market neutral portfolio

[Anthony Pappion]

Should a market neutral portfolio that has a return of greater than 10% have an alpha volatility of less than 4%? Or is 4% to high for this strategy if long to short holdings is 1:1 using no leverage?

Anthony Pappion



Edited 1 time(s). Last edit at Saturday, June 30, 2007 at 10:06AM by Anthony Pappion.