159****9348
2023-08-22 21:10為什么long/short策略β絕對(duì)值小,dedicated short策略β絕對(duì)值大
所屬:CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
開(kāi)開(kāi)助教
2023-08-23 09:41
該回答已被題主采納
同學(xué)你好,
因?yàn)閘ong short,是多空兩個(gè)敞口進(jìn)行對(duì)沖的。那么long的beta是正的,short的beta是負(fù)的,書上說(shuō),long short策略typically have average exposures of 40%–60% net long。貝塔就是0.4-0.6
Dedicated short 是純做多,不存在多空對(duì)沖,書上說(shuō)這類策略大概是60%–120% short at all times. 所以beta的絕對(duì)值是0.6-1.2。
如果答疑對(duì)你有幫助,【請(qǐng)采納】喲~。加油,祝你順利通過(guò)考試~
