NO.PZ2019042401000005
问题如下：
Stocks A, B, and C are in the benchmark portfolio. Assume a manager forecasts returns on stocks A, B, and D. Stock C is in the benchmark but not in the forecast. Stock D is in the forecast but not in the benchmark. Which of the following is least accurate?
选项：
A.the manager should assign zero weight to stock C.
B.the manager should assign zero weight to stock D.
C.the weight assigned to stock C can be calculated from the alphas of the forecasted asset.
D.the weights assigned to stock C and D are not equal.
解释：
D is correct.
考点：Proper Alpha Coverage
解析：首先要注意题目中要求选出错误选项。
对于有预测但不在基准中的股票（Stock D），应为其分配的权重为0。对于没有预测但在基准中的股票（Stock C），应为其分配权重为0。
对于没有预测但在基准中的股票（Stock C），也可以为其分配权重为foretasted asset alphas的函数。
因此选项D是错误的，因为Stock C应分配的权重为与Stock D应分配的权重均为0，所以选项D说他们应分配的权重are not equal，错误。
其他选项的说法都是正确的。
在基准的股票C分配0的权重不是会让组合经理的 α 变低嘛，因为主动投资基金经理是把资金用在他认为更赚钱的股票D上面了，C股票权重调整0，会扭曲基金经理的业绩呀
