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Basel Zhang · 2023年07月08日

EMN是beta neutral,但是beta neutral就一定是EMN吗?

题干并没有说明ZMD和Tarreras有很强的相关性,只是一个高估,一个低估。EMN是beta neutral,但是beta neutral就一定是EMN吗?



2 个答案

伯恩_品职助教 · 2023年07月08日

嗨,爱思考的PZer你好:


是的,一定是EMN

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Basel Zhang · 2023年07月08日

Xu and Anderson discuss an equity strategy involving two large European car companies, ZMD and Tarreras. Anderson recently attended a trade show where she inspected ZMD’s newest model car. Based on information from the trade show and other analysis conducted by Anderson, Xu concludes that ZMD will not meet its revenue expectations. Current valuation metrics indicate that ZMD shares are overvalued relative to shares of Tarreras. Xu decides to take a short position in ZMD and a long position in Tarreras with equal beta-weighted exposure.


Which equity hedge fund strategy best describes the ZMD and Tarreras positions taken by Xu?


A. Short bias

B. Long/short equity

C. Equity market neutral

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