Looking for help on the 2018 AM Question 27
My assumptions are:
The investor wants to add $100M to US Midcap
Investor has not found someone capable of generating alpha in US Midcap
Investor has found long-only CAD PM who can generate alpha with TSX
“Tan wants to create a portable alpha strategy that will earn the alpha of the CAD portfolio, and meet Benchmark in US Midcap.”
I thought going long US Midcap was to gain Beta exposure but I’m not sure why I’m shorting TSX to earn alpha in CAD?