题目
You are asked by your boss 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 marks to market once a month. The fund also does not tell investors that it simply holds an Exchange Traded Fund (ETF) that is 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 positive alpha when estimated using an 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.
答案
D
解析
The weekly returns are not synchronized with those of the S&P. As a result, the estimate of beta from weekly data will be too low. According to mark to market monthly, the fund find that it is not synthesized with S&P 500, so the correlation coefficient of S&P 500 and ETF is not the same to one.每周收益与标准普尔收益不同步。 结果，根据每周数据得出的beta估算值将太低。 根据每月按市价计算，该基金发现它不是与S＆P 500合成的，因此S＆P 500与ETF的相关系数并不相同。