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LHY · 2021年11月28日

alpha(risk-adjust calculation of value added)= R P – β P × R B,里面的β是什么?

NO.PZ2018091701000034

问题如下:

Analysts make two conclusions about active portfolio management:

Conclusion one: The active return is equals to the portfolio’s return minus the benchmark portfolio’s return, which is not the same as alpha.

Conclusion two: The active weights are equals to the portfolio’s weights minus the benchmark’s weights.

Which of the following statement is most correct?

选项:

A.

Conclusion one is correct.

B.

Both conclusions are correct.

C.

Conclusion two is correct.

解释:

B is correct.

考点value added 的定义

解析第一个结论是考察active returnalpha的区别

active return(value added)=RP-RB

alpha(risk-adjust calculation of value added)= R P  β P × R B

所以第一个结论是正确的

第二个结论是考察active weight的定义就是Wp-Wb. 所以也是正确的

alpha(risk-adjust calculation of value added)= R P – β P × R B,里面的β是什么?

1 个答案

星星_品职助教 · 2021年11月28日

同学你好,

βp是portfolio的贝塔,代表风险,通过回归得到。

加上这一项就相当于组合的value added 是经过风险调整过的了(risk-adjusted)