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卢天悦 · 2023年08月03日

best risk-efficient delivery是相当于用最少的stock实现最佳的tracking效果吗

NO.PZ2023010903000069

问题如下:

Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity Island Endowment. The $2 billion equity portion of the Amity fund is invested using a global equity index approach. Quint has been charged with identifying an active equity fund to replace 20% of the indexed portfolio. Three candidate funds with similar performance histories, benchmarks, and fees have been identified. Based on the characteristics shown in Exhibit 3, Quint asks Langham to recommend the fund that has demonstrated the best risk-efficient delivery of results.

Exhibit 3 Characteristics of Candidates for Amity Equity Portfolio

The fund in Exhibit 3 that is most consistent with Quint’s requirements is:

选项:

A.

Ash

B.

Blue

C.

March

解释:

The March Fund is the fund that is most consistent with Quint’s requirements for the best risk-efficient delivery of results. It delivers the lowest active risk (3.2%) using far fewer securities (140), indicating an efficient approach. The higher Active Share (0.75) for the similar level of fees also supports this decision.

A is incorrect. Ash has the highest active risk, which indicates active return contributions of a greater dispersion than the benchmark and the competing funds. More securities and lower Active Share are not supportive of this fund choice.

B is incorrect. Blue has the highest number of securities and a relatively low Active Share. Although the overall portfolio volatility is the lowest of the three (producing a higher Sharpe ratio), the more relevant risk is that attributable to active management. Greater active risk despite more securities is not the most efficient method.

所以要找stock用的最少的,active risk最小的?

1 个答案
已采纳答案

笛子_品职助教 · 2023年08月04日

嗨,努力学习的PZer你好:


best risk-efficient delivery是相当于用最少的stock实现最佳的tracking效果吗

risk -efficient是指:

在相同active risk下,active share越大,risk efficient越好。

在相同active share下,active risk越小,risk efficient越好。

可以合并理解为:active share/active risk越大,risk efficient越好。

股票数量对于active share,股票数量越少,active share越大。

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努力的时光都是限量版,加油!

五笔叔叔 · 2023年08月15日

这个best risk-efficient delivery知识点在讲义哪里啊 没翻到

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