题目
A trader in your firm is convinced that the stock index in country X is perfectly negatively correlated to the S&P 500. In order to profit from this analysis, he has taken a long position on index X and shorted S&P 500 futures. Which of the following is TRUE?
选项
A.This is a riskless trade because the stocks have negative correlation.
B.Apart from the currency risk and cash flow risks on margin calls, this is almost a riskless strategy.
C.This trading strategy has the same risk as shorting the S&P 500. This is not a hedged position.
D.There will be some small residual risk due to the currency conversion. Otherwise, it is a virtually riskless strategy.
答案
C
解析
The long position on negatively correlated index X does not hedge the short S&P 500, but rather the two add to it each other. In order to profit from the negative correlation, one needs to go long on both assets.负相关的指数X的多头头寸不会对冲空头的标准普尔500指数，而是将两者叠加在了一起。 为了从负相关中获利，两个资产都需要做多。