1.A market neutral hedge fund establishes a short equity position. Suppose the stock market decreases in value. Which of the following would provide the worst protection?

A)   An out-of-the-money put.

B)   An in-of-the-money put.

C)   An at-of-the-money put.

D)   A short sale of stock.

2.Which of the following most accurately describes the characteristics of fixed income and equity hedge funds?

A)   Equity hedge funds use more leverage and change their level of leverage more dramatically than do fixed income hedge funds.

B)   Equity hedge funds use more leverage than do fixed income hedge funds, but fixed income hedge funds change their level of leverage more dramatically than do equity hedge funds.

C)   Fixed income hedge funds use more leverage and change their level of leverage more dramatically than do equity hedge funds.

D)   Fixed income hedge funds use more leverage than do equity hedge funds, but equity hedge funds change their level of leverage more dramatically than do fixed income hedge funds.

答案和详解如下：

1.A market neutral hedge fund establishes a short equity position. Suppose the stock market decreases in value. Which of the following would provide the worst protection?

A)   An out-of-the-money put.

B)   An in-of-the-money put.

C)   An at-of-the-money put.

D)   A short sale of stock.

The correct answer was A)

If the stock market decreases, the put increases in value according to the option delta. This change in value may not fully protect the fund's position, especially in the case of deep out-of-the-money puts. In contrast, the short stock position does not require a premium to be paid and can better protect the fund's position if the stock market declines.

2.Which of the following most accurately describes the characteristics of fixed income and equity hedge funds?

A)   Equity hedge funds use more leverage and change their level of leverage more dramatically than do fixed income hedge funds.

B)   Equity hedge funds use more leverage than do fixed income hedge funds, but fixed income hedge funds change their level of leverage more dramatically than do equity hedge funds.

C)   Fixed income hedge funds use more leverage and change their level of leverage more dramatically than do equity hedge funds.

D)   Fixed income hedge funds use more leverage than do equity hedge funds, but equity hedge funds change their level of leverage more dramatically than do fixed income hedge funds.

The correct answer was C)

Fixed income hedge funds use more leverage than do equity hedge funds. Fixed income hedge funds also change their level of leverage more dramatically than do equity hedge funds.

和我的想法一样