How does one measure a performance of a market neutral strategy?
Author: saltation
Creation Date: 2/23/2011 5:18 PM
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saltation

#1

2/23/2011 5:18 PM

Hi, I'm new to wealth lab.

I was trying to create a market neutral portfolio for testing, but couldn't figure out how this could be done. Can someone please help?

Thanks.
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Eugene

#2

2/24/2011 12:45 AM

Hi,

So is the question ultimately "how to create a market neutral strategy" or "which performance metrics to use" to evaluate it? In any case, simply click "Download" in the "Open Strategy" dialog to get all available strategies uploaded on our site, and explore the "Market-neutral VIX-based pair" strategy that should appear in your WLP. There's a number of other similar strategies under the "Intermarket" folder to review.
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