NO.PZ2019012201000078
问题如下:
Which of following two statements are correct regarding on inherent limitations of Market-neutral strategies?
Statement 1: Practically speaking, it is no easy task to maintain a beta of zero.
Statement 2:Market-neutral strategies have a limited upside in a bull market unless they are “equitized.”
选项:
A. Statement 1
B. Statement 2
C. Both
解释:
Market-neutral strategies have two inherent limitations:
1 Practically speaking, it is no easy task to maintain a beta of zero. Not all risks can be efciently hedged, and correlations between exposures are continually shifting.
2 Market-neutral strategies have a limited upside in a bull market unless they are “equitized.” Some investors, therefore, choose to index their equity exposure and overlay long/short strategies. In this case, the investor is not abandoning equity-like returns and is using the market-neutral portfolio as an overlay.
Therefore, both of the statements are correct.
therefore, choose to index their equity exposure and overlay long/short strategies. 這句話意思是 買一個index 就有市場系統beta 再加一個 pair trading 這樣就享受非系統風險這樣嗎 那其實pair trading 是不是相信市場無效呢?