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玛卡巴卡 · 2021年09月18日

equity

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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.

这道题是在问两次偏离带来的active shares的变化么?我做的时候理解是偏离和不偏离的相比,肯定是change

1 个答案

笛子_品职助教 · 2021年09月20日

嗨,爱思考的PZer你好:


知识点如下:



具体到本题,这题的关键是读懂题目。这个基金做了2笔交易。

第一笔交易:原本持有2个股票,1个股票比benckMark的权重高1%,一个股票比benckMark的权重低1%。第一笔交易是把这2个股票的权重,调整到Benchmark水平。

第二笔交易:把原本和benchMark权重一致的两个股票,一个权重调高1%,一个权重调低1%。也就是第2笔交易,是把两个股票的权重偏离benchmark。


结合active share的公式,这2笔交易合起来,Active Share不变。

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