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👋 · 2022年12月03日

请问c答案是什么意思?没看懂

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NO.PZ202206210100000505

问题如下:

In the general comments about asset classes that Fox noted, the most accurate comment is the one regarding:

选项:

A.the overlap of sources of risk.

B.emerging markets.

C.the return premiums from asset classes.

解释:

SolutionC is correct. Asset classes should have a return premium based on an underlying market risk factor (e.g., beta) and not any underlying skill of the investor. Strategies, on the other hand, involve combinations of asset classes with the objective of earning a return based on investment skill.

C is correct. Asset classes should have a return premium based on an underlying market risk factor (e.g., beta) and not any underlying skill of the investor. Strategies, on the other hand, involve combinations of asset classes with the objective of earning a return based on investment skill.

A is incorrect. There will be overlap of sources of risk when asset classes are defined, e.g., US and non-US equities, or even US small and large cap equities will have some risks in common, but there should be as few common risk factors as possible, and they should have only modest correlations.

B is incorrect. Emerging markets equities should be considered a distinct asset class as they differ from other equities in terms of diversification potential, informational efficiency, corporate governance, taxation, and currency convertibility.

C答案是什么意思,没看懂

2 个答案

lynn_品职助教 · 2023年01月21日

嗨,从没放弃的小努力你好:


这个知识点是分解超额收益的来源,资产类别的回报溢价应基于潜在的市场风险因素(例如贝塔系数),而不是投资者的任何基本技能。就是说呢,return premium asset classes(资产类别的回报溢价),是一种根据beta得到的投资,而非alpha技能带来的超额收益,这一点是对的。


图上呢讲到了这个知识点,但是其实这个知识点是贯穿三级始末的,李老师一开始就讲到了,现在渐渐追求beta收益,所以在equity中也有,三级教材练习比较紧密。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

lynn_品职助教 · 2022年12月04日

嗨,爱思考的PZer你好:


C选项是说根据Asset classes differ from strategies in offering a non-skill-based ex ante expected return premium. Asset classes 不同于提供基于非技能的事前预期回报溢价的策略。也就是说超额收益部分主要来自Asset classes本身,而不是基金经理的能力。


对应这个知识点


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Zylazy · 2023年01月20日

怎么对应这个知识点呢,解释也没太看懂

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