And funds that rely on this strategy double their market risk.
The bond would be subject to "market risk" if the investor were to sell it six months later, he said.
"True" arbitrage requires that there be no market risk involved.
Neither labor nor management was overly concerned about market risk.
But today, to reduce market risk, the settlement period is typically three working days.
Also, Treasury bill holders are subject to a slight market risk.
Investors can also skirt the rule by sitting out 60 days, though at some market risk.
Margins are determined on the basis of market risk and contract value.
But Caterpillar's stock, she says, has already built in this market risk.
This market risk does not matter if you hold until maturity.