NO.PZ2021060201000012
问题如下:
Johnson research an equity strategy involving two large Electric vehicle companies, Z and T. Johnson recently participated in a trade show where she inspected Z’s newestelectric car. Based on information from the trade show and other analysis conducted by Johnson, He concludes that Z will not be able to meet its revenue expectations. Current valuation metrics indicate that Z shares are overvalued relative to shares of T. Johnson decides to take a short position in Z and a long position in T with equal beta-weighted exposure.
which equity hedge fund strategy best describes the Z and T positions taken by Johnson?
选项:
A. Short bias
B. Long/short equity
C. Equity market neutral
解释:
C is correct.
C是正确的。 Johnson 决定做空 Z 并在 T 中持有相同的 beta 加权敞口的多头头寸是配对交易或股票市场中性策略的一个例子。 Johnson 通过构建预期投资组合 Beta 为零的策略来抵消市场风险。由于他的策略不承担贝塔风险并试图抵消许多其他因素风险,约翰逊必须对多头和空头头寸应用杠杆,以从选股中获得有意义的预期回报。
A 不正确,因为在偏向空头的对冲基金策略中,经理旨在出售价格昂贵的股票,但可能会在空头敞口与一些适度的长头敞口之间取得平衡。然而,约翰逊已进入股票市场中性配对交易,该交易采取相反的多头和空头头寸,试图消除市场敞口。他的仓位没有空头倾向。
B 是不正确的,因为多头/空头股票经理买入他们预期会上涨的公司的股票,并卖出他们认为价值会下跌的公司的股票。当多头头寸和空头头寸一起放入投资组合时,市场敞口是经贝塔调整的多头和空头敞口的净值;然而,目标贝塔值通常不为零。 Johnson 通过构建预期投资组合 Beta 为零的策略来抵消市场风险。
都是long一个short一个,如何区分呢?只能从贝塔是否为0来区分吗?