NO.PZ201809170400000506
问题如下:
As a result of Fund 3’s two trades, the portfolio’s active risk most likely:
选项:
A.decreased.
B.remained unchanged.
C.increased.
解释:
C is correct. Active risk is affected by the degree of cross-correlation. The correlation of two stocks in different sectors is most likely lower than the correlation of two stocks in the same sector. Therefore, the correlation of the energy/financial pair is most likely lower than that of the automobile/automobile pair. Because both positions were implemented as an overweight and underweight, the lower correlation of the two stocks in the new position should contribute more to active risk than the two-stock position that it replaced.
看了去年企鹅老师的回答,我有点越看越糊涂。这个知识点对应的是像不像那个思考方式吗?能否顺一下?