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Betty · 2024年03月23日

active risk/active share

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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.

high active risk->portfolio concentrated

low active risk->portfolio diversified

这样没错吧?能不能解释一下这题?

1 个答案

笛子_品职助教 · 2024年03月24日

嗨,从没放弃的小努力你好:


Hello,亲爱的同学~

这道题要选择不正确的,同学注意least likely。

A选项涉及陈述为:The active risk attributed to Active Share will be smaller in more diversified portfolios.

这个陈述本身是正确的,也就是同学所说的low active risk->portfolio diversified。

由于本题要求选不正确的,而A选项的陈述是正确的,因此A选项不选。


B选项陈述为:If the factor exposure is fully neutralized, the Active Share will be entirely attributed to the active risk.

这句话不正确。本题要求选不正确的,因此选B。

active risk是由两部分组成。

一部分是来自active share,一部分来自因子差异(相关性)

Factor neutral对应的是因子无差异。此时,active risk只来自于active share。

正确的是:If the factor exposure is fully neutralized, the Active risk will be entirely attributed to the active share



C选项对应The level of active risk will rise with an increase in idiosyncratic volatility.

这句话正确。

但本题要求选不正确的。

因此C不选。

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努力的时光都是限量版,加油!

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