NO.PZ2018091701000013
问题如下:
Based on the following table, macroeconomic two-factor model:
Which of the following statement is the active risk for Fund C?
选项:
A.
only inflation.
B.
expected return.
C.
all three model factors.
解释:
C is correct.
考点:active risk 。
解析: active risk是和benchmark相比较得出的,这里benchmark的sensitivity和Fund C都不一样,所以这些变量都会影响。换句话说,如果组合C的变量和benchmark都是一样的,就不存在active risk。
請問這題fund C的1、0、0三個數究竟是beta還是surprise?
若是beta,fund C的beta與benchmark的beta不同既代表有active risk?