NO.PZ202207040100000405
问题如下:
From Exhibit 3, the replacement candidate fund that, if included, will most likely minimize the active risk of the final Amity equity fund is:选项:
A.Ash. B.Blue. C.March.解释:
SolutionA is correct. Active risk is a measure of the volatility of portfolio returns relative to the volatility of benchmark returns. The Ash fund will most likely minimize the active risk when combined in the final Amity equity portfolio because of its high covariance with the present fund. The low-covariance funds may reduce overall portfolio volatility but not active risk.
B is incorrect. The low covariance with the Amity portfolio will lower the overall volatility of the fund but not the active risk, because active risk measures the volatility of portfolio returns relative to that of the benchmark: This will be achieved through the substitution of a high-covariance fund.
C is incorrect. The low covariance with the Amity portfolio will lower the overall volatility of the fund but not the active risk, because active risk measures the volatility of portfolio returns relative to that of the benchmark: This will be achieved through the substitution of a high covariance fund.
麻烦老师讲下这道题,谢谢