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410140980 · 2022年11月12日

a portfolio of illiquid assets

  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.

a portfolio of illiquid assets 考虑自相关性C选项是怎么考虑的？老师这道题能不能详细讲解下，解析看不太懂，D选项为什么会有biases the market beta downward.

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1 个答案

pzqa27 · 2022年11月13日

嗨，从没放弃的小努力你好：


本来hedge fund的数据不多，现在报告的时候采用了平滑的方法，比如hedge fund一个月报告一次回报率，10月5%，11月6%,现在平滑后需要用daily的数据，这些daily的数据再平滑的过程中一般在5%和6%之间平滑过渡，而真实的情况很有可能是1天10%，第二天-20%这种毫无关系的剧烈波动，但是我们平滑了数据，所以数据之间的相关性提升

至于D属于明显的错误，因为平滑数据会降低风险，D说高的市场β，这个是高风险，明显不对

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