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stacie · 2020年02月23日

问一道题:NO.PZ2019012201000031

问题如下:

Initially, Fund TMT held active positions in two realestate stocks—one was over-weighted by 1 %, and the other was under-weighted by 1%. Fund TMT traded back to benchmark weights on those two stocks. Then, TMT selected two different stocks that were held at benchmark weights, one automobile stock and one technology stock. TMT over-weighted the automobile stock by 1% and underweighted the technology stock by 1%. What was the effect of TMT’s two trades on its active share? TMT’s active share:

选项:

A.

decreased.

B.

remained unchanged.

C.

increased.

解释:

B is correct.

考点:Active Share and Active Risk

解析:只有当投资组合的主动权重绝对值的总和发生变化时,主动份额才会发生变化。在TMT基金的两笔交易中,初始头寸和新头寸都涉及两只股票,一只减持1%,另一只增持1%,因此主动权重绝对值的总和没有变化,所以主动份额并没有改变。

老师您好,

这道题干描述了3个状态,

状态1:两个相同行业的股票比benchmark一个+1%一个-1%; AS=1%

状态2:trade back to benchmark weight; As=0

状态3:两个不同行业的票比benchmark一个+1%一个-1%;AS=1%


为什么最后问的不是状态3比状态2的active share变化多少,而要用状态3去比状态1啊?那题目里面说状态2有啥意义啊?

1 个答案

maggie_品职助教 · 2020年02月24日

嗨,努力学习的PZer你好:


这道题问与benchmark相比,组合调仓前后主动风险发生怎样的变化(状态2相当于是一个归零的状态,这里比较的是两次调仓即状态1和3)。与大盘相比,Fund TMT第一次调仓的主动差别投的是同一个行业,而换仓后(第二次调仓)持有的不同行业的股票,虽然调仓前后active share相同都是1%,但调仓后投资的是不同行业,组合与benchmark的相关性更小(与大盘更不像),所以主动风险更高。


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