kathy sham
2020-09-24 00:38What is cash neutral alphas? Means the cash holding percentage equal to benchmark ? Or means the cash holding is zero?
所屬:FRM Part II > Risk Management and Investment Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
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Cindy助教
2020-09-24 13:44
該回答已被題主采納
同學(xué)你好,和benchmark neutral是一樣的意思,alpha衡量的是主動(dòng)管理的業(yè)績(jī),所以現(xiàn)金是不會(huì)產(chǎn)生alpha的,換句話說(shuō),現(xiàn)金的alpha值應(yīng)該為0 ,這就是neutral
