A risk analyst in a fund of funds is gauging the liquidity risk exposure of a hedge fund by examining the autocorrelation in the fund's returns. If found, a significant first-order autocorrelation coefficient of 0.5 for the monthly historical returns can be seen as an indicator of all of the following except:
A. High market frictions.
B. Historical return smoothing.
C. Engaging in a managed futures strategy.
D. Investments in the equity of non-public firms.
Answer:C
Autocorrelation (自相关): 残差项之间存在correlation,市场越有效, 自相关发生的可能性越小。