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yanan · 2024年10月27日

low volatility 策略在讲义的位置

NO.PZ2023101902000054

问题如下:

A portfolio manager at a pension fund is presenting on investment strategies during a training for newly-hired portfolio analysts. The manager discusses low volatility strategies, illustrates historical performance measures of firms that apply these strategies, and draws attention to the benchmarks used. Which of the following statements about low volatility strategies would be correct for the manager to make during the presentation?

选项:

A.The strategies tend to have significant alphas relative to standard market capitalization benchmarks. B.The strategies tend to have negative alphas relative to dynamic factors such as value or momentum. C.The strategies tend to generate high alphas over the risk-free rate but negligible alphas over any other benchmark. D.The strategies tend to generate low alphas if the benchmark used is adjusted for risk and high alphas otherwise.

解释:

A is correct. Low-risk strategies appear to have significant alpha relative to standard market capitalization benchmarks and sophisticated factor benchmarks that control for risk using dynamic value and momentum factors.B is incorrect. See explanation for A.C is incorrect. See explanation for A.D is incorrect. We can’t say that. Alpha is very much dependent on the benchmark used as well as whether or not that benchmark is adjusted for risk.

低波动策略的内容在讲义的什么地方,为什么还是有显著的阿尔法

1 个答案

李坏_品职助教 · 2024年10月27日

嗨,努力学习的PZer你好:


 low volatility strategies,指的是基金公司专注于定期买入标准差较低的股票,这些股票长期来看可以跑赢大盘指数。


根据经济学家的研究成果,美国股市的低波动率策略可以稳定跑赢标普500指数(这就是市值加权指数,market capitalization benchmarks),所以A正确。

即便考虑了价值因子和动量因子,低波动率策略依然能有超额收益。所以B不对。


这个考点比较偏,是属于资产定价学术著作,讲义里面没有涉及。简单了解一下即可。


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