NO.PZ2023010903000063
问题如下:
Noting that MFC has two managers who use the same index as their benchmark, Shaw observes that Fund A and Fund B have similar Active Share and a similar number of positions, but Fund A’s realized active risk of 7% is almost three times greater than that of Fund B. Shaw makes the following comments:
l I think Fund B makes a lot of sector bets.
l Fund A likely has higher fees than Fund B
l Fund A should have a greater dispersion of returns about the benchmark.
In regard to Shaw’s comments about Fund A and Fund B, the one that is most accurate concerns:
选项:
A.Fund A’s fees
Fund A’s dispersion
Fund B’s sector bets
解释:
Shaw’s comment about Fund A’s dispersion is correct. With a higher active risk (tracking error), Fund A has a greater likelihood of having results dispersed more broadly (both positive and negative) around benchmark results than Fund B has. Investors are more likely to be willing to pay higher fees for higher Active Share as an indicator of greater active management, but Active Share is identical for Fund A and Fund B. Sector bets are likely to affect active risk; therefore, Fund A is more likely to be using sector bets, not Fund B.
A is incorrect. Investors are more likely to be willing to pay higher fees for higher Active Share as an indicator of greater active management, but Active Share is identical for Fund A and Fund B.
C is incorrect. Sector bets are likely to affect active risk; therefore, it is Fund A that is more likely to be using sector bets, not Fund B.
请教一下老师,fund fee的费率高低会对active share 和 active risk 分别产生什么影响呢?