Financial Risk Manager Part 2
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During a presentation on investment strategies aimed at newly-hired portfolio analysts, which of the following statements would accurately describe low volatility strategies that a portfolio manager at a pension fund should highlight?
A
The strategies tend to have significant alphas relative to standard market capitalization benchmarks.
B
The strategies tend to have negative alphas relative to dynamic factors such as value or momentum.
C
The strategies tend to generate high alphas over the risk-free rate but negligible alphas over any other benchmark.
D
The strategies tend to generate low alphas if the benchmark used is adjusted for risk and high alphas otherwise.