FRM二级易错题精选:Autocorrelation

Arisk analyst in a fund of funds is gauging the liquidity risk exposure of a hedge fund by examining the autocorrelation in the fund's returns.If found,a significant first-order autocorrelation coefficient of 0.5 for the monthly historical returns can be seen as an indicator of all of the following except:
 
A.High market frictions.
 
B.Historical return smoothing.
 
C.Engaging in a managed futures strategy.
 
D.Investments in the equity of non-public firms.

FRM二级真题
 
Answer:C
 
Autocorrelation(自相关):残差项之间存在correlation,市场越有效,自相关发生的可能性越小。

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