问题如下图:
选项:
A.
B.
C.
D.
解释:
好奇怪,上课的时候不是说对D这种在no forecast的,要把N1部分(A+B)权重减少平均α,而N0(D)权重直接调为0吗?
NO.PZ2019042401000005问题如下 Stocks anC are in the benchmark portfolio. Assume a manager forecasts returns on stocks an StoC is in the benchmark but not in the forecast. Stois in the forecast but not in the benchmark. Whiof the following is least accurate?A.the manager shoulassign zero weight to stoC.B.the manager shoulassign zero weight to stoC.the weight assigneto stoC ccalculatefrom the alphof the forecasteasset.the weights assigneto stoC anare not equal. is correct. 考点Proper Alpha Coverage解析首先要注意题目中要求选出错误。对于有预测但不在基准中的股票(Sto,应为其分配的权重为0。对于没有预测但在基准中的股票(StoC),应为其分配权重为0。对于没有预测但在基准中的股票(StoC),也可以为其分配权重为foretasteasset alphas的函数。因此错误的,因为StoC应分配的权重为与Sto分配的权重均为0,所以他们应分配的权重are not equal,错误。其他的说法都是正确的。 不在benchmark里,权重不是0么
NO.PZ2019042401000005问题如下Stocks anC are in the benchmark portfolio. Assume a manager forecasts returns on stocks an StoC is in the benchmark but not in the forecast. Stois in the forecast but not in the benchmark. Whiof the following is least accurate?A.the manager shoulassign zero weight to stoC.B.the manager shoulassign zero weight to stoC.the weight assigneto stoC ccalculatefrom the alphof the forecasteasset.the weights assigneto stoC anare not equal. is correct. 考点Proper Alpha Coverage解析首先要注意题目中要求选出错误。对于有预测但不在基准中的股票(Sto,应为其分配的权重为0。对于没有预测但在基准中的股票(StoC),应为其分配权重为0。对于没有预测但在基准中的股票(StoC),也可以为其分配权重为foretasteasset alphas的函数。因此错误的,因为StoC应分配的权重为与Sto分配的权重均为0,所以他们应分配的权重are not equal,错误。其他的说法都是正确的。 请问第三个为何正确?是什么意思?
NO.PZ2019042401000005 问题如下 Stocks anC are in the benchmark portfolio. Assume a manager forecasts returns on stocks an StoC is in the benchmark but not in the forecast. Stois in the forecast but not in the benchmark. Whiof the following is least accurate? A.the manager shoulassign zero weight to sto B.the manager shoulassign zero weight to sto C.the weight assigneto stoC ccalculatefrom the alphof the forecasteasset. the weights assigneto stoC anare not equal. is correct. 考点Proper Alpha Coverage解析首先要注意题目中要求选出错误。对于有预测但不在基准中的股票(Sto,应为其分配的权重为0。对于没有预测但在基准中的股票(StoC),应为其分配权重为0。对于没有预测但在基准中的股票(StoC),也可以为其分配权重为foretasteasset alphas的函数。因此错误的,因为StoC应分配的权重为与Sto分配的权重均为0,所以他们应分配的权重are not equal,错误。其他的说法都是正确的。 对于没有预测但在基准中的股票(StoC),也可以为其分配权重为foretasteasset alphas的函数。老师这个权重是什么权重啊?有点不理解
NO.PZ2019042401000005 问题如下 Stocks anC are in the benchmark portfolio. Assume a manager forecasts returns on stocks an StoC is in the benchmark but not in the forecast. Stois in the forecast but not in the benchmark. Whiof the following is least accurate? A.the manager shoulassign zero weight to sto B.the manager shoulassign zero weight to sto C.the weight assigneto stoC ccalculatefrom the alphof the forecasteasset. the weights assigneto stoC anare not equal. is correct. 考点Proper Alpha Coverage解析首先要注意题目中要求选出错误。对于有预测但不在基准中的股票(Sto,应为其分配的权重为0。对于没有预测但在基准中的股票(StoC),应为其分配权重为0。对于没有预测但在基准中的股票(StoC),也可以为其分配权重为foretasteasset alphas的函数。因此错误的,因为StoC应分配的权重为与Sto分配的权重均为0,所以他们应分配的权重are not equal,错误。其他的说法都是正确的。 在基准的股票C分配0的权重不是会让组合经理的 α 变低嘛,因为主动投资基金经理是把资金用在他认为更赚钱的股票面了,C股票权重调整0,会扭曲基金经理的业绩呀
NO.PZ2019042401000005 问题如下 Stocks anC are in the benchmark portfolio. Assume a manager forecasts returns on stocks an StoC is in the benchmark but not in the forecast. Stois in the forecast but not in the benchmark. Whiof the following is least accurate? A.the manager shoulassign zero weight to sto B.the manager shoulassign zero weight to sto C.the weight assigneto stoC ccalculatefrom the alphof the forecasteasset. the weights assigneto stoC anare not equal. is correct. 考点Proper Alpha Coverage解析首先要注意题目中要求选出错误。对于有预测但不在基准中的股票(Sto,应为其分配的权重为0。对于没有预测但在基准中的股票(StoC),应为其分配权重为0。对于没有预测但在基准中的股票(StoC),也可以为其分配权重为foretasteasset alphas的函数。因此错误的,因为StoC应分配的权重为与Sto分配的权重均为0,所以他们应分配的权重are not equal,错误。其他的说法都是正确的。 The weight assigneto stoC ccalculatefrom the alphof the forecasteasset.请问按C说的来计算出的权重也是零吗