Drs. Andrew Lo and Alexander Healy propose a futures overlay strategy designed to hedge out or control the common factor exposures of gated assets. The study demonstrates that by taking countervailing positions in stock, bond,...
The study investigated the possibility of creating passive replicating portfolios or “clones” using liquid exchange-traded instruments that could provide similar risk exposures as hedge funds’ at lower cost and with greater transparency.
One of the most influential ideas in the past 30 years is the Efficient Markets Hypothesis, the idea that market prices incorporate all information rationally and instantaneously. However, the emerging discipline of behavioral economics and...
