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Chinazdk · 2024年02月14日

A

NO.PZ2023103101000045

问题如下:

Q. A money manager was reviewing the automobile sector and identified that the stock of General Motors (GM) is relatively overvalued compared to Ford. A money manager purchases 100 shares of Ford and shorts 150 shares of GM. It turned out that the manager’s perception was right. At the end of the quarter, she unwinds both positions, making a profit on both positions. What is this strategy called?

选项:

A.Equity long/short

B.Event driven

C.Relative value

解释:

A is correct. Equity long/short strategies purchase undervalued stocks and sell short overvalued stocks. Event-driven managers (Choice B) participate in such events as mergers and spin-offs. Relative value managers (Choice C) seek to arbitrage values between related securities.

A的名称应该是market neutral 吧?


C relative value为什么错?

1 个答案

pzqa35 · 2024年02月15日

嗨,爱思考的PZer你好:


题目中是选取了GM和福特公司,这两家公司的业务是非常相似的,他现在发现GM的股价被高估,而福特的股价被低估,因此就short高估,而long低估,这就是一种long/short策略,market neutral是long/short中的一种特殊情形,这种情况中beta是为0的。

relative value的策略是在不同类型中进行操作的,例如股票和可转换债券、股票和债券等,这两个都是股票,所以是不符合的。

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