这道题是要将原来的组合的20%换成新的组合.

NO.PZ2023010903000069问题如下 Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results.Exhibit 3 Characteristiof Cantes for Amity Equity PortfolioThe funin Exhibit 3 this most consistent with Quint’s requirements is: A.AshB.BlueC.March The MarFunis the funthis most consistent with Quint’s requirements for the best risk-efficient livery of results. It livers the lowest active risk (3.2%) using ffewer securities (140), incating efficient approach. The higher Active Share (0.75) for the simillevel of fees also supports this cision.A is incorrect. Ash hthe highest active risk, whiincates active return contributions of a greater spersion ththe benchmark anthe competing fun. More securities anlower Active Share are not supportive of this funchoice.B is incorrect. Blue hthe highest number of securities ana relatively low Active Share. Although the overall portfolio volatility is the lowest of the three (procing a higher Sharpe ratio), the more relevant risk is thattributable to active management. Greater active risk spite more securities is not the most efficient metho 对于active risk一样 active share越大越好 反之 active risk 越小越好怎么理解这件事情呢？

NO.PZ2023010903000069问题如下 Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results.Exhibit 3 Characteristiof Cantes for Amity Equity PortfolioThe funin Exhibit 3 this most consistent with Quint’s requirements is: A.AshB.BlueC.March The MarFunis the funthis most consistent with Quint’s requirements for the best risk-efficient livery of results. It livers the lowest active risk (3.2%) using ffewer securities (140), incating efficient approach. The higher Active Share (0.75) for the simillevel of fees also supports this cision.A is incorrect. Ash hthe highest active risk, whiincates active return contributions of a greater spersion ththe benchmark anthe competing fun. More securities anlower Active Share are not supportive of this funchoice.B is incorrect. Blue hthe highest number of securities ana relatively low Active Share. Although the overall portfolio volatility is the lowest of the three (procing a higher Sharpe ratio), the more relevant risk is thattributable to active management. Greater active risk spite more securities is not the most efficient metho 如果要选risk efficient选择sharpe ratio 最大的。如果要选active risk min选择与原portfolio correlation最大的。如果要minimize totrisk选择correlation 小且volatility 小的。

NO.PZ2023010903000069 问题如下 Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results.Exhibit 3 Characteristiof Cantes for Amity Equity PortfolioThe funin Exhibit 3 this most consistent with Quint’s requirements is: A.Ash B.Blue C.Mar The MarFunis the funthis most consistent with Quint’s requirements for the best risk-efficient livery of results. It livers the lowest active risk (3.2%) using ffewer securities (140), incating efficient approach. The higher Active Share (0.75) for the simillevel of fees also supports this cision.A is incorrect. Ash hthe highest active risk, whiincates active return contributions of a greater spersion ththe benchmark anthe competing fun. More securities anlower Active Share are not supportive of this funchoice.B is incorrect. Blue hthe highest number of securities ana relatively low Active Share. Although the overall portfolio volatility is the lowest of the three (procing a higher Sharpe ratio), the more relevant risk is thattributable to active management. Greater active risk spite more securities is not the most efficient metho 老师好，之前做这道题说因为原Fun经是risk efficient的了，再加一个和它covariance高的fun可，那次我按照新fun身的risk efficient选的funM，结果错了。这次我按照之前选了covariance高的funA，答案又是按照新fun身的risk efficient选funM。到底哪个是对的？

NO.PZ2023010903000069问题如下 Another of Langham’s clients, Marianne Quint, sits on the investment committee of the Amity IslanEnwment. The $2 billion equity portion of the Amity funis investeusing a globequity inx approach. Quint hbeen chargewith intifying active equity funto repla20% of the inxeportfolio. Three cante fun with similperformanhistories, benchmarks, anfees have been intifie Baseon the characteristishown in Exhibit 3, Quint asks Langhto recommenthe funthhmonstratethe best risk-efficient livery of results.Exhibit 3 Characteristiof Cantes for Amity Equity PortfolioThe funin Exhibit 3 this most consistent with Quint’s requirements is: A.AshB.BlueC.March The MarFunis the funthis most consistent with Quint’s requirements for the best risk-efficient livery of results. It livers the lowest active risk (3.2%) using ffewer securities (140), incating efficient approach. The higher Active Share (0.75) for the simillevel of fees also supports this cision.A is incorrect. Ash hthe highest active risk, whiincates active return contributions of a greater spersion ththe benchmark anthe competing fun. More securities anlower Active Share are not supportive of this funchoice.B is incorrect. Blue hthe highest number of securities ana relatively low Active Share. Although the overall portfolio volatility is the lowest of the three (procing a higher Sharpe ratio), the more relevant risk is thattributable to active management. Greater active risk spite more securities is not the most efficient metho active risk和volatility哪个权重更大？第一个fun是总体volatility更小吗