Questions tagged [market-neutral]

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Combining trading signals (equity long/short strategy)

Currently, I have developed three separate trading strategies on equity securities. All involve taking long and short positions in the top and bottom decile with respect to some measure (say, a ...
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Should I resolve factor collinearity before hedging?

Goal: I want to run a portfolio, daily or weekly rebalanced, with a target idio vol %. Thus I will be market neutral, sector neutral and maintain some style exposure at 70-80% idio overall. Okay, this ...
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Minimizing variance of market neutral portfolio given factor covariance matrix and stock return predictions

If I am given a return prediction and factor exposures for say 50 stocks, as well as the factor covariance matrix, what is the process to determine the weightings of the minimum variance portfolio, ...
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Does imbalance not impact returns-calculation weighing when calculating the Sharpe Ratio of an equity Long-Short strategy?

I'm calculating the Sharpe Ratio for a simple equity long-short strategy (short stock S and use proceeds to buy stock L). Obviously this is self-financing. In "https://quant.stackexchange.com/...
fubar trading's user avatar
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When / how do I vol-scale portfolio weights when optimizing the portfolio?

I have a set of portfolio weights $w$. I'm using cvxpy to optimise the portfolio sharpe, subject to a set of constraints. $$ \text{maximize} \hspace{10mm} \mu^Tw - ...
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How to get the weights for a beta neutral portfolio?

Given a ranking of 100 long stocks and 100 short stocks. Looking at these 200 betas: How can I find the optimal weights to get a beta = 0 long/short portfolio?
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Market neutral without short selling

Would it be possible to design a market neutral strategy without short selling? According to Investopedia: Market-neutral strategies are often attained by taking matching long and short ...
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How to implement industry neutralization?

How do you implement industry neutralization in S&P top 3000/top200? Market neutralization is straightforward but how do you assigns weights to the industries and then to stocks in it?
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Dollar-Neutral in addition to Market-Neutral?

What is the point/benefit of using a dollar-neutral strategy in addition to a Beta-neutral strategy? What exactly does a dollar-neutral strategy buy the investor? What's useful about balancing long ...
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References about market neutral portfolios that isolate unsystematic risk

I am looking for references, information, backtests etc. about market neutral portfolios that go long the index and short stocks of that index with high unsystematic (idiosyncratic) risk. The idea is ...
vonjd's user avatar
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