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考拉 · 2024年01月06日

这道题太奇怪了，请老师解析一下

  1. CFA III
  2. Equity

NO.PZ2023010903000063

问题如下：

Noting that MFC has two managers who use the same index as their benchmark, Shaw observes that Fund A and Fund B have similar Active Share and a similar number of positions, but Fund A’s realized active risk of 7% is almost three times greater than that of Fund B. Shaw makes the following comments:

l I think Fund B makes a lot of sector bets.

l Fund A likely has higher fees than Fund B

l Fund A should have a greater dispersion of returns about the benchmark.

In regard to Shaw’s comments about Fund A and Fund B, the one that is most accurate concerns:

选项：

A.

Fund A’s fees

B.

Fund A’s dispersion

C.

Fund B’s sector bets

解释：

Shaw’s comment about Fund A’s dispersion is correct. With a higher active risk (tracking error), Fund A has a greater likelihood of having results dispersed more broadly (both positive and negative) around benchmark results than Fund B has. Investors are more likely to be willing to pay higher fees for higher Active Share as an indicator of greater active management, but Active Share is identical for Fund A and Fund B. Sector bets are likely to affect active risk; therefore, Fund A is more likely to be using sector bets, not Fund B.

A is incorrect. Investors are more likely to be willing to pay higher fees for higher Active Share as an indicator of greater active management, but Active Share is identical for Fund A and Fund B.

C is incorrect. Sector bets are likely to affect active risk; therefore, it is Fund A that is more likely to be using sector bets, not Fund B.

With a higher active risk (tracking error), Fund A has a greater likelihood of having results dispersed more broadly (both positive and negative) around benchmark results than Fund B has.【怎么理解这个return disersion？是A分散化程度更高的意思么？那A的active risk 应该比B更低才对啊】



Investors are more likely to be willing to pay higher fees for higher Active Share as an indicator of greater active management, but Active Share is identical for Fund A and Fund B.【我理解投资更愿意为更高的active return 买单，而active return越高往往active risk 越高，关键还是要看active risk ,而不仅Active share.毕竟active share也是包含在active risk 里的 】



Sector bets are likely to affect active risk; therefore, Fund A is more likely to be using sector bets, not Fund B.【怎么理解sector bets?sector bets是横跨了更多行业的意思么? 那分散化程度应该给更高呀，A的active Risk 更高，分散化程度应该越低，sector bets 应该更少才对啊】

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笛子_品职助教 · 2024年01月08日

嗨，努力学习的PZer你好：


收益离散度高，并不是所说的分散性高。收益离散度高可以理解为portfolio的波动性更高。

这里是探讨费用与什么有关，费用只与active share有关。这是原版书的结论。

sector bets是指赌行业，比如benchmark有10个行业，portfolio只押一个，这就是sector best。由此可见，sector bet会增加active risk




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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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