NO.PZ2019012201000035
问题如下：
Initially, Fund ABC held active positions in two real estate 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。
老师，active risk公式中的相关系数是P与B的呀，第二次交易的两个不同行业的股票也都在benchmark中呀，交易后P与B都有这两股票，只是P与B里这俩股票的权重分别不同，但P与B的相关系数没有改变呀。我哪理解的不对呢？谢谢。