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1111 · 2024年12月13日

不同的行业不是应该越分散，越和benchmark像吗（B就是更分散）？为何不能从这个角度理解呢？

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000506

问题如下：

As a result of Fund 3’s two trades, the portfolio’s active risk most likely:

选项：

A.

decreased.

B.

remained unchanged.

C.

increased.

解释：

C is correct. Active risk is affected by the degree of cross-correlation. The correlation of two stocks in different sectors is most likely lower than the correlation of two stocks in the same sector. Therefore, the correlation of the energy/financial pair is most likely lower than that of the automobile/automobile pair. Because both positions were implemented as an overweight and underweight, the lower correlation of the two stocks in the new position should contribute more to active risk than the two-stock position that it replaced.

不同的行业不是应该越分散，越和benchmark像吗（B就是更分散）？为何不能从这个角度理解呢？

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1 个答案

笛子_品职助教 · 2024年12月14日

嗨，努力学习的PZer你好：


不同的行业不是应该越分散，越和benchmark像吗（B就是更分散）？为何不能从这个角度理解呢？

Hello，亲爱的同学~

不能从这个角度理解。

例如benchmark持有3个行业，Portfolio持有30个行业，那么Portfolio从行业的角度看，确实行业更加分散了。

但Portfolio却与benchmark更加不像了。

从行业的角度，Portfolio与benchmark要一致，越一致，越像。


结合本题：

Portfolio持有的股票与benchmark持有的股票，相关度越高，那么Portfolio与benchmark的相关度也就越高，相关度越高也就是越像。


Portfolio持有的股票如果与benchmark持有的股票，不是同一个行业的，那么不同行业的股票相关度更低，相关度越低越不像，active risk也就越高。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ201809170400000506

2021-03-11 15:45 1 · 回答

为什么更低的correl对于active risk是contribution。不能理解。不应该是降低吗

2019-03-10 22:23 2 · 回答