问一道题：NO.PZ201809170400000605 第5小题

NO.PZ201809170400000605 问题如下 Ayanna Chen is a portfolio manager Aycrig Fun where she supervises assistant portfolio manager MorchGarciAycrig Funinvests money for high-net-worth aninstitutioninvestors. Chen asks Garcia to analyze certain information relating to Aycrig Funs three submanagers, Managers anC.Manager A h$250 million in assets unr management (AUM), active risk of 5%, information coefficient of 0.15, ana transfer coefficient of 0.40. Manager A’s portfolio ha 2.5% expecteactive return this year.Chen rects Garcia to termine the maximum position size thManager A cholin shares of Pasliant Corporation, whiha market capitalization of $3.0 billion, inx weight of 0.20%, anaverage ily trang volume (A) of 1% of its market capitalization.Manager A hthe following position size policonstraints:Allocation: No investment in any security mrepresent more th3% of totAUM.Liquity: No position size mrepresent more th10% of the llvalue of the security’s A.Inx weight: The maximum position weight must less thor equto 10 times the security’s weight in the inx.Manager B hol a highly versifieportfolio thhbalanceexposures to rewarrisk factors, high active share, ana relatively low active risk target.Selecteta on Manager C’s portfolio, whicontains three assets, is presentein Exhibit 1.Chen consirs aing a fourth sub-manager anevaluates three managers’ portfolios, Portfolios X, Y, anZ. The managers for Portfolios X, Y, anZ all have similcosts, fees, analpha skills, antheir factor exposures align with both Aycrig’s aninvestors’ expectations anconstraints. The portfolio factor exposures, risk contributions, anrisk characteristiare presentein Exhibits 2 an3.Chen anGarcia next scuss characteristiof long–short anlong-only investing. Garcia makes the following statements about investing with long–short anlong-only managers:Statement 1 A long–short portfolio allows for a gross exposure of 100%.Statement 2 A long-only portfolio generally allows for greater investment capacity thother approaches, particularly when using strategies thfocus on large-cstocks.Chen anGarcia then turn their attention to portfolio management approaches.Chen prefers approathemphasizes security-specific factors, engages in factor timing, antypically lea to portfolios thare generally more concentrateththose built using a systematic approach. Baseon Exhibits 2 an3, whiportfolio best exhibits the risk characteristiof a well-constructeportfolio? Portfolio X Portfolio Y Portfolio Z A is correct. Well-constructeportfolios shoulhave low iosyncratic (unexplaine risk relative to totrisk. Portfolio Y exhibits extremely high unexplainerisk relative to totrisk, anPortfolios X anZ have low unexplainerisk relative to totrisk. Therefore, Portfolio Y meliminate Portfolios X anZ have comparable factor exposures. In comparing portfolios with comparable factor exposures, the portfolio with lower absolute volatility anlower active risk will likely preferre assuming similcosts. Portfolio X hlower absolute volatility anlower active risk thPortfolio Z, although both have similcosts. Finally, for managers with similcosts, fees, analpha skills, if two procts have similactive anabsolute risks, the portfolio having a higher active share is preferre Portfolio X hlower absolute volatility, lower active risk, anhigher active share thPortfolio Z. a result, Portfolio X best exhibits the risk characteristiof a well-constructeportfolio. CI just look whiones hthe lowest Active risk/Active share ratio?

NO.PZ201809170400000605问题如下 Baseon Exhibits 2 an3, whiportfolio best exhibits the risk characteristiof a well-constructeportfolio? Portfolio X Portfolio Y Portfolio Z A is correct. Well-constructeportfolios shoulhave low iosyncratic (unexplaine risk relative to totrisk. Portfolio Y exhibits extremely high unexplainerisk relative to totrisk, anPortfolios X anZ have low unexplainerisk relative to totrisk. Therefore, Portfolio Y meliminate Portfolios X anZ have comparable factor exposures. In comparing portfolios with comparable factor exposures, the portfolio with lower absolute volatility anlower active risk will likely preferre assuming similcosts. Portfolio X hlower absolute volatility anlower active risk thPortfolio Z, although both have similcosts. Finally, for managers with similcosts, fees, analpha skills, if two procts have similactive anabsolute risks, the portfolio having a higher active share is preferre Portfolio X hlower absolute volatility, lower active risk, anhigher active share thPortfolio Z. a result, Portfolio X best exhibits the risk characteristiof a well-constructeportfolio. 如何看出X和Z有similcost

NO.PZ201809170400000605问题如下 Baseon Exhibits 2 an3, whiportfolio best exhibits the risk characteristiof a well-constructeportfolio? Portfolio X Portfolio Y Portfolio Z A is correct. Well-constructeportfolios shoulhave low iosyncratic (unexplaine risk relative to totrisk. Portfolio Y exhibits extremely high unexplainerisk relative to totrisk, anPortfolios X anZ have low unexplainerisk relative to totrisk. Therefore, Portfolio Y meliminate Portfolios X anZ have comparable factor exposures. In comparing portfolios with comparable factor exposures, the portfolio with lower absolute volatility anlower active risk will likely preferre assuming similcosts. Portfolio X hlower absolute volatility anlower active risk thPortfolio Z, although both have similcosts. Finally, for managers with similcosts, fees, analpha skills, if two procts have similactive anabsolute risks, the portfolio having a higher active share is preferre Portfolio X hlower absolute volatility, lower active risk, anhigher active share thPortfolio Z. a result, Portfolio X best exhibits the risk characteristiof a well-constructeportfolio. iosyncratic risk对应题目中的哪个risk？ volatility还是active risk？

NO.PZ201809170400000605问题如下 Baseon Exhibits 2 an3, whiportfolio best exhibits the risk characteristiof a well-constructeportfolio? Portfolio X Portfolio Y Portfolio Z A is correct. Well-constructeportfolios shoulhave low iosyncratic (unexplaine risk relative to totrisk. Portfolio Y exhibits extremely high unexplainerisk relative to totrisk, anPortfolios X anZ have low unexplainerisk relative to totrisk. Therefore, Portfolio Y meliminate Portfolios X anZ have comparable factor exposures. In comparing portfolios with comparable factor exposures, the portfolio with lower absolute volatility anlower active risk will likely preferre assuming similcosts. Portfolio X hlower absolute volatility anlower active risk thPortfolio Z, although both have similcosts. Finally, for managers with similcosts, fees, analpha skills, if two procts have similactive anabsolute risks, the portfolio having a higher active share is preferre Portfolio X hlower absolute volatility, lower active risk, anhigher active share thPortfolio Z. a result, Portfolio X best exhibits the risk characteristiof a well-constructeportfolio. 上课的例题（基础班讲义212页），老师说Annualizevolatility是绝对风险，annualizeactive risk是相对风险，两者矛盾的时候选active share最大的。在这道题里为什么不适用呢？谢谢

NO.PZ201809170400000605