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SHAO · 2024年07月03日

老师，A为啥不对呢

  1. CFA II
  2. Equity

NO.PZ2023032701000006

问题如下：

Hartmann is reviewing some possible trades for three stocks in the health care industry based on a pairs-trading strategy. Hartmann’s evaluations are as follows:

• HG Health is 15% overvalued.

• Corgent Cell Sciences is 10% overvalued.

• Johnson Labs is 15% undervalued.

Based on his trading strategy, which of the following should Hartmann recommend?

选项：

A.

Short HG Health and Corgent Cell Sciences

B.

Buy Johnson Labs and Corgent Cell Sciences

C.

Buy Johnson Labs and short Corgent Cell Sciences

解释：

Pairs trading involves buying an undervalued stock and shorting an overvalued stock in the same industry. Hartmann should buy Johnson Labs (15% undervalued) and short Corgent Cell Sciences (10% overvalued).

两个都是overvalued，都short，为啥不行呢

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王园圆_品职助教 · 2024年07月03日

同学你好，题目中提到的pairs-trading strategy是特指一定要买入一个资产，同时卖出一个资产，从而达到本金的近似零使用

所以A这个策略虽然看起来也可以赚钱， 但不符合题目要求的pairs-trading strategy，就不能选

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NO.PZ2023032701000006 问题如下 Hartmann is reviewing some possible tras for three stocks in the health care instry baseon a pairs-trang strategy. Hartmann’s evaluations are follows:• HG Health is 15% overvalue• Corgent Cell Sciences is 10% overvalue• Johnson Lais 15% unrvalueBaseon his trang strategy, whiof the following shoulHartmann recommen A.Short HG Health anCorgent Cell Sciences Buy Johnson LaanCorgent Cell Sciences Buy Johnson Laan short Corgent Cell Sciences Pairs trang involves buying unrvaluestoanshorting overvaluestoin the same instry. Hartmann shoulbuy Johnson La(15% unrvalue anshort Corgent Cell Sciences (10% overvalue. 为什么不是short HG anbuy JL?

2023-08-21 14:41 1 · 回答