NO.PZ2019122802000016
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 Extreme market volatility can create concerns for Stein’s proposed hedge fund strategy.
选项:
解释:
Convertible arbitrage strategies have performed best when convertible issuance is high (implying a wider choice among convertible securities as well as downward price pressure and cheaper prices), general market volatility levels are moderate, and the liquidity to trade and adjust positions is sufficient. Extreme market volatility typically implies heightened credit risks. Convertibles are naturally less-liquid securities, so convertible managers generally do not fare well during such periods. Because hedge funds have become the natural market makers for convertibles and typically face significant redemption pressures from investors during crises, the strategy may have further unattractive left-tail risk attributes during periods of market stress.
convertible bond arbitrage我们的初衷是想让让本被低估CB回到正常的价值。同时利用债券的凸性。如果波动率极度上升可能会带来一个问题,债券信用风险会上升,投资者会考虑发债人是否有能力还债,毕竟CB本质还是一个债,导致市场情绪波动CB会大跌(虽然整体组合是delta neutral了,但单个CB还是会跌,只是由于做空stock赚回来。)。投资者一看在CB大跌,会着急,纷纷要求赎回,在还没有恢复正常的价值时,HF manager就只能被迫在亏损的时候平仓。所以极度波动对CB并不好。PS:Hedge funds之所以是convertible bond的natural market makers, 是因为CB的投资者呢,相对比较少,如果是普通的债券投资者,是为了债券的收益的话呢,CB因为附加了可转换权会比较贵,那么就直接去买普通的bond就可以了。所以一般都是HF来投资,类似“做市商”提供流动性,这是因为HF实际上投资CB呢,是看重它比较便宜的call option的,所以愿意来投资。都是HF来买,那么HF就是市场的market makers了。
再PS:有同学会问增加波动性为什么会不好,因为option的波动性增加是利好?
这是因为市场波动性只能带给CB里的债的波动导致的价值下降,而option要的不是市场的波动,要的标的物的波动才能带来价值。即市场的是系统性风险,导致bond的价值下降,而option要的是非系统的那部分波动。
“这是因为市场波动性只能带给CB里的债的波动导致的价值下降,而option要的不是市场的波动,要的标的物的波动才能带来价值。即市场的是系统性风险,导致bond的价值下降,而option要的是非系统的那部分波动”
为什么一个是系统性风险,一个是非系统性风险