问一道题：NO.PZ2016071602000025 [ FRM II ]

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

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. 这道题应用了那个知识点

NO.PZ2016071602000025 为啥那么BETA 不是1 呢

NO.PZ2016071602000025 A为什么错呢，不懂

     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！