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滴滴姐姐~ · 2021年11月07日

这个问题好像也没有问的很清楚诶。。assign 0 给谁?给Benchmark的C还是Forecast的C?

NO.PZ2019042401000005

问题如下:

Stocks A, B, and C are in the benchmark portfolio. Assume a manager forecasts returns on stocks A, B, and D. Stock C is in the benchmark but not in the forecast. Stock D is in the forecast but not in the benchmark. Which of the following is least accurate?

选项:

A.

the manager should assign zero weight to stock C.

B.

the manager should assign zero weight to stock D.

C.

the weight assigned to stock C can be calculated from the alphas of the forecasted asset.

D.

the weights assigned to stock C and D are not equal.

解释:

D is correct.

考点:Proper Alpha Coverage

解析:首先要注意题目中要求选出错误选项。

对于有预测但不在基准中的股票(Stock D),应为其分配的权重为0。对于没有预测但在基准中的股票(Stock C),应为其分配权重为0。

对于没有预测但在基准中的股票(Stock C),也可以为其分配权重为foretasted asset alphas的函数。

因此选项D是错误的,因为Stock C应分配的权重为与Stock D应分配的权重均为0,所以选项D说他们应分配的权重are not equal,错误。

其他选项的说法都是正确的。

如题。。(我感觉。。是assign给benchmark对吧?)


这其实就是我另一个困惑的地方了。。。把C和D的benchmark都调成0。。

那不就是等于只对ABD求alpha了吗。。。

这和啥也不调的Rp-Rb数有差别吗?


那我主动投资比如有

portfolio:ab

benchmark:abcdefg

那相当于我这里调整完alpha只求调整后的ab的alpha了?

1 个答案

品职答疑小助手雍 · 2021年11月08日

同学你好,简单的例子举出来会有这种结果,你想的没错。

不过实际中benchmark和组合都会有很大程度的交错(因为本身针对组合找benchmark就是找风格相近的基准的),实际的意义才能体现出来。

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