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?