbet ththe stopriwill cline. These fun tento uncorrelatewith trationlong-only equity portfolios.is correct. Statements a., b., anare correct. Fun thshort-sell, however, have negative correlation with long-only portfolios. They cannot uncorrelate我理解,等额hee掉lta（买cb卖stock）’所以他是个gamma tra对吗？

NO.PZ2016071602000017 Convertible arbitrage fun typically purchase securities thare convertible into the issuer's stoansimultaneously short the unrlying stock. These fun earn returns in part from gamma trang on the stock’s volatility. Merger arbitrage fun buy the stoof acquisition target company ansimultaneously short the biing company’s stock. These fun have large exposure to risk. Equity short-selling fun sell stocks not currently ownethe seller in orr to take a rectionbet ththe stopriwill cline. These fun tento uncorrelatewith trationlong-only equity portfolios. is correct. Statements a., b., anare correct. Fun thshort-sell, however, have negative correlation with long-only portfolios. They cannot uncorrelate请问这个题么理解呢

NO.PZ2016071602000017 我看讲义上结论写着“conclu ththere is no single common risk factor thives the return behavior”。那这连去承担特定的risk factor都做不到了啊，怎么赚钱