Minerva Investment Management Society

Investment Outlook

Factor Dynamic Hedging Strategy

· Investment Research

Open the PDF Download

Summary

In this focus we present an alternative hedging strategy exploiting the work of C.R. Hervey (2019). The dynamic strategy consists in building a long short quality portfolio – long on high quality, short on low quality stocks – which would be rebalanced each 6 months. This portfolio would then be attached to our benchmarked equity portfolio (obtaining a portable alpha) in order to mitigate the effect of downturns without the need to time the market.

Authors

  • Tobia BoselliPortfolio Analyst
  • Matteo TurriPortfolio Analyst

Details

Published
6 April 2021
Division
Investment Research
Type
Investment Outlook
Pages
5
Authors
2

Cite this report

Minerva Investment Management Society (2021). Factor Dynamic Hedging Strategy. Investment Research. https://minervaims.org/archive/factor-dynamic-hedging-strategy-2021

Related reports