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.
老师这道题我仔细想了一下，是不是理解为基金经理获得的超额α收益的来源有两部分，一部分是asset allocation，即和大盘的股票构成一致，只是权重不同带来的超额收益。一部分是security selection个人选股技能带来的α。而这道题背景是市场出于went up的状态，所以如果基金的β是正的，那么一部分的超额收益α就是来源于市场部分，还有一部分可能是来自基金经理选股的能力。如果基金的β是负的，说明市场上涨，而你管理的基金的收益反而是下降的，但如果这个时候还存在超额收益α，那不可能是asset allocation获得的，只可能是基金经理选股技能所获得的。这样理解ok吗？
