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eee · 2019年05月02日

书后22题,smoothing understate gain吗?




Magerski’s concern about a biased Sharpe ratio for hedge funds is most likely because:

  1. eliminating extreme returns reduces the standard deviation of returns.

  2. smoothing returns can overstate true gains and losses and calculated volatility.

  3. lengthening the measurement interval from weekly data to monthly data increases the estimate of annualized standard deviation of returns.

(Institute 115)




书后答案


Smoothing returns understates gains and losses and reduces volatility

(Institute 127)

Institute, CFA. 2019 CFA Program Curriculum Level III Volume 5. CFA Institute, 5/2018. VitalBook file.

所提供的引文是一个指南。请在使用之前查看每个引文以确保准确性。

请问为什么smoothing understate gain and loss??






1 个答案
已采纳答案

韩韩_品职助教 · 2019年05月02日

smoothing一般是采用衍生品进行对冲,对冲之后的风险变小了,return也会变小了。

原版书内容:在Sharpe ratio can be gamed知识点下面:

Smoothing returns. Using certain derivative structures, infrequent marking to market of illiquid assets, and pricing models that understate monthly gains or losses can reduce reported volatility.

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