Hi Everyone,
I've been working on ways to decrease my drawdown and beta. I'm familiar with the concept of market and beta neutrality but am unsure of how to implement this in my code. Any help would be greatly appreciated.
Thanks in advance,
Rohit
Rohit,
Approximate market neutrality can be baked-in by design (e.g. large, diverse portfolio, equal weights long & short), and/or you can patch things up in some fashion at the end (e.g. by applying a constraint to an optimizer/risk management routine, or by adding a hedging instrument such as SPY in the right proportion).
First, I'd make sure that your gross leverage is ~ 1.0. Your beta is very high, so I'm wondering what might be going on.
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