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xiaobaiybz · 2024年06月30日

请讲解一下这道题，谢谢老师

  1. CFA III
  2. Alternative

NO.PZ2023010407000027

问题如下：

In preparation for the first meeting between Zen-Alt and the fund, Gension and Smittand discuss implementing a short-biased equity strategy within the fund. Smittand makes the following three statements regarding short-biased equity strategies.


Which of Smittand’s statements regarding short-biased equity strategies is incorrect?

选项：

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释：

B is correct. While bonds reduce the probability of achieving a target return over time, they have been more effective as a volatility mitigator than alternatives over an extended period of time.

A is incorrect because Statement 1 is correct. Short-biased strategies are expected to provide some measure of alpha in addition to lowering a portfolio’s overall equity beta.

C is incorrect because Statement 3 is correct. Short-biased equity strategies help reduce an equity-dominated portfolio’s overall beta. Short-biased strategies are believed to deliver equity-like returns with less-than-full exposure to the equity premium but with an additional source of return that might come from the manager’s shorting of individual stocks.

请讲解一下这道题，谢谢老师

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1 个答案

伯恩_品职助教 · 2024年07月01日

嗨，从没放弃的小努力你好：


short-bias加入到股票中是波动率更大。而bond的波动本身就小，而且和股票受到的影响因素重合很低。所以bond加入到股票中的波动肯定要比short-bias加入股票的波动小很多，所以B错

另外讲义中说长期中加入另类组合比bond好，不是波动率低，是因为长期投资不在乎波动率，等波动过去了收益高了再平仓兑现，长期看重要的 是收益

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