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tzdsgn · 2023年07月23日

active share

NO.PZ2023010903000062

问题如下:

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.

What was the effect of Fund 3’s two trades on its active share? Fund 3’s active share:

选项:

A.

decreased

B.

remained unchanged

C.

increased

解释:

Active share changes only if the total of the absolute values of the portfolio’s active weights changes. For the two trades in Fund 3, both the initial position and the new position involved two stocks such that one was 1pp underweighted and the other was 1pp overweighted. Although the active weights of particular securities did change between the initial position and the new position, the total absolute active weights did not change.

Therefore, the portfolio’s active share did not change.

active share的那个1/2|weight p- weight b|是针对单security吗,fund整体的active share怎么理解啊 谢谢🙏

1 个答案

笛子_品职助教 · 2023年07月25日

嗨,从没放弃的小努力你好:


active share的那个1/2|weight p- weight b|是针对单security吗,fund整体的active share怎么理解啊 谢谢


active share衡量portfolio持股和benchmark的差异。

A股票在portfolio里,比benchmark多买2%

则B股票在portfolio里,就要比benchmark少买2%。

有多买,就会有少买,是对应的。

因此在这里,要除以2

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努力的时光都是限量版,加油!

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2024-02-04 10:47 1 · 回答

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2023-08-29 22:06 1 · 回答