這里他share buyback，increase div, better utilize capital屬不屬于增加杠桿，但是題目里說他需要limited leverage，那我覺得選C很合適。 而B的話，他很關(guān)心公司治理，所以管理層出問題他會干預，我覺得不能選B
S&P500 future contract的價格是2464，乘數(shù)是250。那是什么意思？所以我買一份2464元的遠期合約，等于我買了2464×250嗎？
covered call是選項里描述的這樣，可他不是writing covered call嗎，不應該和covered call反過來嗎？
Market-neutral的benchmark是Rf還是Rf+alpha？
怎么解讀這兩句，statement1他gross不是可以超過100的嗎？s2的話，allow greater capacity不是說可以更容易交易嗎？我完全解讀反了
權(quán)益2016 Q3 C問 何解？另外miantain beta那個答案沒看明白
為啥杠增加數(shù)學return降低幾何return
為什么systematic下沒有factor timing
這個IR=IC blabla的是用來看factor weighting還是alpha skills還是position sizing的能力，還是都看的？
pair trading和active factor based里面的hedged portfolio一樣嗎？如果不一樣，那hedged portfolio指什么。 為什么pair trading有兩個alpha，不是一個long一盒short嗎
老師，equity以下這兩點我很混淆：對于full replication來說，a large number of constituents會增大index的tracking error. 但是對于active share來說，the portfolio with the fewer securities and therefore higher degree of concentration in positions will have a higher level of Active Share，同時也會增大active risk。我覺得這兩點很矛盾。 Full replication ：An index that contains a large number of constituents will tend to create higher tracking error than one with fewer constituents. The manager will naturally first purchase the largest, most liquid, lowest cost stocks. But as more stocks are added and the portfolio approaches full replication, the added stocks will be less liquid, increasing the effect of transaction costs on tracking error. 1) Comparison of active share If two portfolios with the same benchmark invest only in benchmark securities, the portfolio with the fewer securities and therefore higher degree of concentration in positions will have a higher level of Active Share.
completion overlay和rebalancing overlay啥區(qū)別
書后題115頁第十題 這里計算Index weight為什么是??250million本人不是3billion
書后題113頁 第六題 主動風險為何增加？ 原來都是汽車板塊現(xiàn)在分散了 分別是金融和能源。那不是風險變小了呢？
百題Equity case 1第一題， Russell 2000我知道不能full replication, 題中說“factors used to explain stock returns are uncorrelated”不是應該選A optimization 嗎？ 因為risk factors 不相關(guān)， 沒有多重貢獻性， 而stratified sampling 就會導致factor correlated
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