问一道题：NO.PZ2019012201000078

NO.PZ2019012201000078 问题如下 Whiof following two statements are correregarng on inherent limitations of Market-neutrstrategies?Statement 1: Practically speaking, it is no easy task to maintain a beta of zero. Statement 2:Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” A.Statement 1 B.Statement 2 C.Both Market-neutrstrategies have two inherent limitations:1 Practically speaking, it is no easy task to maintain a beta of zero. Not all risks cefficiently hee ancorrelations between exposures are continually shifting.2 Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” Some investors, therefore, choose to inx their equity exposure anoverllong/short strategies. In this case, the investor is not abanning equity-like returns anis using the market-neutrportfolio overlay.Therefore, both of the statements are correct. No.PZ2019012201000078 (选择题)第2点陈述，市场中性策略在牛市中是limiteupsi potential。按照市场中性策略的特点，系统性风险β=0，也即不随市场涨跌。那么limiteupsi potential的说法其实是不对的或者不准确的，应该是没有upsi的能力。为什么这个理解不对呢？

NO.PZ2019012201000078 问题如下 Whiof following two statements are correregarng on inherent limitations of Market-neutrstrategies?Statement 1: Practically speaking, it is no easy task to maintain a beta of zero. Statement 2:Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” A.Statement 1 B.Statement 2 C.Both Market-neutrstrategies have two inherent limitations:1 Practically speaking, it is no easy task to maintain a beta of zero. Not all risks cefficiently hee ancorrelations between exposures are continually shifting.2 Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” Some investors, therefore, choose to inx their equity exposure anoverllong/short strategies. In this case, the investor is not abanning equity-like returns anis using the market-neutrportfolio overlay.Therefore, both of the statements are correct. 还是不是很理解为什么statement 2是对的

NO.PZ2019012201000078 问题如下 Whiof following two statements are correregarng on inherent limitations of Market-neutrstrategies?Statement 1: Practically speaking, it is no easy task to maintain a beta of zero. Statement 2:Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” A.Statement 1 B.Statement 2 C.Both Market-neutrstrategies have two inherent limitations:1 Practically speaking, it is no easy task to maintain a beta of zero. Not all risks cefciently hee ancorrelations between exposures are continually shifting.2 Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” Some investors, therefore, choose to inx their equity exposure anoverllong/short strategies. In this case, the investor is not abanning equity-like returns anis using the market-neutrportfolio overlay.Therefore, both of the statements are correct. 老师请问Statement 2如何理解呢？Statement 2:Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize”

NO.PZ2019012201000078 问题如下 Whiof following two statements are correregarng on inherent limitations of Market-neutrstrategies?Statement 1: Practically speaking, it is no easy task to maintain a beta of zero. Statement 2:Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” A.Statement 1 B.Statement 2 C.Both Market-neutrstrategies have two inherent limitations:1 Practically speaking, it is no easy task to maintain a beta of zero. Not all risks cefciently hee ancorrelations between exposures are continually shifting.2 Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” Some investors, therefore, choose to inx their equity exposure anoverllong/short strategies. In this case, the investor is not abanning equity-like returns anis using the market-neutrportfolio overlay.Therefore, both of the statements are correct. 如果用衍生去overlay，例如买股指期货，这种不会影响β导致β↑吗？为什么

NO.PZ2019012201000078问题如下Whiof following two statements are correregarng on inherent limitations of Market-neutrstrategies?Statement 1: Practically speaking, it is no easy task to maintain a beta of zero. Statement 2:Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” A.Statement 1 B.Statement 2 C.Both Market-neutrstrategies have two inherent limitations:1 Practically speaking, it is no easy task to maintain a beta of zero. Not all risks cefciently hee ancorrelations between exposures are continually shifting.2 Market-neutrstrategies have a limiteupsi in a bull market unless they are “equitize” Some investors, therefore, choose to inx their equity exposure anoverllong/short strategies. In this case, the investor is not abanning equity-like returns anis using the market-neutrportfolio overlay.Therefore, both of the statements are correct. mrt-neutral了还怎么equitize？请问具体是怎么操作呢