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toffee · 2023年04月28日

此题不理解

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NO.PZ202207040100000402

问题如下:

In regard to Shaw’s comments about Fund A and Fund B, the one that is most accurate concerns:

选项:

A.Fund A’s fees. B.Fund A’s dispersion. C.Fund B’s sector bets.

解释:

Solution

B is correct. Shaw’s comment about Fund A’s dispersion is correct. With a higher active risk (tracking error), Fund A has a greater likelihood of having results dispersed more broadly (both positive and negative) around benchmark results than Fund B has. Investors are more likely to be willing to pay higher fees for higher Active Share as an indicator of greater active management, but Active Share is identical for Fund A and Fund B. Sector bets are likely to affect active risk; therefore, Fund A is more likely to be using sector bets, not Fund B.

A is incorrect. Investors are more likely to be willing to pay higher fees for higher Active Share as an indicator of greater active management, but Active Share is identical for Fund A and Fund B.

C is incorrect. Sector bets are likely to affect active risk; therefore, it is Fund A that is more likely to be using sector bets, not Fund B.

Fund A is more likely to be using sector bets,因为A的 active risk 大;

因为 fundA 与 fundB的 active share 一样,所以费用应该一样,投资者只愿意为 高的 active share 支付 费用;

不理解的是: A的风险高,为啥 A的dispersion反而大? dispersion 是否 可以是 diversification?

1 个答案

笛子_品职助教 · 2023年04月28日

嗨,爱思考的PZer你好:


理解的是: A的风险高,为啥 A的dispersion反而大?

dispersion翻译成中文是指离散度,是指portfolio的return 与benchmark return有离散度。这正是active risk,active risk 等于 portfolio return - benchmark retuan的标准差。标准差是衡量离散度的指标之一。


dispersion 是否 可以是 diversification?

不可以。

dispersion是离散度,指portfolio 的收益和benchmark收益不一样。

diversification是分散化,指持有的股票非常多。

两个单词,在CFA里是完全不同的含义。


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