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中文题目A portfolio mixes a market-neutral arbitrage sleeve with realized return 4% and beta 0.2, and a directional sleeve with realized return 14% and beta 1.4. Let w be the weight in the directional sleeve and 1-w in the arbitrage sleeve. If the risk-free rate is 2% and the market retu
打开 →A live manager database now contains 32 market-neutral funds and 24 credit relative-value funds. Historical survival rates for those styles were 80% and 50%, respectively. What fraction of the original launches were credit relative-value funds?
打开 →A PM says, "This market-neutral sleeve has a poor standalone Sharpe, so it should never receive weight in a Markowitz optimizer." The sleeve is mildly negatively correlated with the core book. How would you respond in two or three sentences?
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