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Lich · 2023年07月05日

请问老师没太理解这个题的意思

NO.PZ2023010903000065

问题如下:

Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity Island Endowment. The $2 billion equity portion of the Amity fund is invested using a global equity index approach. Quint has been charged with identifying an active equity fund to replace 20% of the indexed portfolio. Three candidate funds with similar performance histories, benchmarks, and fees have been identified. Based on the characteristics shown in Exhibit 3, Quint asks Langham to recommend the fund that has demonstrated the best risk-efficient delivery of results.

Langham also identifies the fund that could minimize the active risk of the total $2 billion Amity equity portfolio after replacement is complete.

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:

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-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.

如题

2 个答案

笛子_品职助教 · 2023年08月29日

嗨,爱思考的PZer你好:


Amity已经很好了,这个在哪句话体现呢老师


CFA三级考试,一般是case阅读,一个大的case,下面有很多道小题。

这是一道大题下拆分出的一道小题。

Amity是风险有效的,这在大题的信息点里。没有包含在这个拆分的小题中。


但是这里,不看大题信息点也能做。

我们之所以只替换AMity基金的20%,就是因为Amity基金本身做得不错。

如果Amity基金做得特别糟糕,那么就不是替换20%,而是全部换掉了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2023年07月06日

嗨,从没放弃的小努力你好:


请问老师没太理解这个题的意思


Hello,亲爱的同学~


这道题是说,Amity有很低的active risk。现在要把Amity基金中20%换成其他基金,也就是新组合为:80%Amity + 20%其他基金。要求这个新组合,也有很低的active risk。

问3个基金里选哪个。


我们可以看到,原来的Amity就已经很好了,现在要换,只要换一个和Amity最像的,就可以了。

因此选ASH基金,它和Amity的协方差最大,也就是最像Amity基金。


如果同学还有其他问题,欢迎随时提问,祝学习顺利!

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加油吧,让我们一起遇见更好的自己!

hyi725 · 2024年07月03日

为什么协方差越大就越像。。。。我忘了。。。

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