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Annie彧 · 2023年08月20日

老师解释一下为什么选B这题，没看懂

  1. CFA III
  2. Equity

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NO.PZ202207040100000803

问题如下：

In Lazare and Warrack’s comments about Active Share and active risk, the comment that is least accurate is the one concerning:

选项：

A.portfolio diversification. B.neutralizing factor exposure. C.increasing idiosyncratic volatility.

解释：

Solution

B is correct. The comment concerning neutralizing factor exposure is incorrect: In a single-factor model, if the factor exposure is neutralized, the active risk will be entirely attributable to the Active Share—a consequence of the manager deviating from benchmark weights. The active risk attributed to Active Share will be smaller for more diversified portfolios with lower idiosyncratic risk. Active risk does rise with an increase in factor and idiosyncratic volatility.

A is incorrect. The active risk attributed to Active Share will be smaller for more diversified portfolios with lower idiosyncratic risk.

C is incorrect. Active risk does rise with an increase in factor and idiosyncratic volatility.

老师解释一下为什么选B这题，没看懂

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2 个答案

笛子_品职助教 · 2023年08月23日

嗨，从没放弃的小努力你好：


所以Statement里面”the Active Share will be entirely attributed to the active risk“这句话是哪里错了呢？解析里的“the active risk will be entirely attributable to the Active Share“不是一样的意思吗？


同学认为：the Active Share will be entirely attributed to the active risk与the active risk will be entirely attributable to the Active Share，意思是一样的。

这是同学理解错误了。


这两句话的意思是不一样的。这是英语阅读理解的问题。


我们对比一下：

书本上的原话是：


而statement1的陈述是：

the Active Share will be entirely attributed to the active risk（主动份额将完全归因于主动风险）


statment1与书本原话对比， 正好把active share与active risk，调换了位置，其他都没变。

因此statement1的陈述，与书本原话相反，是错误的。


解析里的：

the active risk will be entirely attributable to the Active Share（主动风险将完全归因于主动份额）

与书本原话：The active risk will be entirely atttibuted to active share (主动风险将完全归因于主动份额）

，是同一个含义。





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笛子_品职助教 · 2023年08月20日

嗨，爱思考的PZer你好：


风险中性化，也就意味着portfolio的风险因子头寸，和benchmark完全一致。


比如行业也是一种因子。

benchmark持有汽车、科技、金融。portfolio也持有汽车、科技、金融。而且行业权重完全一样。


这样，portfolio和benchmark的差异，就完全来自于行业内选股，而不是行业差异。

对应解析里的（if the factor exposure is neutralized, the active risk will be entirely attributable to the Active Share）


同行业的股票是高度相关的，这么做会增加portfolio和benchmark的相关性，从而减少active risk。



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努力的时光都是限量版，加油！

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