Questions tagged [market-neutral]
The market-neutral tag has no usage guidance.
9 questions
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implementation of BAB strategy
I am implementing the Betting Against Beta strategy (Frazzini and Pedersen, 2014). I have some question
What I do:
- get historical data through yfinance
- calculate beta of each stock
- get 5 stocks ...
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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, ...
- 191
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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 ...
- 145
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1k
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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 ...
- 27.7k