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Beta Hedging: Performance & Weighting Analysis by Ivana is a document available to read on EtoBox.
What is Beta Hedging: Performance & Weighting Analysis about?
The document discusses the performance measures of beta hedging compared to market-neutral hedging, highlighting that beta hedging consistently outperforms the latter across two portfolios: one of US equity sector ETFs and another of high-growth technology stocks. It introduces a new synthetic performance measure that accounts for risk-adjusted returns and losses, and finds that while momentum weighting may be beneficial for high-growth stocks at short rebalancing periods, equal weighting generally yields b
- Author
- Ivana
- Language
- EN