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jason · 2022年07月22日

这道题应用了那个知识点

NO.PZ2016071602000025

问题如下:

You are asked to estimate the exposure of a hedge fund to the S&P 500. Though the fund claims to mark to market weekly, it does not do so and merely marks to market once a month. The fund also does not tell investors that it simply holds an exchange-traded fund (ETF) indexed to the S&P 500. Because of the claims of the hedge fund, you decide to estimate the market exposure by regressing weekly returns of the fund on the weekly return of the S&P 500. Which of the following correctly describes a property of your regression estimates?

选项:

A.

The intercept of your regression will be positive, showing that the fund has a positive alpha when estimated using an ordinary least squares (OLS) regression.

B.

The beta will be misestimated because hedge fund exposures are nonlinear.

C.

The beta of your regression will be one because the fund holds the S&P 500.

D.

The beta of your regression will be zero because the fund returns are not synchronous with the S&P 500 returns.

解释:

D is correct. The weekly returns are not synchronized with those of the S&P. As a result, the estimate of beta from weekly data will be zero.

这道题应用了那个知识点

1 个答案

DD仔_品职助教 · 2022年07月23日

嗨,爱思考的PZer你好:


这里最基础的是考察读题能力,同时也考察了在做回归时的系数的计算,即在CAPM模型中的beta的计算。

因为对冲基金是每月结算盈亏,但他和投资者声称是每周结算,因此基金的收益和实际指数收益的波动是不同步的。两组变化不同步的数据,这里就认为它们是不相关的(甚至可能是独立的),所以ρ=0,贝塔在这里是回归系数,所以回归系数等于0,贝塔等于零。

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NO.PZ2016071602000025 问题如下 You are asketo estimate the exposure of a hee funto the S P 500. Though the funclaims to mark to market weekly, it es not so anmerely marks to market ona month. The funalso es not tell investors thit simply hol exchange-trafun(ETF) inxeto the S P 500. Because of the claims of the hee fun you ci to estimate the market exposure regressing weekly returns of the funon the weekly return of the S P 500. Whiof the following correctly scribes a property of your regression estimates? A.The intercept of your regression will positive, showing ththe funha positive alpha when estimateusing ornary least squares (OLS) regression. B.The beta will misestimatebecause hee funexposures are nonlinear. C.The beta of your regression will one because the funhol the S P 500. The beta of your regression will zero because the funreturns are not synchronous with the S P 500 returns. is correct. The weekly returns are not synchronizewith those of the S P. a result, the estimate of beta from weekly ta will zero. 请问如果每月结算收益,那么这一个月中的每个周单独看就没有return吗?题目中说看每周的return,那么我可能会理解成收益和亏损已经反映在return(即基金净值中),只是没有结算而已

2022-11-08 13:58 1 · 回答

NO.PZ2016071602000025 为啥那么BETA 不是1 呢

2021-05-12 21:26 1 · 回答

NO.PZ2016071602000025 A为什么错呢,不懂

2021-02-19 17:44 1 · 回答

     这个HF不是只投了SP500的ETF吗?为什么和SP500的回归beta会是0呢?是不是只是因为回归的时间上有差异?谢谢指导!

2019-01-29 14:26 1 · 回答