在美国接到一个公司面试题，求牛人指点！！！

Here is the question.

Assume a client has $11MM in S&P 500 index. He is worried about a drop in the markets and wants to hedge it out.  Some of the choices the client has are 1) Buy options on S&P 500. (There are ETFs on S&P 500 on which a retail client can buy options or there are direct options on S&P 500) 2) Go long volatility. The VIX index is a measure of volatility and is inversely correlated to S&P 500- so he can buy options on it 3) Other assets that may be negatively correlated with stocks if you can think about it.

Please perform some analysis to come up with the most cost effective way of hedging. Just one page description and one excel spreadsheet to establish the calculation ie correlation, cost etc.

谁有想法，大概和我说一下大体思路就好，不甚感激！！！

好像懂了. 答案就在条件里阿..

I think choosing the VIX will be better

能说的具体点吗？ 2# jshen23

能不能说一下理由？他的意思是让我写个报告分析一下。 3# mrchild

so easy...

指条明路？ 6# shengxialingdu

国内也有股指期货合约，就以股指为例来讲的话，如果买了股指期货的话，有担心，最安全的做法就是对冲。怎么对冲，就是买沪深300指数。但是沪深300指数不能购买，所以一般是购买etf基金进行对冲。这个是常规的做法。或者是自己选股建立一个组合，走势能与沪深300指数吻合。这个是基本回答
深入来讲，要求经济有效的分析，这个时候你应该有所区别。第一个是完全锁定，即有所担心就对冲。第二个就是带套利性质的对冲。
你要对对冲有所理解，他这里提到的对冲其实就是规避风险，规避风险的话就是不能有风险敞口。买入敞口跟卖出敞口都封闭，这才是根本。

目前，你的话最有建设性。 8# zj35777940

I think you have to collect some empirical data and form certain portfolios as mentioned above, then calculate all the hedge ratios and costs associated with it, then the p&l under each senario, before drawing any conclusions. The answer itself does not matter, the key is you have to do something to show your strength.

Btw, one can not assert VIX hedging is the best, you have to prove it!!