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含笑步步颠💫 · 2021年06月10日

问一道题:NO.PZ2019012201000035 [ CFA III ]

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。

看了前面的问题答案还是没有搞懂,active risk是和bechmark比,看相关性高不高。 但是题目里说了,第二次交易的两个股票在benchmark里也都存在呀,怎么就离benchmark更远了呢?

1 个答案

伯恩_品职助教 · 2021年06月10日

第二次提高汽车股,降低了科技股就不像benchmark, 举个栗子,两倍的1-10号小球在A和B两个盒子里,比如A盒子是两个1,两个2,两个3,一直到两个10。B盒子也一样。现在把A盒子里的两个3号球变成1个3号球,然后把原来的两个5号球变成3个,这样总数量A和B两个盒子一样都是20个。但是小球已经不完全一样了。所以A和B盒子不像了。就有了active risk。 PS:active risk就是portfolio 和benchmark不像。越类似active risk就越小。 这样懂了吗?

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NO.PZ2019012201000035 问题如下 Initially, FunAhelactive positions in two reestate stocks—one woverweight 1 %, anthe other wunrweight 1%. FunAtrabato benchmark weights on those two stocks. Then, Aselectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. Aover-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof ABC’s two tras on its active risk? ABC’s active risk: crease remaineunchange increase C is correct. 考点:Active Share anActive 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。 老师,我的逻辑是这样,请帮忙看下哪步错了,为什么?谢谢portfolio中由2个房地产股票换成两个不同行业股票,portfolio分散化增加,所以portfolio与benchmark更像→portfolio与benchmark的相关性越大→active risk越小

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