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Zunniyaki · 2021年09月20日

Active weights是什么意思?

NO.PZ2019012201000074

问题如下:

Ap learns that Chiyodasenko has initiated a new equity fund. It is similar to Fund 1 but scales up active risk by doubling all of the active weights relative to Fund 1. The new fund aims to scale active return linearly with active risk, but implementation is problematic. Because of the cost and difficulty of borrowing some securities, the new fund cannot scale up its short positions to the same extent that it can scale up its long positions.

Relative to Fund 1, Chiyodasenko’s new equity fund will most likely exhibit a lower:

选项:

A.

information ratio

B.

idiosyncratic risk

C.

collateral requirement

解释:

As the new fund scales up active risk by doubling active weights, it will face implementation constraints that will prevent it from increasing the weights of many of its short positions. The information ratio (IR) is defined as the ratio of active return to active risk. If there were no constraints preventing the new fund from scaling up active weights, it could scale up active risk by scaling up active weights, proportionally increase active return, and keep the IR unchanged. Implementation constraints experienced by the new fund, however, such as the cost and difficulty in borrowing securities to support the scaled-up short positions, will prevent the active return from proportionally increasing with the active risk. Therefore, the IR would most likely be lower for the new fund than for Fund 1. As the following chart illustrates, as active risk is scaled up, implementation constraints create diminishing returns to scale for active returns, thereby degrading the IR.


老师您好!我有点儿记不清active weights在哪个知识点里讲过?能否解释下,另外题目中说scales up active risk by doubling all of active weights是怎么做的?谢谢!

1 个答案

笛子_品职助教 · 2021年09月23日

嗨,努力学习的PZer你好:


active weights可以看强化班21页。也就是投资组合与benchmark之间的权重差异,portfolio weight - benchmark weight = active weight



scales up active risk by doubling all of active weights就是单纯的把active weights扩大一倍,不过题目中也说了,只是把多头扩大了一倍,空头由于卖空限制,没能扩大一倍。


知识点见以下截图(来自基础班讲义251页)



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