Michael Hunstad - Institutional Trends in Factor Investing (S3E9)
Flirting with Models
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How to Overweight a Stock in a Portfolio?
Long short is inherently constrained to how much you have of that stock in a bench mark. So if most of the return of a factor comes from the short side, and you try to plement that in long only, well, it's over before it starts. A complete underweg to the mega caps would deviate your bata so much from the bench mark that you'd have a really hard time meeting that bata one objective.
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