| 作者 |
 行业动态：马多夫诈欺案重创对冲基金业，骗自家人也毫不手软（转帖）——犹太人，让我如何相信你？ |
 |
| 所跟贴 |
蛮说几句： -- 天凉好个哈糗 - (402 Byte) 2008-12-15 周一, 18:54 (657 reads) |
not_a_CTA
头衔: 海归准将
声望: 讲师
加入时间: 2005/07/03
文章: 600
海归分: 133607
|
|
|
作者：not_a_CTA 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
Just Because Madoff Used It Doesn't Mean the Collar Strategy Is Tainted 嘿嘿
by: Don Fishback December 14, 2008
People in finance LOVE to use big words. For instance, if you buy a stock, and then simultaneously write an out-of-the-money covered call, and the use the proceeds of that call to buy a protective put, most people know the strategy as a “collar”. But the folks in high finance call it a split-strike conversion. I know why they do it, because a conversion-reversal is a way to trade options risk-free. You don’t make a lot of money at it, but when done right, it truly is risk free. A conversion reversal is the exact same strategy as a collar, only the options you are using are at-the-money options — the same strike. By calling a collar a split-strike conversion, you create the impression of having some of that “risk-free” association.
This split-strike conversion was supposedly the strategy employed by Bernard Madoff — the now-infamous purveyor of the world’s biggest heist. [In a sweet bit of karma, Madoff took heed of Willie Sutton’s advice of robbing where the money was, targeting wealthy Florida and New York country club members, who themselves probably got rich off of flipping condos and investment banking.] For more information on Madoff and the strategy, the go-to source is Nakedshorts. Greg Newton dug up an old Managed Accounts Reports (MAR/Hedge) article that is filled with priceless irony.
With all of that said, the reason I write today is to dispel any taint that might befall the collar strategy. It’s a terrific strategy in all sorts of conditions. I’ve used it personally, although primarily in futures trading. It’s a great way to protect yourself if you feel the need for that kind of protection. There’s even a mutual fund, The Gateway Fund, that uses this exact strategy. They’ve been around for 30 years, and they’re audited and registered. Bottom line, just because a scammer touted a certain strategy, don’t think that the strategy itself is flawed. The use of options to reduce risk and increase risk-adjusted performance is something that every investor should consider.
作者：not_a_CTA 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
|
|
|
| 返回顶端 |
|
 |
|
| |
|
|
|
您不能在本论坛发表新主题, 不能回复主题, 不能编辑自己的文章, 不能删除自己的文章, 不能发表投票, 您 不可以 发表活动帖子在本论坛, 不能添加附件不能下载文件, |
|
|
