NO.PZ2016071602000025
问题如下：
You are asked to estimate the exposure of a hedge fund to the S&P 500. Though the fund claims to mark to market weekly, it does not do so and merely marks to market once a month. The fund also does not tell investors that it simply holds an exchange-traded fund (ETF) indexed to the S&P 500. Because of the claims of the hedge fund, you decide to estimate the market exposure by regressing weekly returns of the fund on the weekly return of the S&P 500. Which of the following correctly describes a property of your regression estimates?
选项：
A.The intercept of your regression will be positive, showing that the fund has a positive alpha when estimated using an ordinary least squares (OLS) regression.
B.The beta will be misestimated because hedge fund exposures are nonlinear.
C.The beta of your regression will be one because the fund holds the S&P 500.
D.The beta of your regression will be zero because the fund returns are not synchronous with the S&P 500 returns.
解释：
D is correct. The weekly returns are not synchronized with those of the S&P. As a result, the estimate of beta from weekly data will be zero.
为啥那么BETA 不是1 呢
