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matthew6448 · 2020年02月24日

问一道题:NO.PZ2019012201000035

问题如下:

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

选项:

A.

decreased.

B.

remained unchanged.

C.

increased.

解释:

C is correct.

考点:Active Share and Active 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。

相关性低不是好事吗?可以降低组合风险,为什么会升高active risk?

1 个答案

maggie_品职助教 · 2020年02月25日

嗨,从没放弃的小努力你好:


1、这里说的不是组合的绝对风险,组合内部持有股票的相关性越小,分散化效果越好。这里讲的是主动投资策略,主动风险是组合包含的股票的权重与benchmark不同所导致。组合与benchmark相关性越小,说明组合与benchmark越不像,所以主动风险越高。

2、同学我看你报的是咱们全线班,主动风险是三级比较重要的考点,为何相关性会影响AR李老师在基础班做了详细的讲解,建议先去听一下课(讲义179页开始)。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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