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Shutong · 2024年06月26日

这道题不理解,麻烦解析一下

NO.PZ2023040601000019

问题如下:

Using a two-factor model, Zapata now estimates the three funds’ sensitivity to inflation and GDP growth. That information is presented in Exhibit 2. Zapata assumes a zero value for the error terms when working with the selected two-factor model.


Based on Exhibit 2, what is the most likely benefit of taking a short position in Fund B relative to an equally sized long position in Fund C?

选项:

A.

Lower inflation risk

B.

Higher expected return

C.

Lower GDP growth risk

解释:

Fund C has an inflation factor sensitivity of 1.0 and a GDP growth factor sensitivity of 1.1. Fund B is only sensitive to inflation, with a factor sensitivity of 1.6, because its sensitivity to GDP growth is zero. Relative to an investment in Fund C, a short position in Fund B would reduce exposure to inflation risk, and it would have no impact on the existing GDP growth risk exposure. It is unclear whether the expected return would increase or decrease.

这道题不理解,麻烦解析一下

1 个答案

品职助教_七七 · 2024年06月27日

嗨,爱思考的PZer你好:


本题为有讲解的经典题,对于整题的不理解可直接参考讲解。

如对讲解仍有问题,可就具体的问题处后续提问。

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加油吧,让我们一起遇见更好的自己!

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