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muamadove · 2022年05月16日

这个问题是什么意思?

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NO.PZ202110280100000201

问题如下:

Determine, based on Beamon’s description of the Ogive Fund’s characteristics, his likely inclination to aggressively implement the fund’s strategy. Justify your response.

解释:

Beamon is likely to take a measured approach in implementing the Ogive Fund’s strategy. In particular, trade urgency, which refers to how quickly or slowly an order is executed over the trading time horizon, is likely to be low for the Ogive Fund. Greater trade urgency is associated with executing over shorter horizons, whereas lower trade urgency is associated with executing over longer horizons. To capitalize on views related to mispricing, the Ogive Fund’s individual positions may be held for several years. Minimal trading is required, and any necessary trading can often be carried out in a more patient manner. Additionally, the return payoffs associated with the Ogive Fund’s long-term investment views and value orientation are not likely to be rapidly acted on by other market participants. Thus, the rate or level of expected alpha decay, which refers to the erosion or deterioration in short-term alpha once an investment decision is made, is low.

这个问题是什么意思 考点在哪里

1 个答案

吴昊_品职助教 · 2022年05月17日

嗨,爱思考的PZer你好:


本题考查的是trade urgency和alpha decay。

long-term、persistent mispricing opportunities、three-year这些关键词都表明交易不紧急,所以这道题只要能分析出trade urgency低,alpha decay慢,就可以了。

同学可以回听一下李老师在课后题班中对于这道题的解释。答题时把李老师画红线的部分写上就可以了,解释中的第一句话可以忽略,原版书正文没有出现过measured approach。

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