November 22, 2023

Steps to Market Neutrality

We explore an optimization technique to reduce passive risk in actively managed portfolios.

Steps to Market Neutrality

This article examines the challenge of balancing active risk and passive exposure in portfolio management.

We highlight issues with cash-neutral optimizations still having meaningful levels of market exposure and propose an optimization strategy as a partial solution to increase the market neutrality of an actively managed strategy.

Read the full article on AlphaLayer's Substack

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