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Roxanne_104 · 2020年07月19日

问一道题: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.

请问是如何导致高序列相关的?

低相关性是不是因为DATA只保留了质量好的?

1 个答案

袁园_品职助教 · 2020年07月22日

同学你好!

1. 请问是如何导致高序列相关的?

解析中也解释了:由于市场一个月中的剧烈变化会被分别记录在前后两个月中,导致数据的序列相关性较高

2. 低相关性是不是因为DATA只保留了质量好的?

你问的这个低相关性是指谁跟谁的相关性?

 

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