麻烦老师讲下这道题，谢谢

NO.PZ202207040100000405 问题如下 Lisette LanghCase ScenarioExhibit 1 RewarFactor ResultsOn viewing Exhibit 1, Shmakes the following comments about the MFC Value FunThe small-ctilt helpeValue fun were out of favor, shown the Value factor results.Of course, the MFC Value Funmust have a lower alpha because its performanw0.03 percentage point worse thits benchmark.Shhparticulinterest in MFC’s populSoFun(Soar), whirelies on returns from factor exposures. The scription of the funstates thit emphasizes security-specific factors, maintains low security concentration to keep iosyncratic risk wn, anembraces quality anvalue styles. Sooccasionally consirs the economic angeopoliticenvironment, especially ring unusueconomic contions. Langhtells Shhow she classifies Soar’s portfolio construction approach.Noting thMFC htwo managers who use the same inx their benchmark, Shobserves thFunA anFunB have similActive Share ana similnumber of positions, but FunA’s realizeactive risk of 7% is almost three times greater ththof FunShmakes the following comments:I think FunB makes a lot of sector bets.FunA likely hhigher fees thFunB FunA shoulhave a greater spersion of returns about the benchmark. Shnext asks Langhto show how risk targets anconstraints might ffer between funmanagers penng on their respective skills. LanghhShconsir three funmanagers, eaof whom use the MSWorlInx benchmark. For eafun risk targets have been assignethallow the portfolio managers some flexibility to exercise their perceiveskillsets. Skills inclu stopicking, factor exposure, ansector rotation. Baseon only the ta shown in Exhibit 2, Langhintifies the skill applieeamanager. Exhibit 2: Risk Targets anConstraintsAnother of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results. Exhibit 3 Characteristiof Cantes for Amity Equity PortfolioLanghalso intifies the funthcoulminimize the active risk of the tot$2 billion Amity equity portfolio after replacement is complete. Question From Exhibit 3, the replacement cante funthat, if inclu will most likely minimize the active risk of the finAmity equity funis: A.Ash. B.Blue. C.March. SolutionA is correct. Active risk is a measure of the volatility of portfolio returns relative to the volatility of benchmark returns. The Ash funwill most likely minimize the active risk when combinein the finAmity equity portfolio because of its high covarianwith the present fun The low-covarianfun mreoverall portfolio volatility but not active risk.B is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high-covarianfunC is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high covarianfun Hi, Unr No.PZ202207040100000404 (选择题组)- we choose Marbaseon whione hthe lowest Active risk/ Active share However unr the current one, we look the convariance, whimethoratio shoulwe use? Thanks

NO.PZ202207040100000405Active risk的公式算法要求掌握嗎？這題可以從active risk公式的角度分析嗎？

NO.PZ202207040100000405 问题如下 From Exhibit 3, the replacement cante funthat, if inclu will most likely minimize the active risk of the finAmity equity funis: A.Ash. B.Blue. C.March. SolutionA is correct. Active risk is a measure of the volatility of portfolio returns relative to the volatility of benchmark returns. The Ash funwill most likely minimize the active risk when combinein the finAmity equity portfolio because of its high covarianwith the present fun The low-covarianfun mreoverall portfolio volatility but not active risk.B is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high-covarianfunC is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high covarianfun 麻烦老师讲下这道题，谢谢