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陈晓昭 · 2020年03月31日

问一道题:NO.PZ2016071602000024 [ FRM II ]

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.

beta不是可以被推导出来么?为何无法确认是high的呢?
2 个答案

小刘_品职助教 · 2020年04月07日

同学你好,

选项C是serial correlation,讲义里是correlation,两个不是一个概念,serial correlation是序列相关性。

小刘_品职助教 · 2020年03月31日

同学你好,

非流动性资产会使得beta偏低,所以不选他,具体可以看一下基础班的讲义182页。

陈晓昭 · 2020年04月04日

如果是这个说法C也应该是low的呀…为啥C和D会不一致呢?

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