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sherry_lee · 2021年04月25日

能不能解释下两个statement？

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000108

问题如下：

Which of Frey’s statements about securities lending and covered call writing is correct?

选项：

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释：

B is correct. Writing covered calls also generates additional income for an equity portfolio, but doing so limits the upside from share price appreciation of the underlying shares. Therefore, Statement 2 is correct.

A is incorrect because dividends on loaned stock are "manufactured" by the stock borrower for the stock lender—that is, the stock borrower ensures that the stock lender is compensated for any dividends that the lender would have received had the stock not been loaned. Therefore, Statement 1 is incorrect. Frey is incorrect in stating that the funds would miss out on dividend income on lent securities.

​能不能解释下两个statement？谢谢！

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1 个答案

maggie_品职助教 · 2021年04月26日

嗨，努力学习的PZer你好：


三级权益是站在基金经理的角度，他们是股票的长期持有者。这个知识点就是在介绍基金经理如何在长期持有股票期间还能赚点income(Income in an equity portfolio)，如何赚取期间收益教材一共介绍了4种方法，这道小题涉及其中的两种。

Statement 1： 基金经理可以通过融券（securities lending）来获得额外收益，但是这个策略会使得基金经理错失获得股利收益的机会。这个说法不对，fund并不会错过股利，因为卖空方（borrower）会向基金(lender)支付等额的红利。简单来说是这样的：A 把股票借给B，然后股票被B卖掉了，比如卖给C，那么C接下来会获得股利。只不过A作为出借方，不应该因为借出股票而损失股利，所以B需要把等额的红利还给A。

Statement2： 基金经理可以通过writing a covered call来赚取期权费，但是如果股票大涨的部分基金经理就拿不到了。简单解释下原理：writing a covered call：它等于long stock+short call。对于基金经理来说他们常年持有各种股票，那么就开始琢磨怎么利用long的这些股票再赚点收益，因此出现covered call的策略，打个比方基金经理持有万科的股票，并认为其近期波动不大特别是不会大涨就会卖出万科的期权来赚个期权费。但如果股票大涨，基金经理就要被迫行权，把手中持有的股票卖给对方，那么股票上涨的部分就和基金经理无关了。

由此可见，这个策略虽然可以帮助基金经理获得期间收益但是会改变原组合的风险敞口。原来只是long股票，那么股票上涨即获利，但是卖出期权后，股票上涨的部分就拿不到了。

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