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.
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CD嗯~