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和棋 · 2021年03月19日

为什么会导致higher correlation？

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000024

问题如下：

For a portfolio of illiquid assets, hedge fund managers often have considerable discretion in portfolio valuation at the end of each month and may have incentives to smooth returns by marking values below actual, in high-return months and above actual, in low-return months. Which of the following is not a consequence of return smoothing over time?

选项：

A.

Higher Sharpe ratio

B.

Lower volatility

C.

Higher serial correlation

D.

Higher market beta

解释：

D is correct. Illiquidity creates an understatement of the total risk measure; as a result, the Sharpe ratio will be artificially higher. Illiquidity creates trends in returns (higher serial correlation), as market shocks during a month will be partially recorded in two consecutive months. Illiquidity, however, biases the market beta downward.

为什么会导致higher correlation？

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小刘_品职助教 · 2021年03月19日

同学你好，

这是个结论，感觉数学推导也比较难～大概可以这么理解，比如一组数据原来是0，-0.1，-0.2，……，1 这一组数，另一组数 是0，杂乱无章的另一组数，1，两组真实的相关性是很低的。但因为你的Illiquidity，相当于你降低了抽样频率，第一组数变成了0，1；第二组数也变成了0，1，他们之间的correlation就变成了100%

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