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hmily · 2023年08月10日

股票占比以及股票个数的信息，如何得到？

  1. CFA III
  2. Equity

NO.PZ2019012201000031

问题如下：

Initially, Fund TMT held active positions in two real estate stocks—one was over-weighted by 1 %, and the other was under-weighted by 1%. Fund TMT traded back to benchmark weights on those two stocks. Then, TMT selected two different stocks that were held at benchmark weights, one automobile stock and one technology stock. TMT over-weighted the automobile stock by 1% and underweighted the technology stock by 1%. What was the effect of TMT’s two trades on its active share? TMT’s active share:

选项：

A.

decreased.

B.

remained unchanged.

C.

increased.

解释：

B is correct.

考点：Active Share and Active Risk

解析：只有当投资组合的主动权重绝对值的总和发生变化时，主动份额才会发生变化。在TMT基金的两笔交易中，初始头寸和新头寸都涉及两只股票，一只减持1%，另一只增持1%，因此主动权重绝对值的总和没有变化，所以主动份额并没有改变。

每只股票的占比是5%这个信息，从何而来哪？以及如何判断为4只股票哪？

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1 个答案

笛子_品职助教 · 2023年08月10日

嗨，努力学习的PZer你好：


Fund TMT held active positions in two real estate stocks—one was over-weighted by 1 %, and the other was under-weighted by 1%.

这里是2只股票。


 Then, TMT selected two different stocks that were held at benchmark weights, one automobile stock and one technology stock. 

这里又是2只股票


一共是4只股票。


题目本身并没有看到每只股票占比5%这个信息，有没有这个信息也不影响解题。5%可能是讲解的时候老师举的例子。



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