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Second, CTAs are more likely to be able to conduct profitable arbitrage trades between stock, bond, futures, options, and cash markets because of differential carrying costs between investors.”
(Institute 118)
Institute, CFA. 2019 CFA Program Curriculum Level III Volume 5. CFA Institute, 5/2018. VitalBook file.
所提供的引文是一个指南。请在使用之前查看每个引文以确保准确性。
40
“It is better to use an equally weighted hedge fund index to reflect the potential diversification of hedge funds rather than a value-weighted index. This is because value weighting may result in the index taking on the return characteristics of the best-performing hedge funds, creating a momentum effect in returns.”
(Institute 119)
Institute, CFA. 2019 CFA Program Curriculum Level III Volume 5. CFA Institute, 5/2018. VitalBook file.
所提供的引文是一个指南。请在使用之前查看每个引文以确保准确性。
35题这句话中提到投资者有不同的carrying costs，为什么有不同的carrying cost？书后题课件没有讲这一点
40题我知道value weighting 有momentum effect，但是这和“potential diversification”有什么关系？
