NO.PZ2023010407000003
问题如下:
Gary uses a hypothetical example of a pairs trade to demonstrate how an investor could create a market-neutral strategy. Gary bases his example on two stocks: DTY and GHT. These stocks are peers in a competitive industry, and have a high historical correlation and similar historical betas. Recently, the performance of these two stocks has deviated considerably. Share prices of DTY have risen sharply and are considered by most analysts to be overvalued. Share prices of GHT have also risen, but are considered fairly valued. Gary describes how a strategy combining these two stocks could be protected from general market movement.
Describe the steps to a pairs trade for the two stocks Gary mentions.
选项:
解释:
The pairs trade
would include shorting the overvalued company, DTY, and purchasing an equal
amount of the fairly valued company, GHT. Based on historical trends, these two
stocks should converge in the future, at which time the profit of the strategy
would be based on the amount of convergence.
题目中描述create a market-neutral strategy,在这个情况下的pair trading,需要满足portfolio beta equal to zero的条件吗?