tailieunhanh - Market neutral strategies phần 6

Những khoảng thời gian này tốt nhất chứng minh giá trị của phân tích thảo luận ở trên và giá trị của chiến lược thị trường kinh doanh trung hiểm rủi ro Thời gian FHLMC 1468 SC là một lãi suất thả nổi ngược an ninh đó là một lớp kế hoạch khấu hao (PAC). | Transporting Alpha 133 the ability to generate active performance that is independent of the underlying asset MECHANICS TRANSPORTING ALPHA FROM A MARKET NEUTRAL EQUITY STRATEGY Market neutral construction eliminates exposure to the underlying market index s risk and its return. This return and its associated risk can be added back by purchasing derivatives such as futures or swaps in an amount equal to the invested capital. In the case of a market neutral equity portfolio for example the investor can purchase stock index futures to recover exposure to an equity index. The return to the resulting equitized market neutral portfolio will basically reflect the market return the change in the price of the futures contracts plus the active return the long-short spread from the market neutral portfolio. The equitized portfolio will retain the flexibility benefits of market neutral construction as reflected by the long-short spread while also participating in overall market movements. Exhibit illustrates the deployment of capital for equitized construction. This may be compared with Exhibit in Chapter 3 which EXHIBIT Equitized Market Neutral Deployment of Capital millions of dollars Source Bruce I. Jacobs and Kenneth N. Levy The Long and Short on Long-Short Journal of Investing Spring 1997 . 134 MARKET NEUTRAL STRATEGIES illustrates the same for the basic market neutral equity strategy. Here again we assume the investor deposits 10 million with the custodial prime broker. Again 9 million of the initial 10 million is used to purchase desired long positions which are held at the prime broker. This broker also arranges to borrow 9 million in securities to be sold short. Upon their sale the broker provides the 9 million in proceeds to the securities lenders as collateral for the shares As with the market neutral equity strategy the investor is subject to Federal Reserve Board Regulation T. Under Reg T which covers common stock convertible bonds .