标题: Alpha and beta separation. Reading 27 [打印本页] 作者: amqata 时间: 2013-5-6 07:38 标题: Alpha and beta separation. Reading 27
On page 238 of the cfa book, using futures instead of long/short to port alpha, the books says that one has to short futures on the manager of the japanese index and take a long position on the s and p. this sounds a bit counter intuitive. Wouldnt we want to be long the japanese managers alpha since it says that the manager is a capable one? Or am i assuming too much with the word “capable”作者: stockjaguar 时间: 2013-5-6 07:42
he wants S&P 500 exposure. So he would be long s&p 500 futures and would then short the Topix Index futures for the active return. and he is explicitly forbidden from investing long/short.
the short futures position would be considered a hedge and not explicity seen as a violation of the short constraint.作者: svgleeson 时间: 2013-5-6 08:00
This makes more sense. Thank you all for the replies.作者: Matori 时间: 2013-5-6 08:04
This makes more sense. Thank you all for the replies.
