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努力的百香果 · 2024年06月07日

c没看懂 能在讲讲吗？

  1. CFA III
  2. Equity

NO.PZ2019012201000079

问题如下：

Which of following is correct regarding on Implementation Constraints?

选项：

A.

Twice the absolute risk will lead to twice the return.

B.

Markowitz efficient frontier shows that the relationship between return and risk is convex.

C.

There is a level of leverage beyond which volatility reduces expected returns.

解释：

C is corrent. Portfolios may face implementation constraints that decrease the IR if active risk increases beyond a specific level; Portfolios with high absolute risk targets face limited diversification opportunities, which may lead to a decrease in the SR. There is a level of leverage beyond which volatility reduces expected returns.

主要是说当杠杆过高，虽然可能会带来收益，但是风险也会增加，带来更大的波动，反而会降低收益。打个比方，昨天跌了10%，今天涨了10%，看起来好像是一样的。但是实际不是一回事，反而是亏损的（亏损1%），加杠杆后会进一步降低收益。

There may be constraints that prevent Manager A from scaling his active weights.So twice the absolute risk will not lead to twice the return, Markowitz efficient frontier shows that the relationship between return and risk is concave.

如标题 c没看懂 能在讲讲吗？

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1 个答案

笛子_品职助教 · 2024年06月07日

嗨，努力学习的PZer你好：


Hello，亲爱的同学~

这里需先了解一个知识点，风险增加后，收益并不一定同等幅度的增加。


为了说明这个原理，后面一页还有一道例题。


同学可以看出，单期收益，是10%的算术收益率，20%的风险。

如果加3倍杠杆，风险从20%扩大到60%，扩大3倍。

但收益并未扩大3倍。收益反而只有8%。


因为高波动率，抵消了收益。

举例来说，第一年亏50%，第二年赚50%，但综合两年下来，还是亏25%。


有了以上知识点基础上，我们再看本题。

C选项：There is a level of leverage beyond which volatility reduces expected returns.

意义是，杠杆过高会带来高波动，高波动反而会削减收益率。

正是知识点所表达的含义。

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