郭同學
2021-12-16 12:37對沖基金收益率outfperfprmS&pP,且return的波動率只有其一半，到底是什么時間？1987-1996，還是2000-2001？
所屬：FRM Part II > Risk Management and Investment Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Adam助教
2021-12-16 13:48
該回答已被題主采納
同學你好是2000-2001
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追問
那這里不準確？
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追答
同學你好，是我記錯了
1987-1996對沖基金表現(xiàn)都是優(yōu)于大盤的。同時標準差是SP的一般。 -
追問
但高老師的講義里又說是2000后?。坷Щ罅?/p>
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追答
同學你好，準確的如下圖：
原版書：
Figure 9.2 shows that for the first time since 1996, the cumulative performance of hedge funds (as measured by the DJCSI and the HFRI) exceeded that of the SNP index. Not only had hedge funds outperformed the SNP index, their return standard deviations were just over half of the SNP index's return standard deviation.
腳注：Over the period 1996-2001, the cumulative performance of DJCSI HFRI and SNP index were respectively 207. 20%, 209.30%, and 204. 41%The corresponding annualized standard deviations were 9.81%, 8.80% and 16.91%。
是從1996-2001整個這段期間才是：表現(xiàn)高于大盤，同時標準差是大盤的一半
這是第一段?！炯磸恼w看199-2001】
第二段是2002-2010
Cumulative performances over this period (2002-2010)were 72.64%,69.82%,and 38.18% for the DJCSI,HFRI and HFRFOFI respectively. In contrast,the SNP index returned only 13.50%.
The annualized standard deviations of returns are 5.84%,6.47%,5.51%,and 16%, respectively for the DJCSI, HFRI, HFRFOFI and SNP index。
即這段表現(xiàn)也是優(yōu)于大盤。標準差是1/3 -
追問
感謝老師！
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