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005 · 2023年04月30日

什么情况下Active Risk高而Active Share是低的?

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NO.PZ201809170400000603

问题如下:

Manager B’s portfolio is most likely consistent with the characteristics of a:

选项:

A.

pure indexer.

B.

sector rotator.

C.

multi-factor manager.

解释:

C is correct. Most multi-factor products are diversified across factors and securities and typically have high active share but have reasonably low active risk (tracking error), often in the range of 3%. Most multi-factor products have a low concentration among securities in order to achieve a balanced exposure to risk factors and minimize idiosyncratic risks. Manager B holds a highly diversified portfolio that has balanced exposures to rewarded risk factors, a high active share, and a relatively low target active risk—consistent with the characteristics of a multi-factor manager.

什么情况下Active Risk高而Active Share是低的?


1 个答案

笛子_品职助教 · 2023年05月02日

嗨,从没放弃的小努力你好:


什么情况下Active Risk高而Active Share是低的?


这种情况比较少见,active share低说明portfolio持仓与benchmark的差异很小,这种情况下往往active risk也低。

一般来说,active risk低,active share高,比较常见。

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