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。
看你的解析里面,
背景:benchmark里面A(real estate)、B(real estate)、C(aotumobile)、D(technology)四只股票各占5%。
操作:portfolio先买了A、B分别为4%、6%,后面换成了C、D分别为4%、6%
解释:虽然操作前后的active share没变,但是买A、B的时候因为是同一行业的股票加起来都是10%所以跟benchmark更像,于是active risk更小;而C、D因为是两个行业都跟benchmark有差距,不同与A、B可以加起来比较,所以active risk更大。
问题1:benchmark里面也有real estate、automobile 、technology这几个行业? 那 C 、D还是和benchmark同一个行业呀?怎么会是有差距?
问题2: 题目哪里看出来,benchmark和A、B是同一个行业?
谢谢