tailieunhanh - Market neutral strategies phần 2

Tại dài cuối cùng là một khối duy nhất đó là một hướng dẫn thiết thực và toàn diện cho các nhà đầu tư, những người muốn khám phá hoặc để tìm hiểu thêm về thị trường trung lập và một tài liệu tham khảo có giá trị cho các nhà đầu tư dày dạn "Edgar J. | Questions and Answers About Market Neutral Investing 13 lio from long and short positions rather than achieving neutrality via a derivatives contract based on an underlying index. Jacobs This reflects the fact that long-only portfolios are generally constrained by the weights of the names in the underlying index whereas market neutral long-short portfolios if properly constructed are free of index weights. This is most noticeable when you look at stock underweights. Given that the market capitalization for the median stock in the . equity universe is of the market s capitalization a portfolio that cannot short can achieve at most a underweight in the average stock this underweight is obtained by excluding the stock from the portfolio. The manager may have a very negative view of the company but the portfolio s ability to reflect that insight is extremely limited. The manager that can sell short however can underweight this stock by as much as investment insights and risk considerations dictate. Levy It s important to note that the market neutral long-short portfolio also has greater leeway to overweight stocks because the manager can use offsetting long and short positions to control portfolio risk. Whereas a long-only portfolio may have to limit the size of the position it takes in any one stock or stock sector in order to control the portfolio s risk relative to the underlying benchmark index the market neutral long-short portfolio manager is not circumscribed by having to converge to benchmark weights to control risk. The freedom from benchmark constraints gives market neutral long-short portfolios greater leeway in the pursuit of return and control of risk a benefit that translates into an advantage over market neutral portfolios constructed without shorting. Can I neutralize my long-only portfolio by adding a short-only portfolio Buchan Yes but you would miss out on the real benefits of market neutral portfolio construction the added flexibility .