问题如下图:只要suprise😫不等于零都是算有?
选项:
A.
B.
C.
解释:
NO.PZ201710100100000202 问题如下 2. Baseon Exhibit 1, the active risk for Portfolio 2 is explainesurprises in: A.G. B.consumer spenng. C.all four mol factors. C is correct. Active risk, also referreto tracking risk or tracking error, is the sample stanrviation of the time series of active returns, where the active returns consist of the fferences between the portfolio return anthe benchmark return. WhereG is the only portfolio non-zero sensitivity for Portfolio 2, the contribution to the portfolio’s active return is the sum of the fferences between the portfolio’s anthe benchmark’s sensitivities multipliethe factor return. Because all four of the factor sensitivities of Portfolio 2 are fferent from the factor sensitivities of the benchmark, all four factors contribute to the portfolio’s active return an therefore, to its active risk.考点Multifactor mol的应用解析题目问的是组合中的active risk可以被哪些surprise。active risk是投资者相对于benchmark所承担的超额风险,所以要找的是这个组合哪些factor sensitivity与benchmark的factor sensitivity不同。根据表格,benchmark的四个factor sensitivity是0.5,-1, 1.1,-0.1;而portfolio 2的四个factor sensitivity是1,0,0,0,四个都不相等,因此组合的超额风险来自于这四个risk factor。 只有有suprise,不管系数是否为0都可以算作是贡献,如果suprise为0,就不能算作是贡献?
NO.PZ201710100100000202 老师好,想问一下active risk=factor risk+security specific risk factor risk是由于portfolio相比benchmark在每个factor上配置的权重不一样,security specific risk是选股不一样 但这里的active risk是由于factor sensitivity本身就不一样,那这种active risk是属于上述两个风险中的哪一种啊?
你好,所以factor portfolio除了能够有效hee掉那个风险因子外,没有别的天然特性了是吗?不能说因为只有这个factor的beta是1,别的factor beta是0因此就对portfolio没有影响。谢谢
老师你好,有点疑问烦请解答,谢谢1. 这里的portfolio2不是一个factor portfolio吗?只有一个风险因子且敏感度=1,这里的唯一一个风险因子不就是G吗?这样的话还能”factor portfolio可以用于hee,且不引入其他风险因素“不就矛盾了吗?为什么还要考虑和benchmark比较。2. 假如benchmark的其他四项风险因子都为0的时候,才能说portfolio2的active risk只包含一个G?