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Quantitative Finance · Glossário

O que é Dispersion weighting?

Definition 2.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 2 — Dispersion and Correlation

Dispersion weighting is the choice of the members’ notionals in a dispersion trade: equal to their index weights, so that the trade is short correlation and long the members’ specific variance; or scaled so that the members’ total vega equals the index’s (vega-neutral), so that a common rise in volatility leaves the book flat and its P&L comes mainly from correlation.

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