Sentences with phrase «short portfolio»

Each is relative to the relevant short portfolio in the case of factors or to the relevant cap - weighted market portfolio in the case of smart beta strategies.

This is also known as zero beta or long / short portfolio investing.

His fund is well - known in the actively managed fund space for being a leader in a permanently short portfolio.

The hedge is designed so that the combined long and short portfolios target a duration (a measure of price sensitivity to interest rate changes) of zero.

The lower volatility of the high dividend — yield portfolio increases the volatility of the long — short portfolio used in the statistical test and renders the difference statistically insignificant.

The long — short portfolio holds recent winners and shorts recent losers.

Finally, the factor returns demonstrated by academics using long — short portfolios offer an unrealistic assessment of the returns an investor is likely to earn in practice.

Figure 2 compares, for the same six geographic regions, the Sharpe ratios of the relative performance of the long versus short portfolios for momentum (winners minus losers, or WML) and the original Fama — French factors, size (small cap minus big cap, or SMB) and value (high book - to - price ratio minus low, or HML).

They also examine whether four bond risk premiums (volatility, credit risk, value and momentum), each specified in multiple ways and measured via long - short portfolios formed from monthly sorts, exhibit these two seasonal effects.

Mars Hill Partners (MHP) is an investment adviser specializing in long - short portfolio construction.

Muni national short portfolios invest in bonds issued by state and local governments to fund public projects.

It's a trading strategy that goes long a diversified portfolio of cheap U.S. stocks (as measured by their high book - to - price ratios) and goes short a portfolio of expensive U.S. stocks (measured by their low book - to - price ratios).

The «t - Stat» column reports the t - stat of the long — short portfolio returns.

A portfolio model assembles the most and least attractive stocks into the optimal long and short portfolios while keeping overall portfolio risk within a pre-determined level.

There he directed a multi-strategy long short group with two quantitative market neutral portfolios and six sector long short portfolios.

The authors construct standard long — short portfolios by definition and geography on the basis of the strategies cited most often in the Social Science Research Network (SSRN) database.

While such a strategy could work well, long / short portfolios often underperform in bull markets.

Barbara Ann has kept her focus on value since striking out two years ago to launch Wincrest, where she runs a global long - short portfolio built around a foundation of in - depth research.

The Active Bear website makes a good case for permanently short portfolios.

Our Most Dangerous Stocks (3.6 %) rose less than the S&P 500 (5.9 %) and outperformed as a short portfolio last month.

SUMMARY Investors seek smart beta products for risk reduction However, smart beta products are effectively long - only products with full equity risk Only factor products, i.e. long - short portfolios, offer true diversification benefits and downside protection INTRODUCTION FTSE Russell's 2017 Smart

All told, the Danger Zone stocks averaged a 5 % return in 2016, which was below the S&P 500's return of nearly 10 %, thereby outperforming as a short portfolio.

The Fund also borrows and sells a «Short Portfolio» of 15 - 35 listed equities, which the Manager deems to be of inferior quality and prospects, and expects to deliver a below average investment return.

Long positions will be held in the «Long Portfolio» and Short positions in the «Short Portfolio».

The firm treats each long or short stock selection as a discrete investment in its» hedged long / short portfolio.

Another issues is that Short portfolio would have to have much higher turnover than the long one, special situations portfolio much higher turnover than value portfolio..

They've created a series of rules, drawing on their prior work with their firm's hedge fund, to limit mishaps in their short portfolio.

The fund combines an unleveraged long portfolio and a 50 % short portfolio, for a steady market exposure of 50 %.

Academics are interested in the arithmetic average returns in a simulated long / short portfolio, but practitioners are concerned with the actual risk - adjusted returns that they can generate from their investments — and the majority do not engage in short selling.

The half - life of the composition of a smart beta strategy, or the long and short portfolios that define a factor, is strongly linked to forecast accuracy over different horizons.

Equity factors themselves, constructed on this site as long / short portfolios are often not implementable and not offered as investable equity products.

The combination of an equal - sized long and a short portfolio should reduce or remove exposure to the market's direction, including large swings, which explains why such a fund is called a Market Neutral Fund.

The Fund also borrows and sells a «Short Portfolio» of 15 - 35 listed equities, which the Manager deems to be of inferior quality and prospects, and expects to deliver a below average investment return.

Long positions will be held in the «Long Portfolio» and Short positions in the «Short Portfolio».

The composite is constructed using four valuation metrics, each measuring the relative valuation multiples of the long portfolio (value) relative to the short portfolio (growth): Price to book value (P / B), price to five - year average earnings (P / E), price to five - year average sales (P / S), and price to five - year average dividends (P / D).

The volatilities of the factor portfolios are a measure of the volatility of a long — short portfolio; in other words, these volatilities measure the volatility of the return difference between the long and the short portfolios.

Figure 2, Panel A, plots the historical excess return and historical volatility, and Panel B the five - year expected return and expected volatility, at year - end 2016 for a number of common factors in the US market, constructed as long — short portfolios.

Smart Beta Strategies In addition to factors, which are theoretical difficult - to - replicate long — short portfolios, we estimate the expected risk — return characteristics for a selection of the more - popular smart beta strategies.

But in a market that was on fire, that's exactly what one would expect from long - short portfolios — plus they still delivered highly attractive returns, in absolute terms.

The long — short portfolio is a self - financing zero - beta portfolio with leverage:

Bond ETFs offer benefits similar to those of stock ETFs, such as low cost, diversification, the ability to trade shares throughout the day, and the ability to short a portfolio.

In reality, the small size & breadth of the Irish market really doesn't offer the best opportunity to construct genuinely market neutral long / short portfolios...

The relative valuation is based on the valuation of the long portfolio relative to the short portfolio.