Research method
Beta hedging
Beta hedging is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Market-regime classification
- Input
- Cross-market prices, volatility, carry and portfolio weights
- Horizon
- Weeks to months
- Best use
- Put a single trade into a diversified or regime-aware context.
- Input: Cross-market prices, volatility, carry and portfolio weights.
- Output: market-regime.
- Use boundary: Put a single trade into a diversified or regime-aware context.
The archive
Where the method has been read
Read in the archive15 readings
1989Rank rotation opens the names; pairing keeps the hedge1991Evaluating allocation sleeves against an index proxy1991Construct an equity book by weakening residual co-movement, then setting a market slope1992Portfolio beta overlays with index futures and puts1992Sizing index futures to retarget portfolio beta1997Construct a trailing stop from beta and price1998An offense-defense matrix for regime-aware stock selection1998Constructing a stock-book duration proxy from beta and bond markets2001When beta hedging misreads portfolio volatility2007An index put as deductible insurance for an active stock book2010Constructing option overlays for beta-adjusted portfolios2013Classroom books, leftover beta, and diversification2014Long-only relative value with an index hedge and a crisis stop2017Hedging a rising book with beta and ATR2019Sizing micro index futures overlays for cash equity books
This registry entry describes a research method. It is not investment advice and does not make a performance claim.