NO.PZ2023010903000061
问题如下：
Ap reviews quarterly holdings reports for Fund 3. In comparing the two most recent quarterly reports, he notices differences in holdings that indicate that Fund 3 executed two trades, with each trade involving pairs of stocks. Initially, Fund 3 held active positions in two automobile stocks—one was overweight by 1 percentage point (pp), and the other was underweight by 1pp. Fund 3 traded back to benchmark weights on those two stocks. In the second trade, Fund 3 selected two different stocks that were held at benchmark weights, one energy stock and one financial stock. Fund 3 overweighted the energy stock by 1pp and underweighted the financial stock by 1pp.
As a result of Fund 3’s two trades, the portfolio’s active risk most likely:
选项：
A.
decreased
B.
remained unchanged
C.
increased
解释：
Active risk is affected by the degree of cross-correlation. The correlation of two stocks in different sectors is most likely lower than the correlation of two stocks in the same sector. Therefore, the correlation of the energy/financial pair is most likely lower than that of the automobile/automobile pair. Because both positions were implemented as an overweight and underweight, the lower correlation of the two stocks in the new position should contribute more to active risk than the two-stock position that it replaced.
老师， the lower correlation of the two stocks in the new position should contribute more to active risk than the two-stock position that it replaced. Variance公式里的ρ越低，不是variance越小了吗？我不理解。
