The market neutral strategy, also known as the Alpha strategy, refers to using quantitative or qualitative methods to select a basket of stocks that can beat the market index with a high probability, and eliminating broad-based index targets such as shorting the corresponding stock index futures. Market systemic risk (Beta), an investment method to obtain stable returns.

Building a market-neutral strategy through ETFs mainly involves shorting ETFs through securities lending instead of the traditional method of shorting stock index futures. On the one hand, ETFs do not need to be continuously rolled over like stock index futures, which reduces the risk of position adjustment; on the other hand, if the long stock portfolio has certain sector, industry and other characteristics, it may lack stock index futures products corresponding to the index, and the coverage of ETF products Probably wider. But at the same time, the scale of ETF securities lending is limited, and the liquidity and capacity may be reduced relative to stock index futures. In addition, ETF securities lending fees are relatively high.