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
Blue
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.
Ash和当前的portfolio相关性高，但Ash的active risk要比March高挺多的，这不是意味着当前的portfolio本身active risk就不低？
