CFAI MOCK 2012 Q 21

The long only manger of Canadian equity who will produce alpha. Now she is looking for long position in S&P 400 midcap. How can you short the S&P/TSX index?

If you are asking how to get the alpha and long S&P she would short the market that is closest to her benchmark and go long an S&P 400 future. The short position would nullify her systematic risk from TSX and add S&P.


This question is causing me problem as well

Portable alpha strategy requires long-short strategy to pick up alpha

The Canadian manager is said that is long only?

I am going crazy with the ambiguity in this test

Exactly what triped me .

Alpha can be picked up either with long-short or long only. Long-short might give us a boost ivs long only but Alpha is just returns from calculated deviations from b/m.

So if Canadian manager - long-only gets alpha, you go take a short position (sell TSP futures and enter into S&P future contracts) to gain US beta. :slight_smile:

and now you opened yourself up to a deluge of claims asking you for the 2012 mock exam!!!

Silly question perhaps but are we allowed the 2012 mock?