问题如下图:
选项:
A.
B.
C.
解释:
我也是比较迷糊,讲义176页的图中,diversified factor bets比concentrated factor bets的active risk要小;这道题中后一种投资选择比第一种要diversify,不是应该active risk更小吗?
NO.PZ2019012201000035 问题如下 Initially, FunAhelactive positions in two reestate stocks—one woverweight 1 %, anthe other wunrweight 1%. FunAtrabato benchmark weights on those two stocks. Then, Aselectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. Aover-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof ABC’s two tras on its active risk? ABC’s active risk: crease remaineunchange increase C is correct. 考点:Active Share anActive Risk 解析:主动风险受股票之间相关性的影响。不同行业的两只股票的相关性低于同一行业两只股票的相关性。因此,新头寸(汽车/科技股)的相关性低于初始头寸(房地产/房地产)的相关性。两只股票的相关性较低,两只股票头寸对主动风险的贡献就越大。 老师,我的逻辑是这样,请帮忙看下哪步错了,为什么?谢谢portfolio中由2个房地产股票换成两个不同行业股票,portfolio分散化增加,所以portfolio与benchmark更像→portfolio与benchmark的相关性越大→active risk越小
NO.PZ2019012201000035 问题如下 Initially, FunAhelactive positions in two reestate stocks—one woverweight 1 %, anthe other wunrweight 1%. FunAtrabato benchmark weights on those two stocks. Then, Aselectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. Aover-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof ABC’s two tras on its active risk? ABC’s active risk: crease remaineunchange increase C is correct. 考点:Active Share anActive Risk 解析:主动风险受股票之间相关性的影响。不同行业的两只股票的相关性低于同一行业两只股票的相关性。因此,新头寸(汽车/科技股)的相关性低于初始头寸(房地产/房地产)的相关性。两只股票的相关性较低,两只股票头寸对主动风险的贡献就越大。 老师好,分散化增高,和benchmark相关性降低,active risk增高,那在这种情况下,active risk并不是一件坏事(像risk一样)对吗?
NO.PZ2019012201000035问题如下 Initially, FunAhelactive positions in two reestate stocks—one woverweight 1 %, anthe other wunrweight 1%. FunAtrabato benchmark weights on those two stocks. Then, Aselectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. Aover-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof ABC’s two tras on its active risk? ABC’s active risk: crease remaineunchange increase C is correct. 考点:Active Share anActive Risk 解析:主动风险受股票之间相关性的影响。不同行业的两只股票的相关性低于同一行业两只股票的相关性。因此,新头寸(汽车/科技股)的相关性低于初始头寸(房地产/房地产)的相关性。两只股票的相关性较低,两只股票头寸对主动风险的贡献就越大。 老师,这两道题看着好像是一样的(也有可能是我看错了),但是答案完全不一样,麻烦老师分别一下,感谢
NO.PZ2019012201000035问题如下 Initially, FunAhelactive positions in two reestate stocks—one woverweight 1 %, anthe other wunrweight 1%. FunAtrabato benchmark weights on those two stocks. Then, Aselectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. Aover-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof ABC’s two tras on its active risk? ABC’s active risk: crease remaineunchange increase C is correct. 考点:Active Share anActive Risk 解析:主动风险受股票之间相关性的影响。不同行业的两只股票的相关性低于同一行业两只股票的相关性。因此,新头寸(汽车/科技股)的相关性低于初始头寸(房地产/房地产)的相关性。两只股票的相关性较低,两只股票头寸对主动风险的贡献就越大。 可以描述一下Active Xshare的变化吗?
NO.PZ2019012201000035 remaineunchange increase C is correct. 考点Active Share anActive Risk 解析主动风险受股票之间相关性的影响。不同行业的两只股票的相关性低于同一行业两只股票的相关性。因此,新头寸(汽车/科技股)的相关性低于初始头寸(房地产/房地产)的相关性。两只股票的相关性较低,两只股票头寸对主动风险的贡献就越大。 老师,我理解这四只股票在benchmark和portforlio里都有,也就是说B和P的差异只在于股票的权重不同,那active risk和所选这两只股票的相关性大小有什么关系呢?李老师举的例子里万科/金地,万科/云南白药是分属于B和P的,他们的相关性会影响到B和P收益率的相关性,跟这道题是不一样的。所以我觉得这道题应该选unchange麻烦老师解惑