NO.PZ2019012201000035
问题如下：
Initially, Fund ABC held active positions in two real estate stocks—one was overweight by 1 %, and the other was underweight by 1%. Fund ABC traded back to benchmark weights on those two stocks. Then, ABC selected two different stocks that were held at benchmark weights, one automobile stock and one technology stock. ABC over-weighted the automobile stock by 1% and underweighted the technology stock by 1%. What was the effect of ABC’s two trades on its active risk? ABC’s active risk:
选项：
A.decreased.
B.remained unchanged.
C.increased.
解释：
C is correct.
考点：Active Share and Active Risk
解析：主动风险受股票之间相关性的影响。不同行业的两只股票的相关性低于同一行业两只股票的相关性。因此，新头寸（汽车/科技股）的相关性低于初始头寸(房地产/房地产)的相关性。两只股票的相关性较低，两只股票头寸对主动风险的贡献就越大。
题目所说的新头寸（汽车/科技股），我理解只要与benchmark的权重不同，根据公式，active share都是增加的对吧？但是要根据偏离的行业与benchmark的相关性再判断这个偏离对组合active risk的影响是吧？如果偏离的行业与benchmark的相关性高，例如都是房地产，只是不同的股票，那么active risk可能就不会增加，如果偏离的行业与benchmark相关性低，那么active risk就会增加是吗？active risk会出现因为偏离benchmark而降低的情况吗？
