File this one under “Shorting is easy”, pleasehttps://twitter.com/lhamtil/status/1392841051577200642 …
This idea is Actually Good because you don’t pay the borrow cost on your synthetic shorts. If you’re going to be net long anyway, better to do it with an overlay than with separate allocations to passive and long/short
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I remember something about this kind of thing slightly messing with borrow/basis on R2K ETF's and futures though
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The previous head of Norway’s sovereign wealth fund was into this. I believe it was Yngwie Malmsteen
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I used to do this as a training exercise for summer interns on my desk: Pick a pre-existing index - country, sector, thematic, factor, etc - and remove the "worst" 10% of the names (fundamentally, systematic, whatever) and see if the new index outperforms over the summer.
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