Whys is it that they say that a long & short strategy is necessarily market neutral - i.e. it is not impacted by systemic risk, no matter the direction or intensity or the movement on the market.
I mean, even if you buy a pair trade (long/short within the same sector), the two stocks will likely have different sensitivities to market factors, right? (e.g. one company could have more debt indexed to interest rates).
Are we implicitly assuming all else equal the portfolio will be immune to systemic risk?