Equity Market-Neutral and Statistical Arbitrage 9
Equity Market-Neutral Approaches
Initial Screen: Universe of Investable Stocks
Mean Reversion-Based Approaches
Portfolio Construction and Optimization
Manager Styles—Putting It All Together
Recent Growth and Developments in Equity Market-Neutral Investing
Equity market-neutral managers strive to generate consistent returns in both up and down markets by selecting positions with a total net exposure of zero. They hold a large number of long equity positions and an equal, or close to equal, dollar amount of offsetting short positions, for a total net exposure close to zero. A zero net exposure, referred to as “dollar neutrality,” is a common ...
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