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alice006 · 2018年08月05日

问一道题：NO.PZ2016071602000025 [ FRM II ]

  1. FRM II
  2. Risk Management And Investment Management

问题如下图：

选项：

A.

B.

C.

D.

解释：

单纯跟踪指数beta应该为正呀，为什么是0？

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妙悟先生品职答疑助手 · 2018年08月06日

如果完全追踪指数，那么beta应该等于1，但是题目中有个问题，就是mark to market的频率，对于标普500指数而言用的是周收益，但是对于基金本身，虽然声称用了周收益，但是它是按月盯市而不是每周盯市的，导致所谓的周收益其实并未反映真实的周收益情况，按照按月盯市的情况，一个月的三周收益都是0，只有最后一周mark to market以后一次性反映整月收益，所以显得基金收益和标普500指数收益无关，因而回归得出的beta=0

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NO.PZ2016071602000025 问题如下 You are asketo estimate the exposure of a hee funto the S P 500. Though the funclaims to mark to market weekly, it es not so anmerely marks to market ona month. The funalso es not tell investors thit simply hol exchange-trafun(ETF) inxeto the S P 500. Because of the claims of the hee fun you ci to estimate the market exposure regressing weekly returns of the funon the weekly return of the S P 500. Whiof the following correctly scribes a property of your regression estimates? A.The intercept of your regression will positive, showing ththe funha positive alpha when estimateusing ornary least squares (OLS) regression. B.The beta will misestimatebecause hee funexposures are nonlinear. C.The beta of your regression will one because the funhol the S P 500. The beta of your regression will zero because the funreturns are not synchronous with the S P 500 returns. is correct. The weekly returns are not synchronizewith those of the S P. a result, the estimate of beta from weekly ta will zero. 请问如果每月结算收益，那么这一个月中的每个周单独看就没有return吗？题目中说看每周的return，那么我可能会理解成收益和亏损已经反映在return（即基金净值中），只是没有结算而已

2022-11-08 13:58 1 · 回答

NO.PZ2016071602000025 问题如下 You are asketo estimate the exposure of a hee funto the S P 500. Though the funclaims to mark to market weekly, it es not so anmerely marks to market ona month. The funalso es not tell investors thit simply hol exchange-trafun(ETF) inxeto the S P 500. Because of the claims of the hee fun you ci to estimate the market exposure regressing weekly returns of the funon the weekly return of the S P 500. Whiof the following correctly scribes a property of your regression estimates? A.The intercept of your regression will positive, showing ththe funha positive alpha when estimateusing ornary least squares (OLS) regression. B.The beta will misestimatebecause hee funexposures are nonlinear. C.The beta of your regression will one because the funhol the S P 500. The beta of your regression will zero because the funreturns are not synchronous with the S P 500 returns. is correct. The weekly returns are not synchronizewith those of the S P. a result, the estimate of beta from weekly ta will zero. 这道题应用了那个知识点

2022-07-22 21:41 1 · 回答

NO.PZ2016071602000025 为啥那么BETA 不是1 呢

2021-05-12 21:26 1 · 回答

NO.PZ2016071602000025 A为什么错呢，不懂

2021-02-19 17:44 1 · 回答

     这个HF不是只投了SP500的ETF吗？为什么和SP500的回归beta会是0呢？是不是只是因为回归的时间上有差异?谢谢指导！

2019-01-29 14:26 1 · 回答