Reading 31, question 7: The answer says that the manager could get exposure to Japanese beta by buying futures in a notional amount equal to the size of the portfolio. What portfolio? Manager gets UK alpha by doing long-short. My answer was that then he should buy Japanese equity futures to get Japanese beta. Manager could buy the futures in an amount equal to cash from short positions. Can you elaborate on CFAI answer?
hello?
page, volume, schweser or CFAI?
The portfolio is comprised of UK equity and as a result of the market netural long short position (effectively zero beta exposure). The client desires active expsoure to Japanese equities. The manager can obtain alpha/beta buy purchasing a futures contract. This is the concept of portable alpha. Regards