|
An [[investment strategy]] or [[Portfolio (finance)|portfolio]] is considered '''market -neutral''' if it seeks to entirely avoid some form of [[market [[risk]] entirely, typically by [[hedge (finance)|hedging]]. In order toTo evaluate market neutrality, it is first necessary torequires specifyspecifying the risk beingto avoidedavoid. For example, [[convertible arbitrage]] attempts to fully hedge fluctuations in the price of the underlying [[common stock]]. A portfolio is truly market-neutral if it exhibits zero [[Financial correlation|correlation]] with the unwanted source of risk.<ref>[http://www.hedgefund-index.com/s_equitymn.asp#Are_“Market_Neutral”_Hedge_Funds_Really_Market_Neutral Equity Market Neutral Related Scholarly Compositions]</ref> Market neutrality is an ideal, which is seldom possible in practice.<ref>[http://www.eurekahedge.com/news/06_nov_Stephen_Foerster_Equity_Market_Neutral_HF_Return_Drivers.asp Equity Market Neutral Hedge Fund Return Drivers] {{webarchive|url=https://web.archive.org/web/20100804150347/http://www.eurekahedge.com/news/06_nov_Stephen_Foerster_Equity_Market_Neutral_HF_Return_Drivers.asp |date=2010-08-04 }}</ref> A portfolio that appears market-neutral may exhibit unexpected correlations as market conditions change. The risk of this occurring is called [[basis risk]].
==Equity -market -neutral== ▼A portfolio is truly market neutral if it exhibits zero [[correlation]] with the unwanted source of risk.<ref>[http://www.hedgefund-index.com/s_equitymn.asp#Are_“Market_Neutral”_Hedge_Funds_Really_Market_Neutral Equity Market Neutral Related Scholarly Compositions]</ref> Market neutrality is an ideal, which is seldom possible in practice.<ref>[http://www.eurekahedge.com/news/06_nov_Stephen_Foerster_Equity_Market_Neutral_HF_Return_Drivers.asp Equity Market Neutral Hedge Fund Return Drivers]</ref> A portfolio which appears to be market neutral may exhibit unexpected correlations as market conditions change. The risk of this occurring is called [[basis risk]].
Equity -market -neutral is a [[Hedge fund#Strategies|hedge fund strategy]] that seeks to exploit investment opportunities unique to some specific group of stocks while maintaining a neutral exposure to broad groups of stocks defined, for example, by sector, industry, market capitalization, country, or region. ▼
The strategy holds [[long/short equity]] positions, with long positions hedged with short positions in the same and related sectors , so that the equity -market -neutral investor should be little affected by sector-wide events. ThisThese placespositions, in essence, a bet that the long positions will outperform their sectors (or the short positions will underperform) regardless of the strength of the sectors. Equity -market -neutral strategy occupies a distinct place in the hedge fund landscape by exhibiting one of the lowest [[ Financial correlation |correlations]] s with other alternative strategies. ▼▲==Equity market neutral==
▲Equity market neutral is a [[Hedge fund#Strategies|hedge fund strategy]] that seeks to exploit investment opportunities unique to some specific group of stocks while maintaining a neutral exposure to broad groups of stocks defined, for example, by sector, industry, market capitalization, country, or region.
Evaluating the Hedge Fund Research index returns for 28 different strategies from January 2005 to April 2009 showed that equity -market -neutral strategy had the second -lowest correlation with any of the other strategies, {{Citation needed|date=February 2012}} behind only short-bias funds that typically have a negative correlation with all other funds. This result is not surprising given that each fund utilizes the unique insights of a manager, and these insights are not replicated across funds <ref>{{cite web|url= http://www. opalesque.com/55230/equity%20market%20neutral/Comment_Back_to_basics_with796.html |title=Back to basics with equity market neutral hedge funds▼▲The strategy holds [[long/short equity]] positions, with long positions hedged with short positions in the same and related sectors, so that the equity market neutral investor should be little affected by sector-wide events. This places, in essence, a bet that the long positions will outperform their sectors (or the short positions will underperform) regardless of the strength of the sectors. Equity market neutral strategy occupies a distinct place in the hedge fund landscape by exhibiting one of the lowest [[correlation]]s with other alternative strategies.
==Examples of market-neutral strategies==
▲Evaluating the Hedge Fund Research index returns for 28 different strategies from January 2005 to April 2009 showed that equity market neutral strategy had the second lowest correlation with any of the other strategies, behind only short-bias funds that typically have a negative correlation with all other funds. This result is not surprising given that each fund utilizes the unique insights of a manager, and these insights are not replicated across funds<ref>{{cite web|url= http://www.opalesque.com/55230/equity%20market%20neutral/Comment_Back_to_basics_with796.html |title=Back to basics with equity market neutral hedge funds
* [[Delta neutral]]
|date=13 October 2009|author=Opalesque}}</ref>.
==Examples of Market Neutral Strategies==
[[Pair Options]] is an example of a market neutral strategy.
* [[Delta neutral]] hedging, is an example of a market neutral strategy.
* [[Pairs trade]]
{{Hedge funds}}
==References==
{{Refbegin}}
{{Refend}}
{{Reflist|2}}
{{DEFAULTSORT:Market Neutral}}
[[Category:Investment]]
[[fr:Neutre au marché]]
[[ru:Рыночно-нейтральные стратегии]]
| 