老师您好
李老师说,跟市场中性,左偏的效果很相似,
我想问,市场中性是有什么特征呢
伯恩_品职助教 · 2021年11月10日
嗨,爱思考的PZer你好:
市场中性策略就是Equity Market Neutral
有以下特征
•Return: Modest return profiles, with portfolios aimed to be market neutral.
•Leverage: limited partnerships are the preferred vehicle
•Quantitatively driven process: uses a substantial amount of leverage
•Discretionary EMN managers: with significantly less leverage
•Risk and Cost
•Leverage risk and Tail risk
•High levels of diversification and liquidity and lower standard deviation of returns.
•Investment horizon: Shorter horizons and more active trading
•Attractiveness of non-trending or declining markets. Preferred replacements for fixed-income managers
----------------------------------------------加油吧,让我们一起遇见更好的自己!
加油学习 · 2021年11月16日
老师,市场中性就是β netural吗?