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410140980 · 2022年11月12日

市场好的时候基金经理获得负的超额收益

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000007

问题如下：

Assume that a hedge fund provides a large positive alpha. The fund can take leveraged long and short positions in stocks. The market went up over the period. Based on this information,

选项：

A.

If the fund has net positive beta, all of the alpha must come from the market.

B.

If the fund has net negative beta, part of the alpha comes from the market.

C.

If the fund has net positive beta, part of the alpha comes from the market.

D.

If the fund has net negative beta, all of the alpha must come from the market.

解释：

C is correct. Because the market went up, a portfolio with positive beta will have part of its positive performance due to the market effect. A portfolio with negative beta will have in part a negative performance due to the market. Answer a. is incorrect because the fund manager could still have generated some of its alpha through judicious stock picking. Answers b. and d. are incorrect because a negative beta combined with a market going up should lead to a negative, not positive, return.

解析说A portfolio with negative beta will have in part a negative performance due to the market.

我没理解，题干不是说市场现在是表现比较好，是 went up in the period，这时候你在获得negative的 alpha不就是你自己的问题了吗？A portfolio with negative beta will have in part a negative performance due to manager ability才对吧

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1 个答案

品职答疑小助手雍 · 2022年11月13日

同学你好，注意题目说了fund可以举杠杆，然后选项说的是如果fund有正或负的beta的时候会怎么样。

那市场好的时候，正的beta会带来正收益，所以fund一部分的alpha来源于市场上升。

而负的beta就会带来负的收益，那么fund的所有的alpha都源于基金经理找的股票alpha高。

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