A zero-beta portfolio, also known as a market neutral portfolio, is a type of investment portfolio that is designed to have a beta of zero. Beta measures the sensitivity of an investment's performance to the performance of a market index. A beta of zero means that an investment will not be affected by a movement in the referenced market index.

Zero-beta portfolios are constructed specifically to reduce or eliminate exposure to the ups and downs of the stock market. To achieve a beta of zero, investors will hold a combination of assets that should offset each other, such as long exposure to one security and short exposure to another identical security. The idea is to capitalize on the perceived mispricings that occur between a security's long and short positions. As such, zero-beta portfolios have minimal correlation with the benchmark index, providing a downside protection during bear markets.

Zero-beta portfolios can be an attractive investment strategy for those seeking to avoid risk without sacrificing returns. In fact, zero-beta portfolios are particularly attractive in times of market instability, where they provide defensive strategies enabling investors to make money without taking the same exposure to the typical market risks.

However, zero-beta portfolios are unlikely to attract investor interest in bull markets, since these portfolios would underperform diversified market portfolios which have exposure to the rising markets. Furthermore, due to the hedging strategy necessary to make a zero-beta portfolio, these portfolios may still have other risks such as liquidity risk, counterparty risk, and interest rate risk since the investors may need to hold assets for lengthy periods.

All said, zero-beta portfolios can be a useful tool for minimizing some of the risks associated with investing in the stock market. Yet it’s important for investors to be aware of both the potential benefits and drawbacks of investing in these strategies in order to make an informed decision about the best portfolio for their individual investing needs.