标题: benchmark for market neutral long short strategy? [打印本页] 作者: Viceroy 时间: 2011-7-13 16:10 标题: benchmark for market neutral long short strategy?
which is the correct benchmark for a market neutral long-short strategy equitized with S&P 500 futures contracts?
why the correct answer is S&P index ?
thks作者: Roflnadal 时间: 2011-7-13 16:10
thks a lot作者: NakedPuts00 时间: 2011-7-13 16:10
is it correct that if it had not equitized with the futures contracts, the benchmark would be the Rf rate (because the market neutral strategy has no systematic risk?)作者: jmh530 时间: 2011-7-13 16:10
yes , that is correct , the mean return for a market neutral strategy should be comparable to the risk free rate, generally. Any additional alpha would be the return to the manager's skill
