September 2000
Intermediate to advanced
336 pages
5h 57m
English
Content preview from Market Neutral Investing: Long / Short Hedge Fund StrategiesBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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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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