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NO.PZ201809170400000506

问题如下：

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

选项：

decreased.

remained unchanged.

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.

不理解两个trade都是一个overweight一个underweight，为什么答案说是两个trade是一个去replace另一个

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笛子_品职助教 · 2025年01月24日

嗨，努力学习的PZer你好：

不理解两个trade都是一个overweight一个underweight，为什么答案说是两个trade是一个去replace另一个

Hello，亲爱的同学~

同学按照老师说的来理解题意。

1) overweight A股票，underweight B股票，A和B股票是同一个行业。

2) overweight C股票，underweight D股票，C和D股票是不同行业。

问，2）的active risk，对比1）的active risk，是增加还是减少还是不变。

我们看到，2）的两个股票在不同行业，因此2）的active risk相比1），是increase的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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