开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

和棋 · 2021年03月19日

为什么会导致higher correlation？

  1. FRM II
  2. Risk Management And Investment Management

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.

为什么会导致higher correlation？

添加评论
1 个答案

小刘_品职助教 · 2021年03月19日

同学你好，

这是个结论，感觉数学推导也比较难～大概可以这么理解，比如一组数据原来是0，-0.1，-0.2，……，1 这一组数，另一组数 是0，杂乱无章的另一组数，1，两组真实的相关性是很低的。但因为你的Illiquidity，相当于你降低了抽样频率，第一组数变成了0，1；第二组数也变成了0，1，他们之间的correlation就变成了100%

  • 1

    回答

  • 0

    关注

  • 446

    浏览
相关问题

NO.PZ2016071602000024 问题如下 For a portfolio of illiquiassets, hee funmanagers often have consirable scretion in portfolio valuation the enof eamonth anmhave incentives to smooth returns marking values below actual, in high-return months anabove actual, in low-return months. Whiof the following is not a consequenof return smoothing over time? A.Higher Sharpe ratio B.Lower volatility C.Higher sericorrelation Higher market bet is correct. Illiquity creates unrstatement of the totrisk measure; a result, the Sharpe ratio will artificially higher. Illiquity creates tren in returns (higher sericorrelation), market shocks ring a month will partially recorin two consecutive months. Illiquity, however, biases the market beta wnwar 如题

2024-03-19 09:33 2 · 回答

NO.PZ2016071602000024 问题如下 For a portfolio of illiquiassets, hee funmanagers often have consirable scretion in portfolio valuation the enof eamonth anmhave incentives to smooth returns marking values below actual, in high-return months anabove actual, in low-return months. Whiof the following is not a consequenof return smoothing over time? A.Higher Sharpe ratio B.Lower volatility C.Higher sericorrelation Higher market bet is correct. Illiquity creates unrstatement of the totrisk measure; a result, the Sharpe ratio will artificially higher. Illiquity creates tren in returns (higher sericorrelation), market shocks ring a month will partially recorin two consecutive months. Illiquity, however, biases the market beta wnwar 老师能不能详细讲解一下这道题的思路，看到之后完全没感觉，不知道用哪个知识点去解答

2023-07-11 13:48 1 · 回答

NO.PZ2016071602000024 问题如下 For a portfolio of illiquiassets, hee funmanagers often have consirable scretion in portfolio valuation the enof eamonth anmhave incentives to smooth returns marking values below actual, in high-return months anabove actual, in low-return months. Whiof the following is not a consequenof return smoothing over time? A.Higher Sharpe ratio B.Lower volatility C.Higher sericorrelation Higher market bet is correct. Illiquity creates unrstatement of the totrisk measure; a result, the Sharpe ratio will artificially higher. Illiquity creates tren in returns (higher sericorrelation), market shocks ring a month will partially recorin two consecutive months. Illiquity, however, biases the market beta wnwar a portfolio of illiquiassets 考虑自相关性C是怎么考虑的？老师这道题能不能详细讲解下，解析看不太懂，什么会有biases the market beta wnwar

2022-11-12 21:32 1 · 回答

NO.PZ2016071602000024 这道题就是说 通过平滑return 能有啥后果呗？ 平滑return 应该主要就是降低sigma呗？ 那sigma降低 correlation 不也降低吗？infrequent sampling那页屁屁踢写的呀？ 咋还能选increase correlation呢？ beta咋变不一定吧。。。beta是不是根据CAPM算呀？那return要是平滑了，beta也就平滑了呗？ 就是问问C~

2021-11-13 23:59 2 · 回答