教材中 Example 9 上面的表格中说到 "Shorting may amplify the active risk."
However, in the second paragraph of the Solution to 1 of Example 10, it says that "Adding the ability to short...can be expected to reduce the tracking error..."
这两种说法是矛盾的。
请问如何理解？谢谢！
自然音 · 2019年04月05日
以下是CFA官方的回复
Unfortunately the exact impact of shorting on risk (market risk or active risk) will really depend on circumstances.
The same tool (leverage and short selling in this case) can do either good or harm. It depends on the objective of the product. Short-selling can reduce market risk but can amplify active risk, for example. However, it can also perhaps reduce Active Risk such as reducing a sector overweight on the long side using securities that appear least attractive within a sector.
Perhaps the best statement would be: Shorting may or may not amplify active risk and shorting can be used to facilitate better distribution of risk.
An important statement is in the middle of page 510 where the paragraph says: "But the ability to reduce overall risk and to distribute sources of risk more evenly cannot be optimally achieved without short- selling." Here the crucial word is "optimally", as one just cannot do so well without short-selling.
I hope this is helpful.
