Re: [amibroker] Definately OFF topic:Market Neutral (was OT:trader article on yahoo finance), AmiBroker Email List Archive

Natasha M S <dynomitedoll_ddd@xxxxxxxxx> wrote:

b <b519b@xxxxxxxxx> wrote:
Has any one here actually used a market neutral approach with success? I have been curious about market neutral investing/trading for sometime, but my outlook is darkened by a paragraph from a user review of Joseph Nicholas's Market Neutral Investing. The user says the book is a very good but the approach itself is not. Here is a quotation (the full review can be found on Amazon): "I am skeptical about the superior risk adjusted return of market neutral strategies because of my own experience. We invested in three such market neutral funds. They had alluring past performance that confirmed everything Nicholas says about such funds. The minute we invested in such funds, their performance mysteriously deteriorated. Somehow, all these funds benefited from convergence before we invested. But, suffered from divergence right after we invested. Within two years, we closed out our investment positions in all three funds, and never regretted it.... Besides my reservation regarding market neutral investing, this book gives you an excellent foundation on this subject." --- Pal Anand <palsanand@xxxxxxxxx> wrote: > > The reader reviews of this book were not encouraging. > > rgds, Pal > > > If you liked the above article on pair trading you > would > like "Market Neutral" ( Long /Short strategies for Every > Market > Enviroment) by Lederman and Kleine which has a lot of > such similiar > strategies and given in detail including the above > .Scraps of the > book can be found by any search engine and are available > all over the > web. > > > > > > Warm regards, > > Natasha $$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$ Hi, Regarding the mails above,market neutral investing is a series of strategy used by most if not all hedge funds and is as old as the hills.It is also used by individual investors especially high net worth (HNI)who are mostly seasonal investors.We use amibroker viz charting software to make our trading decisions but these guys use the charts as an additional and not a primary decision making tool.Basically it is used to make portfolio beta neutral(zero).It is used to trade various other instruments also. The book you have mentioned (Nicholas) is one of 4 available on amazon and the only one with reviews.Nicholas is very well informed about the market neutral outlook but he is basically a consultant on hedge funds.The reviews of his book are not bad and the book appears to be a basic book of info according to one review.The authors (Lederman and Kleine)have more than 20 books under their belt and are in the primary business of trading and writing about diverse aspects of trading .Frankly i like their books and belive in most of the things they write.(Make sense to me). Personally i would read a book written by a renowned person whose primary business is writting about trading strategies and trading instruments and read about all aspects of market neutral before picking a hedge fund to invest in .It is not just one strategy. I have selectively enclosed a page out of the many i have in my digital library because it has a ref to a nobel laurete and his paper on the subject. There is also some info from a chapter of the book at www.sandalwoodsecurities.com/chpfundoffund.pdf Its not difficult to write a book.All you need is above average information on the subject which is easily available after some research, excellent command of the language and mostly proper presentation.I have downloaded a truckload of info from the web about all aspects of trading . I can write a book and my friends can give reviews. I am currently a seasonal investor Btw and trying to get to know how the other side invests using charts etc, etc,
Happy reading.

Warm regards,
Natasha !

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Market
Neutral Investing
by Mark T.
Finn

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For those investors who believe
in active management, a market neutral strategy may offer the
most attractive asset allocation option available. While
market neutral strategies have not been widely used to date,
there are signs that the trend may be changing. These signs
include recent articles in the popular press, such as
Business Week, U.S. News & World Report, Forbes
and The Wall Street Journal. In addition, several new
market neutral mutual funds have become available and more are
expected. (A change in tax regulations in 1997 lifted certain
restrictions on short selling, thereby making a market neutral
mutual fund possible for the first time.) In addition, there
seems to be a significant increase in interest in market
neutral strategies from institutional plan sponsors such as
General Motors, Ameritech and Monsanto.

This interest
is encouraged by such investment notables as William F.
Sharpe. Sharpe, the recipient of the 1990 Nobel prize in
economics and widely regarded as one of the foremost experts
on investing, titled a presentation he gave on market neutral
investing as, "A Modest Proposal to Revolutionize the
Investment Management Industry."

This paper will
describe market neutral investing and summarize the issues
that financial planners should consider in determining the
proper role for a market neutral strategy.

color=darkred size=3>What is 'Market
Neutral'?

Market neutral investing is
an investment technique that combines the purchase of
undervalued securities with the short sale of overvalued
securities in such a way as to neutralize the impact of the
overall market for that type of security. This strategy is
also referred to as a "zero beta" strategy. This is because,
since the portfolio is neutral to the overall market, the
portfolio has no volatility or co-movement with the overall

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