NO.PZ2023010903000071
问题如下：
Before the meeting ends, Swanson mentions that Americana is launching a new market-neutral fund. This fund will take full advantage of the stock-picking expertise of Americana's research team by expressing negative views through short positions. Swanson's comments to Rizzitano on this topic are captured in Statement 1.
Statement 1: I suggest taking $5 million of the $25 million that the BTU endowment has invested in the Legends Fund and investing the proceeds in this new market-neutral fund. Doing so would allow the BTU endowment to reduce its total equity portfolio market risk (i.e., beta), increase the portfolio's diversification across other non-market risk factors and reduce the portfolio's tracking error.
Rizzitano tells Swanson that he will consider the suggestion.
State whether Swanson's justification in Statement 1 is correct. Explain your reason briefly.
选项：
解释：
Answer:
Adding shorts to a portfolio may amplify, rather than reduce, the portfolio's tracking error(i.e., active risk) by increasing the portfolio's active share. Therefore, Swanson's justification for adding the market-neutral fund to the BTU endowment is incorrect.
Investing in the new market-neutral fund would indeed reduce the BTU endowment's overall market risk (beta) since market-neutral funds aim to neutralize beta.
However, the claim that this would increase diversification across non-market risk factors is not accurate. Beta is a measure of market risk, not a non-market risk factor.
Additionally, reducing beta does not directly imply a reduction in tracking error, which is influenced by the portfolio's alignment with its benchmark.
