I understand "equitized" to mean you create a long equity position through cash and futures. Seemingly, a beta of one if you're long index futures.
Then why does an "Equitized Mkt Neutral" strategy have a beta of zero?
That's what my notes say. Maybe they're wrong... have no idea, book's at the office.
Please, help me get my head out of my...作者: mcmc 时间: 2011-7-11 19:42
Because I believe in market neutral strategy you try to remove systamic risk by going long and short in the same sector.作者: wake2000 时间: 2011-7-11 19:42
I'm wondering the same thing sort of. If you hedge your market long with futures, do you have "synthetic cash"? If not, is your hedged position going to make the risk free rate?
What I mean is you are long 100MM stock and you hedge by shorting futures to make Beta = 0.作者: bodhisattva 时间: 2011-7-11 19:42
how is that different from what I said? Systematic risk exposure = beta作者: mar350 时间: 2011-7-11 19:42
we are all saying the same thing. your beta is zero in market neutral strategy. to earn higher return, you decide to add beta (systematic risk) by either going long or short using equity futures or ETF.作者: aidebaobao 时间: 2011-7-11 19:42
Long-only strategy can have both systematic risk (beta) and unsystematic risk. therefore, Long-only strategy has standard deviation, not just beta. The rest seems to be correct.
