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露露66 · 2023年11月29日

老师，什么叫fully neutralized

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100000803

问题如下：

In Lazare and Warrack’s comments about Active Share and active risk, the comment that is least accurate is the one concerning:

选项：

A.portfolio diversification.

B.neutralizing factor exposure.

C.increasing idiosyncratic volatility.

解释：

Solution

B is correct. The comment concerning neutralizing factor exposure is incorrect: In a single-factor model, if the factor exposure is neutralized, the active risk will be entirely attributable to the Active Share—a consequence of the manager deviating from benchmark weights. The active risk attributed to Active Share will be smaller for more diversified portfolios with lower idiosyncratic risk. Active risk does rise with an increase in factor and idiosyncratic volatility.

A is incorrect. The active risk attributed to Active Share will be smaller for more diversified portfolios with lower idiosyncratic risk.

C is incorrect. Active risk does rise with an increase in factor and idiosyncratic volatility.

老师，什么叫fully neutralized

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1 个答案

笛子_品职助教 · 2023年11月30日

嗨，从没放弃的小努力你好：


fully neutralized

完全中性，意思是portfolio的因子权重与benchmark完全一样。

举例来说，行业也是一种factor。


benchmark有银行、消费、科技、制造业，4个行业，银行占比30%，消费占比20%，科技占比20%，制造业占比20%。

如果portfolio，也是银行占比30%，消费占比20%，科技占比20%，制造占比20%。

则portfolio与benchmark的行业配置完全一致。

此时我们就可以说，行业因子是fully neutralized的。



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