在traditional long-only asset managers中的size of positions是指什么,可否举一个例子?另外,下一段落中的a risk measure more specific to asset management is active share是指什么?
丹丹_品职答疑助手 · 2020年04月07日
嗨,努力学习的PZer你好:
同学你好,根据原版书对于size of position的解读:
Position limits: Asset managers use position limits as the most frequent form of
risk control for the portfolios they manage, particularly in fund offering documents that need to be understandable to a broad range of investors. Position limits include restrictions on country, currency, sector, and asset class; they may measure them in absolute terms or relative to a benchmark, and they are almost always expressed as a percentage of the portfolio’s value.
在实际交易过程中,通常我们会要求,比如单只股票不能买入超过其发行量的20%,不能占整个投资组合的80%或者不能集中投资于某个市场,比如朝鲜,或者权重不能偏离benchmark权重过多,通过这些限制起到防止某一事件风险带来整个投资组合的大幅下跌。
对于Active share: Active share is the measure of that percentage of the portfolio
that differs from the benchmark index.是指投资组合偏离benchmark的部分。
希望可以帮到你
-------------------------------就算太阳没有迎着我们而来,我们正在朝着它而去,加油!