【FRM每日一题】二级：风险管理与投资管理（2）
备考FRM二级 | 2015-10-26
For s portfolio of illiquid assets, hedge fund managers often have considerable discretion in portfolio valuation at the end of each month and may have incentives to smooth returns by marking values below actual in high-return months and above actual in low-return months. Which of the following is not a consequence of return smoothing over time? A.Higher Sharpe ratio
B.Lower volatility
C.Higher serial correlation
D.Higher market beta.
Answer: D
Intuitionally, smoothing returns will cause low volatility and high serial correlation. With low volatility, the Sharpe ratio will be higher. Market beta won’t change while smoothing return only has effect on the portfolio’s volatility.【FRM奖学金】
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