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cika · 2023年02月04日

麻烦老师讲下这道题

* 问题详情,请 查看题干

NO.PZ202206260100000404

问题如下:

Thompson’s comments to Taylor regarding the evaluation of alternative investments are least likely appropriate with regard to:

选项:

A.benchmarks for private investments. B.valuation and risk of alternative investments. C.the need to monitor managers and investment processes.

解释:

Solution

B is correct. Infrequent pricing (in this case, quarterly) can make it difficult to measure volatility and correlation because too few observations are available. Furthermore, stale pricing and the use of appraisals for valuation lead to smoothing effects (swings in market values are muted), which in effect understates return volatility and reduces measured return correlations with publicly traded assets, making the diversification benefits of alternative assets seem better than they actually are. Efforts must be made to correct for these biases when measuring the performance of alternative investments.

A is incorrect. Although no benchmark for alternative investments is perfect, the ones identified by Taylor are in keeping with industry practice and appropriate given the nature of the investments (nonventure for private equity and direct lending for private credit).

C is incorrect. With alternative investments, investors do need to pay attention to numerous aspects of the investment process, including key-person risk, conflicts of interest between the general partner and the investor, style drift, client and asset turnover, reliability of service providers, and so on. In general, investors do not need to monitor the manager or the investment process when investing in publicly traded assets because these tend to be more transparent and more highly regulated.

麻烦老师讲下这道题,谢谢

3 个答案

伯恩_品职助教 · 2023年05月19日

嗨,爱思考的PZer你好:


AI是alternative——同学,这样检查可不能出现在考试上啊,平时最好也不要,很容易出现歧义

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Esther🏵🎠🗝招财🐱 · 2023年05月22日

我记得这个是在 Trading Performance Evaluation and Manager Selection里。-找到了谢谢老师

伯恩_品职助教 · 2023年05月15日

嗨,努力学习的PZer你好:


老师,关于AI的benchmark问题,是否可以深入再捋一下,一直很模糊,对冲基金和私募股权,那个是把peers做为benchmark,这个知识点是在AI还是在机构投资人?——AI?Artificial Intelligence?人工智能?我记得这个是在 Trading Performance Evaluation and Manager Selection里。我也不是特别确定了,但是确定不是在另类里

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加油吧,让我们一起遇见更好的自己!

Esther🏵🎠🗝招财🐱 · 2023年05月18日

AI是alternative

伯恩_品职助教 · 2023年02月06日

嗨,从没放弃的小努力你好:


B 是正确的。不频繁的定价(在这种情况下为季度定价)会使衡量波动性和相关性变得困难,因为可用的观测值太少。此外,陈旧的定价和使用评估进行估值会导致平滑效应(市场价值的波动减弱),这实际上低估了回报波动性并降低了与公开交易资产的衡量回报相关性,使得另类资产的多元化收益似乎优于他们实际情况。在衡量另类投资的表现时,必须努力纠正这些偏差。

我打个比方,一个月才出现一个定价,比如1月是3万,2月是4万,一般会直接把1月到2月的3到4万连成线,感谢像一天一点的涨到4万的,实际可能是15日是8万,1月10日是1万,来回横跳。这样就低估了其波动率

A 不正确。尽管另类投资没有完美的基准,但 Taylor 确定的基准符合行业惯例,并且考虑到投资的性质(私募股权的非风险投资和私人信贷的直接贷款)是适当的。

C 不正确。对于另类投资,投资者确实需要关注投资过程的许多方面,包括关键人物风险、普通合伙人与投资者之间的利益冲突、风格漂移、客户和资产周转率、服务提供商的可靠性等在。一般来说,投资者在投资公开交易资产时不需要监控经理或投资过程,因为这些资产往往更透明,监管更严格。

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加油吧,让我们一起遇见更好的自己!

Esther🏵🎠🗝招财🐱 · 2023年05月14日

老师,关于AI的benchmark问题,是否可以深入再捋一下,一直很模糊,对冲基金和私募股权,那个是把peers做为benchmark,这个知识点是在AI还是在机构投资人?

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NO.PZ202206260100000404 问题如下 Thompson’s comments to Taylor regarng the evaluation of alternative investments are least likely appropriate with regarto: A.benchmarks for private investments. B.valuation anrisk of alternative investments. C.the neeto monitor managers aninvestment processes. SolutionB is correct. Infrequent pricing (in this case, quarterly) cmake it fficult to measure volatility ancorrelation because too few observations are available. Furthermore, stale pricing anthe use of appraisals for valuation leto smoothing effects (swings in market values are mute, whiin effeunrstates return volatility anreces measurereturn correlations with publicly traassets, making the versification benefits of alternative assets seem better ththey actually are. Efforts must ma to correfor these biases when measuring the performanof alternative investments.A is incorrect. Although no benchmark for alternative investments is perfect, the ones intifieTaylor are in keeping with instry practianappropriate given the nature of the investments (nonventure for private equity anrelenng for private cret).C is incorrect. With alternative investments, investors neeto pattention to numerous aspects of the investment process, inclung key-person risk, conflicts of interest between the generpartner anthe investor, style ift, client anasset turnover, reliability of serviprovirs, anso on. In general, investors not neeto monitor the manager or the investment process when investing in publicly traassets because these tento more transparent anmore highly regulate 原文We will measure return anreturn volatility using reportevalues from eafuns quarterly reporting anmarket values for the inxes. 题目让选错的, B 错 是不是因为 原文中“market values for the inxes” 这几个单词啊, 只来源于报告数据?

2023-05-14 16:32 1 · 回答