本题及例题

NO.PZ2023010903000065问题如下 Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results.Langhalso intifies the funthcoulminimize the active risk of the tot$2 billion Amity equity portfolio after replacement is complete.From Exhibit 3, the replacement cante funthat, if inclu will most likely minimize the active risk of the finAmity equity funis: A.AshB.BlueC.March Active risk is a measure of the volatility of portfolio returns relative to the volatility of benchmark returns. The Ash funwill most likely minimize the active risk when combinein the finAmity equity portfolio because of its high covarianwith the present fun The low-covarianfun mreoverall portfolio volatility but not active risk.B is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high-funC is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high covarianfun 没有强调原来组合就是risk efficien的话，就不能选与原方案协方差最大的呀

NO.PZ2023010903000065 问题如下 Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results.Langhalso intifies the funthcoulminimize the active risk of the tot$2 billion Amity equity portfolio after replacement is complete.From Exhibit 3, the replacement cante funthat, if inclu will most likely minimize the active risk of the finAmity equity funis: A.Ash B.Blue C.Mar Active risk is a measure of the volatility of portfolio returns relative to the volatility of benchmark returns. The Ash funwill most likely minimize the active risk when combinein the finAmity equity portfolio because of its high covarianwith the present fun The low-covarianfun mreoverall portfolio volatility but not active risk.B is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high-funC is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high covarianfun 如题，如果每个funactive share/active risk计算，不是越大越好嘛？

NO.PZ2023010903000065 问题如下 Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results.Langhalso intifies the funthcoulminimize the active risk of the tot$2 billion Amity equity portfolio after replacement is complete.From Exhibit 3, the replacement cante funthat, if inclu will most likely minimize the active risk of the finAmity equity funis: A.Ash B.Blue C.Mar Active risk is a measure of the volatility of portfolio returns relative to the volatility of benchmark returns. The Ash funwill most likely minimize the active risk when combinein the finAmity equity portfolio because of its high covarianwith the present fun The low-covarianfun mreoverall portfolio volatility but not active risk.B is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high-funC is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high covarianfun Ash和当前的portfolio相关性高，但Ash的active risk要比March高挺多的，这不是意味着当前的portfolio本身active risk就不低？

NO.PZ2023010903000065 问题如下 Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results.Langhalso intifies the funthcoulminimize the active risk of the tot$2 billion Amity equity portfolio after replacement is complete.From Exhibit 3, the replacement cante funthat, if inclu will most likely minimize the active risk of the finAmity equity funis: A.Ash B.Blue C.Mar Active risk is a measure of the volatility of portfolio returns relative to the volatility of benchmark returns. The Ash funwill most likely minimize the active risk when combinein the finAmity equity portfolio because of its high covarianwith the present fun The low-covarianfun mreoverall portfolio volatility but not active risk.B is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high-funC is incorrect. The low covarianwith the Amity portfolio will lower the overall volatility of the funbut not the active risk, because active risk measures the volatility of portfolio returns relative to thof the benchmark: This will achievethrough the substitution of a high covarianfun 如题