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冰霄 · 2022年04月20日

D选项为什么不对 是太绝对了吗

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000007

问题如下：

Assume that a hedge fund provides a large positive alpha. The fund can take leveraged long and short positions in stocks. The market went up over the period. Based on this information,

选项：

A.

If the fund has net positive beta, all of the alpha must come from the market.

B.

If the fund has net negative beta, part of the alpha comes from the market.

C.

If the fund has net positive beta, part of the alpha comes from the market.

D.

If the fund has net negative beta, all of the alpha must come from the market.

解释：

C is correct. Because the market went up, a portfolio with positive beta will have part of its positive performance due to the market effect. A portfolio with negative beta will have in part a negative performance due to the market. Answer a. is incorrect because the fund manager could still have generated some of its alpha through judicious stock picking. Answers b. and d. are incorrect because a negative beta combined with a market going up should lead to a negative, not positive, return.

如果beta是负数 那超额收益不应该全是市场带来的吗？

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1 个答案

李坏_品职助教 · 2022年04月20日

嗨，爱思考的PZer你好：


根据题干，The market went up over the period，市场收益率是正的。如果按照D的说法基金的beta是负数，那这个基金应该是收益率为负数的。那么这个基金是不可能跑赢市场（不可能有超额收益）。


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