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AL · 2021年11月04日

Equitized 

NO.PZ2019012201000078

问题如下:

Which of following two statements are correct regarding on inherent limitations of Market-neutral strategies?

Statement 1: Practically speaking, it is no easy task to maintain a beta of zero.

Statement 2:Market-neutral strategies have a limited upside in a bull market unless they are “equitized.”

选项:

A.

Statement 1

B.

Statement 2

C.

Both

解释:

Market-neutral strategies have two inherent limitations:

1 Practically speaking, it is no easy task to maintain a beta of zero. Not all risks can be efciently hedged, and correlations between exposures are continually shifting.

2 Market-neutral strategies have a limited upside in a bull market unless they are “equitized.” Some investors, therefore, choose to index their equity exposure and overlay long/short strategies. In this case, the investor is not abandoning equity-like returns and is using the market-neutral portfolio as an overlay.

Therefore, both of the statements are correct.

therefore, choose to index their equity exposure and overlay long/short strategies. 這句話意思是 買一個index 就有市場系統beta 再加一個 pair trading 這樣就享受非系統風險這樣嗎 那其實pair trading 是不是相信市場無效呢?
2 个答案

伯恩_品职助教 · 2021年11月05日

嗨,爱思考的PZer你好:


Pair trading 是相信長期有效 短期短無效嗎 老師? ——这个就是相信有效,但是不一定是长期或者短期,因为愿望是短期就能见效,但是非常有可能是长期才见效

那這個broad market index 是包含了beta 和 alpha? ——这个就是和benchmark一样了,那么就只剩β了。

不過 long short 就剩下beta? 謝謝——long和short不能没有α,一般L/S 目的就两个,一个为了α,一个减少β,具体减少多少β,看long多少,short多少

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

伯恩_品职助教 · 2021年11月05日

嗨,努力学习的PZer你好:


不是的,这句话是指Market-neutral strategies由于没有β了,只剩α了,那么波动就很小,对应的上涨空间就很小,那么要根据市场适时的做多或者做空(敞口不一定全部打开),这样两者结合收益才不会太低。

pair trading不是相信市场无效,正是相信市场有效,才会认为两个价格分离的股票最终会重新回归并行(就是原来的差价)

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加油吧,让我们一起遇见更好的自己!

AL · 2021年11月05日

Pair trading 是相信長期有效 短期短無效嗎 老師? 那這個broad market index 是包含了beta 和 alpha? 不過 long short 就剩下beta? 謝謝

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