what’s the profit?
how does it differ from alpha-beta separation? is it just using futures vs. indexMF/ETF??
the benchmark should be RFR plus the index ( let’s say s&p500) )
From the book: The rate of return on the total portfolio equals the sum of the gains or losses on the LS position, gain or loss from long futures , and interest on the cash position from shorting securities, all divided by the portfolio equity.
Yeah…but my bad. Not part of the LOS so bad question.
The long alpha, the short alpha, and the Beta of the equitized portion.
there’s also a cash return from the short sale Bankin. there is some holdback on the return though.