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蓝阿白 · 2020年10月28日

问一道题:NO.PZ2019012201000035 [ CFA III ]

问题如下:

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

选项:

A.

decreased.

B.

remained unchanged.

C.

increased.

解释:

C is correct.

考点:Active Share and Active Risk

解析:主动风险受股票之间相关性的影响。不同行业的两只股票的相关性低于同一行业两只股票的相关性。因此,新头寸(汽车/科技股)的相关性低于初始头寸(房地产/房地产)的相关性。两只股票的相关性较低,两只股票头寸对主动风险的贡献就越大。

跟另外一道题,一个unchanged一个increase,有什么区别?

1 个答案

maggie_品职助教 · 2020年10月29日

嗨,爱思考的PZer你好:


没有区别,这道题就是根据那道题改写的,考点一样、思路一样、陷阱一样,只是换了一个公司名称。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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