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Short Extention Strategies
CFA Text V4 P247~.248, 2nd last paragraph
Why Short Extention Strategies gain their market return (Beta) and earn their Alpha from the same source ? Does this mean that A 130/30 Short Extention Strategy has 1.3 Beta + 1 Alpha and here the 1 Alpha = - 0.3 Beta ? |
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发表于 2011-7-11 18:57
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