請老師幫忙解答2008年FRM Practice Examination第135題。

答覆：

我以下列三段：一、原文題目；二、中文題意；及三、解題技巧，回答你的問題。

一、原文題目

135. A researcher has investigated the returns over the last five years to a long-short strategy based on mean reversion in equity returns volatility. His hypothesis test was able to reject the hypothesis that abnormal (risk-adjusted) returns to the strategy over the period were less than or equal to the risk-free rate at the 1% level of significance. He would most appropriately decide that:

a. his firm should employ the strategy for client accounts.

b. his firm should employ the strategy for client accounts as long as the results are not specific only to the time period tested.

c. while the abnormal returns are highly significant statistically they may not be economically meaningful.

d. as long as the estimated statistical returns are greater than the transactions costs of the strategy, his firm should employ the strategy for client accounts with the right risk tolerance.

二、中文題意

一研究員根據股票報酬率波動性的均數回復，調查過去五年的多－空策略報酬率。他的假設檢定，拒絕該策略在該期間之異常（風險修正後）報酬率小於或等於無風險利率，且達到1%顯著性水準。他最可能決定：

a.他的公司應為客戶帳戶使用此策略。

b.只要該結果不只特定於該檢定期間，則他的公司應為客戶帳戶使用此策略。

c.即使異常報酬率達統計的高度顯著性，但仍可能不符合經濟意識。

d.只要所估計的統計報酬率大於該策略的交易成本，他的公司應為有對的風險容忍之客戶帳戶使用此策略。

三、解題技巧：

有許多種理由，使得統計上達顯著性的結果不一定符合經濟意義。除了交易成本外也須考量策略風險。例如，雖然該策略在該五年樣本期間的異常報酬率平均數大於成本，在各種次期間的異常報酬率仍可能高度變動。此時，從月到月或季到季的該策略報酬率風險仍可能太大，以致於該策略對客戶不具經濟吸引力。