Stinky Pinky and Smelly Kelly two equity analysts at Slimy Capital Asset Management (SCAM) are discussing various features of an Alpha Beta Separation approach.
Stinky: In theory it should be easier to generate an alpha using Russell 2000 index than by using S&P 500.
Smelly: Another advantage of the alpha and beta separation approach using Russell 2000 is that it is cheaper to implement short positions in small-cap markets such as stocks in the Russell 2000 index.
A. Stinky and Smelly both are correct
B. Only Stinky is correct
C. Only Smelly is correct作者: mcmc 时间: 2011-7-11 19:50
B
Lower analyst coverage -> More opportunity for mispricing/+ve alpha.
Lower availability of small cap stocks makes stock lending/short selling more expensive作者: canadiananalyst 时间: 2011-7-11 19:50
better be stinky than smelly it seems
B作者: Analyze_This 时间: 2011-7-11 19:50
B - smaller cap names are more inefficient and present opps for alpha generation. However small cap names are also more thinly traded making short positions more difficult/expensive.作者: bkballa 时间: 2011-7-11 19:50
