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Betty · 2024年03月23日

为什么high tracking error不能说明volatile，而是luck not skills?

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100001002

问题如下：

Which of Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:

选项：

A.tracking errors. B.excess return. C.currency overlays.

解释：

Solution

B is correct. The comment about excess return being luck rather than skill is correct. Replication managers attempt to create a portfolio that tracks the performance and the volatility of the underlying index as closely as possible. The proper measure of skill is the tracking error: Manager B has the highest tracking error among the three managers.

A is incorrect. Tracking error does not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the index and the portfolio.

C is incorrect. A currency overlay assists a portfolio manager in hedging (not levering) the returns of securities that are held in foreign currency back to the home country’s currency.

为什么high tracking error不能说明market volatile，而是excess return comes from luck not skills?

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Betty · 2024年03月26日

active risk=tracking error=tracking risk

2 个答案

笛子_品职助教 · 2024年03月26日

嗨，从没放弃的小努力你好：


active risk

=tracking error

=tracking risk

= （portfolio return - benchmark return）的标准差

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

笛子_品职助教 · 2024年03月25日

嗨，努力学习的PZer你好：


为什么high tracking error不能说明market volatile

market volatility是指市场的绝对波动率。可以理解为market的σ

而trakcing error, it measures the volatility of the excess return between the index and the portfolio.

可以理解为（portfolio return - benchmark return） 的σ。

因此，trakcing error与market volatility不同。


为什么high tracking error是excess return comes from luck not skills?

同学问，high tracking error是excess return comes from luck not skills，这是为什么。

而事实上，根据我们的知识点：tracking error并不是excess return comes from luck not skills。

tracking error是portfolio return - benchmark return 的σ。它是波动率σ

而excess return是收益。

波动率σ，不是收益return。


同学这里，如果是比较准确的问法，应该这么问：excess return来自luck而不是skill，这是为什么。

结合本题：也就是判断题目里这句陈述：

  • His excess return looks like it is more a matter of luck than skill.

是否正确。

原题需要做判断的这句话里，也只涉及excess return。


主动基金，会寻求alpha收益，此时才有skill的说法。

被动基金并不主动寻求超额收益，也就是被动基金的alpha为0。因此被动基金，不存在skill这个说法。

根据本题描述，3只基金，都是被动跟踪指数的被动基金。

对于被动基金来说，由于不存在技巧因素，则如果有超额收益，只能来自于运气因素。

被动基金，超额收益为正，是运气好。超额收益为负，是运气不好。没有skill。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Stella · 2024年06月25日

通过排除法选的luck ，但是题中的解释太牵强了。。。handbook的题做的人太难受了

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