A market neutral strategy is usually equitized with futures but can also be equitized with ETFs (Schweser Book 3 page 150).
"In an alpha and beta separation approach, the investor gains a systematic risk exposure (beta) through a low-cost fund or ETF, while adding an alpha through a long-short strategy" (Schweser Book 3 page 161).
Based on this, is it true to say that equitizing cash is the same thing as alpha/beta separation (or at least is the same if ETFs are used)?作者: ll11 时间: 2011-7-11 19:11
the show NY Wrote:
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> A market neutral strategy is usually equitized
> with futures but can also be equitized with ETFs
> (Schweser Book 3 page 150).
>
> "In an alpha and beta separation approach, the
> investor gains a systematic risk exposure (beta)
> through a low-cost fund or ETF, while adding an
> alpha through a long-short strategy" (Schweser
> Book 3 page 161).
>
>
> Based on this, is it true to say that equitizing
> cash is the same thing as alpha/beta separation
> (or at least is the same if ETFs are used)?
I don't think so. When you equitize cash, all you're looking for is exposure to the stock market. In alpha/beta separation, you want exposure to the market plus the alpha gained on the stocks you are long/short.
NO EXCUSES作者: thommo77 时间: 2011-7-11 19:11
In a market neutral strategy, you're trying to manage your overall beta to 0, or around it at least. So based on your example, I would think they have a net short position (negative beta) and want to equitize their cash in order to bring beta to 0 by purchasing index futures or ETFs.
