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Shell_eyyy · 2021年05月02日

这题没懂。。。

* 问题详情,请 查看题干

NO.PZ201809170400000507

问题如下:

What was the effect of Fund 3’s two trades on its active share? Fund 3’s active share:

选项:

A.

decreased.

B.

remained unchanged.

C.

increased.

解释:

B is correct. Active share changes only if the total of the absolute values of the portfolio’s active weights changes. For the two trades in Fund 3, both the initial position and the new position involved two stocks such that one was 1pp underweighted and the other was 1pp overweighted. Although the active weights of particular securities did change between the initial position and the new position, the total absolute active weights did not change.

Therefore, the portfolio’s active share did not change.

Although the active weights of particular securities did change between the initial position and the new position, the total absolute active weights did not change.


能举具体例子解释下吗?

1 个答案

maggie_品职助教 · 2021年05月03日

嗨,从没放弃的小努力你好:


我猜测如果这个小问不懂的话,前面问active risk的变化的那道题可能也会有问题,那我就一起举例讲解一下:首先 benchmark和portfolio都是一个股票池子。

背景:benchmark里面A(automobile)、B(automobile)、C(energy)、D(financial)四只股票各占5%。

操作:fund3先买了A、B分别为4%、6%(trade1:一个比基准多1%,一个比基准少1%)、C和D保持5%,后面换成了C、D分别为4%、6%(trade2:还是一个比基准多1%,一个比基准少1%),A和B保持5%。

解释:

AS的变化:trade1,active share是1%(一个股票权重大1%,一个股票权重小1%,根据公式AS=(1%+1%)/2。不管是不是同一个行业,trade1,AS也是1%, 算出来的active share都是一样的1%,所以不变。

AR的变化:从trade1来看,基金和benchmark买A、B在权重上虽然有差异,但是两者持有汽车股的权重都是10%(无论是5+5还是4+6),所以在trade1下,基金跟 benchmark更像,active risk较小;而trade2,由于C、D因为是两个行业,基金持有这两种股票的权重都跟benchmark有差距(如基准持有能源股5%,而fund3只持有4%),说明在trade1,fund3更不像benchmark,因此相比trade1,active risk更大。

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