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世纪之龙5 · 2024年03月19日

能解释一下cd原因吗

NO.PZ2016071602000024

问题如下:

For a portfolio of illiquid assets, hedge fund managers often have considerable discretion in portfolio valuation at the end of each month and may have incentives to smooth returns by marking values below actual, in high-return months and above actual, in low-return months. Which of the following is not a consequence of return smoothing over time?

选项:

A.

Higher Sharpe ratio

B.

Lower volatility

C.

Higher serial correlation

D.

Higher market beta

解释:

D is correct. Illiquidity creates an understatement of the total risk measure; as a result, the Sharpe ratio will be artificially higher. Illiquidity creates trends in returns (higher serial correlation), as market shocks during a month will be partially recorded in two consecutive months. Illiquidity, however, biases the market beta downward.

如题

2 个答案
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品职答疑小助手雍 · 2024年03月20日

D:因为资产的流动性差,所以用于计算收益的交易就少,计算的频率不频繁,这个收益率的变动无法跟实时变化的其他资产的收益率联系起来,因而beta下降。

品职答疑小助手雍 · 2024年03月20日

同学你好,

C:这是个结论,感觉数学推导也比较难,大概可以这么理解,比如一组数据原来是0,-0.1,-0.2,……,1 这一组数,另一组数 是0,杂乱无章的另一组数,1,两组真实的相关性是很低的。但因为你的Illiquidity,相当于你降低了抽样频率,第一组数变成了0,1;第二组数也变成了0,1,他们之间的correlation就变成了100%

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