问题如下:
Based on the following table, macroeconomic two-factor model:
Which of the following statement is the active risk for Fund C?
选项:
A.only inflation.
B.expected return.
C.all three model factors.
解释:
C is correct.
考点:active risk 。
解析: active risk是和benchmark相比较得出的,这里benchmark的sensitivity和Fund C都不一样,所以这些变量都会影响。换句话说,如果组合C的变量和benchmark都是一样的,就不存在active risk。
老师请问,Active Risk =(Rp-Rb)的standard deviation,这里却可以直接用Fund Sensitivity 和Benchmark Sensitivity进行相减?