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
Statement 2
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 efficiently 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.
No.PZ2019012201000078 (选择题)
第2点陈述，市场中性策略在牛市中是limited upside 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limited upside potential的说法其实是不对的或者不准确的，应该是没有upside的能力。为什么这个理解不对呢？
