NO.PZ2018091701000034
问题如下:
Analysts make two conclusions about active portfolio management:
Conclusion one: The active return is equals to the portfolio’s return minus the benchmark portfolio’s return, which is not the same as alpha.
Conclusion two: The active weights are equals to the portfolio’s weights minus the benchmark’s weights.
Which of the following statement is most correct?
选项: Conclusion one is correct.
Both conclusions are correct.
C.Conclusion two is correct.
解释:
B is correct.
考点:value added 的定义
解析:第一个结论是考察active return和alpha的区别,
active return(value added)=RP-RB
alpha(risk-adjust calculation of value added)= R P – β P × R B
所以第一个结论是正确的。
第二个结论是考察active weight的定义,就是Wp-Wb. 所以也是正确的。
alpha(risk-adjust calculation of value added)= R P – β P × R B,里面的β是什么?