NO.PZ201809170400000506
问题如下：
As a result of Fund 3’s two trades, the portfolio’s active risk most likely:
选项：
A.decreased.
B.remained unchanged.
C.increased.
解释：
C is correct. Active risk is affected by the degree of cross-correlation. The correlation of two stocks in different sectors is most likely lower than the correlation of two stocks in the same sector. Therefore, the correlation of the energy/financial pair is most likely lower than that of the automobile/automobile pair. Because both positions were implemented as an overweight and underweight, the lower correlation of the two stocks in the new position should contribute more to active risk than the two-stock position that it replaced.
Ap reviews quarterly holdings reports for Fund 3. In comparing the two most recent quarterly reports, he notices differences in holdings that indicate that Fund 3 executed two trades, with each trade involving pairs of stocks. Initially, Fund 3 held active positions in two automobile stocks—one was overweight by 1 percentage point (pp), and the other was underweight by 1pp. Fund 3 traded back to benchmark weights on those two stocks. In the second trade, Fund 3 selected two different stocks that were held at benchmark weights, one energy stock and one financial stock. Fund 3 overweighted the energy stock by 1pp and underweighted the financial stock by 1pp.
我看老师说行业集中度的解答是理解的，但是这一段怎么体现通过主动调仓来实现行业集中度的变化？
