equity的一个问题 equity, market

dcfox83

问个很菜的问题

equitizing maket neutral strategy 和 alpha beta seperation这两个的区别在哪？感觉好像是一个东西

有看到说：alpha beta seperataion: 在其中的long short strategy中，有些不是market neutral， 但从strategy的运用方法来看，和equitizing market neutral strategy 好像没有区别啊。

还有，equitizing market neutral strategy是2alpha+1beta。
        但alpha beta seperation 为何是 1alpha+1beta。 既然在实施过程中，含有long short strategy，不是应该有两个alpha吗？


期待解答，多谢！

apf陈老师

equitizing market neutral strategy： add the systematic risk by holding equity future.

alpha beta seperation:
for beta: gain a long systematic risk exposure through a low-cost index, (same as equitizing market neutral strategy)

for alpha: using a pair trade, namely buy undervalued stocks and short overvlaued stock, elminiating the expected systematic risk.