If George Costanza Were a Hedge Fund Manager

4 Pages Posted: 27 Jan 2019 Last revised: 11 Jul 2019

Date Written: January 14, 2019

Abstract

Continuously rebalanced long-short trades are similar to highly levered trades in that their PNL profile depends not only on the final distribution of return, but also on the realized co-variance structure of the asset pair. It's easily possible for both orientations of a rebalanced long-short to trade lose money.

JEL Classification: B12, B16, B20, C00, C10, C11, C50, C57, C73, D03, D81, D83, E00, G00, G02, G11, G12, G14, G17, G23

Suggested Citation

White, James and Haghani, Victor, If George Costanza Were a Hedge Fund Manager (January 14, 2019). Available at SSRN: https://ssrn.com/abstract=3315624 or http://dx.doi.org/10.2139/ssrn.3315624

James White (Contact Author)

Elm Partners ( email )

1630 Willow View Drive
PO Box 1417
Wilson, WY 83014

Victor Haghani

Elm Partners ( email )

1630 Willow View Drive
PO Box 1417
Wilson, WY 83014

HOME PAGE: http://www.elmfunds.com

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