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金融民工阿聪 · 2021年04月03日

A把系统性风险隔离开了，怎么赚钱呢？

  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.

我看讲义上结论写着：“conclude that there is no single common risk factor that drives the return behavior”。那这连去承担特定的risk factor都做不到了啊，怎么赚钱

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小刘_品职助教 · 2021年04月05日

同学你好，

可以靠承担非系统性风险挣钱呀，比如hedge fund可以long一个公司，short一个公司，假设系统性风险能够被完全对冲，如果long的公司表现相对于short公司表现好，尽管市场下跌，hedge fund还是可以挣到钱的。

讲义的结论是不去承担市场风险，不代表不承担任何风险。

小刘_品职助教 · 2021年04月08日

同学你好，

不好意思，没理解您的问题～首先翻译一下这句话，因此，我们得出结论，不存在单一的共同风险因素来驱动股票市场中性基金的收益行为。

是指市场中性的基金策略都不一样，不存在单一的共同风险（这句话可以理解为是承担了个股的风险，所以不存在共同的风险因素）

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