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G. DeSimone and A. Rotach: The Implied Advantage: Empowering Beta-Neutrality with Options-Based Metrics

August 9, 2023

In this research, we present evidence showcasing the superior effectiveness of implied betas in achieving beta neutrality for leveraged long/short factor portfolios compared to historical beta estimates. We find that nearly all portfolios using implied beta for leverage calculation are more successful in approximating the target beta of zero.

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