标题: Synthetic cash vs. zero target beta? [打印本页] 作者: LPoulin133 时间: 2011-7-11 19:40 标题: Synthetic cash vs. zero target beta?
I know there are 2 different formula but I can't see the difference between them. Both strategies are to eliminate your equity positions. When do you use which formula? Thanks very very much!作者: Darien 时间: 2011-7-11 19:40
I may be way off...
I think - if you are investing in an equity futures with same beta as your existing equity portfolio - then synthetic cash formula (without the beta, use rf).
if in a different equity futures -> then use beta, no rf.
CP作者: liangfeng 时间: 2011-7-11 19:40
To change beta to zero means to remove systematic risk. But that does not remove all risk because there could still be other non-systematic risk behind. So use the formula without the risk free rate.
To make a position to become a synthetic cash means to convert the portfolio to risk free (ie. eliminate ALL risks). Use the risk free rate formula.
freakingout Wrote:
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> I know there are 2 different formula but I can't
> see the difference between them. Both strategies
> are to eliminate your equity positions. When do
> you use which formula? Thanks very very much!
