133****6248
2024-08-03 12:19請詳細解釋，完全沒懂
所屬：FRM Part II > Risk Management and Investment Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Michael助教
2024-08-04 22:33
該回答已被題主采納
同學你好，以下是每一個選項的解釋。
Equity market neutral funds aim to generate returns that have low correlation with the overall equity market and to insulate their portfolios from broad market risk factors.
市場中性策略的核心就是和市場無關，或者beta等于0.
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 form gamma trading on the stock’s volatility.
可轉債策略的核心是買入可轉債之后將可轉債中的股票的敞口和債券的敞口對對沖掉，這樣就主要剩下gamma了。
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.
兼并收購策略的主要風險是賭錯方向，也就是收購沒成功，這個教deal risk。
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.
這個選項主要錯在最后的與long only equity fund無關，應該是完全相反。
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