NO.PZ2022122701000002
问题如下：
Angels made the following general statements about trading strategies.
Statement 1: Trading in
securities with a higher rate of alpha decay, like MPU, will have better
execution if we adopt a longer trade time horizon.
Statement 2: The more liquid
the security, such as MPU, the higher the market impact of trading will be.
Which of Lenny Angels’s
statements regarding trading strategies is most likely to be correct?
选项：
A.Statement 1
Statement 2
Neither Statement 1 nor Statement 2 is correct
解释：
Correct Answer: C
Depending on the
expected rate of alpha decay, portfolio managers are better off trading the
order faster (by selecting a higher trade urgency). Higher rates of alpha
decay, or alpha loss, require faster (or more accelerated) trading, to realize
alpha before it is traded on by other market participants.
All else being
equal, greater liquidity reduces market impact.
如题
