S-notes book1 page47 No.6

Over the past two days, Lorraine Quigley, CFA, manager of a hedge fund, has been purchasing large quantities of Craeger Industrial Products' common stock while at the same time shorting put optionings on the same stock. Quigley did not notify her clients of the trades although they are aware of the fund's general strategy to generate returns. Which of the following statements is TRUE? Quigley:

A. did not violate the Code and Standards.

B. violated the Code and Standards by manipulating the prices of publicly traded securities.

C. violated the Code and Standards by failing to disclose the transactions to clients before they occured.

D. violated the Code and Standards by failing to establish a reasonable a reasonable and adequate basis before making the trades.

answer: A

Quigley's trades are most likely an attempt to take advantage of an arbitrage opportunity that exists between Craeger's common stock and its put options. She is not manipulatin the prices of securtities in an attempt to mislead market participants, which would violate Standard II(A). She is pursuing a legitimate investment strategy. Participants in her hedge fund are aware of the fund's investment strategy, and thus Quigley did not violate the Code and Standards by not discolsing this specific set of trades in advance of trading.

我选择了C. 我觉得Q这个人管理的是套期保值的基金,那么就不能够在市场上大量买入一只股票的同时又抛出这个股票的卖空期权,这种行为不是在敞开头寸增加风险吗?另外,这种操作是不是也应该让客户预先了解呢?

请大家指导一下!谢谢

这道题以前在论坛有讨论过，题干中清楚地说了他的客户已经了解investment strategy，这跟增加风险并没有关系（投资都有风险，只要这个风险是客户允许的）。Q的投资行为，属于正常的hedge fund的investment strategy。

答案还说了一点很好，以前没有考虑到，就是他的做法并没有操纵价格，因此也不违反Standard II(A)