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Betty · 2024年03月23日

bottom up systematic approach，fund has high dispersion的话

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100000402

问题如下：

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：

Solution

B is correct. 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.

bottom up systematic approach的话，fund has high dispersion的话，那应该就是low active risk，不好吗？

能不能讲讲这题要怎么理解

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1 个答案

笛子_品职助教 · 2024年03月24日

嗨，努力学习的PZer你好：


bottom up systematic approach的话，fund has high dispersion的话，那应该就是low active risk，不好吗？

Hello，亲爱的同学~

high dispersion是指离散度高。

而active risk衡量的就是portfolio return - benchmark return的标准差。

标准差本身就是一种衡量离散程度的指标。

因此，如果按照同学所说的，und has high dispersion的话，也就对应了high active risk。


能不能讲讲这题要怎么理解

这题需了解，各个策略对应的active risk大小。

运用sector bets的fund，会有较高的离散程度，较高的active risk。

A fund的离散程度高，因此A基金是sector bets.

本题选B。

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