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Betty · 2024年07月12日

这道题还是不太懂

  1. CFA III
  2. Equity

NO.PZ2023010903000071

问题如下：

Before the meeting ends, Swanson mentions that Americana is launching a new market-neutral fund. This fund will take full advantage of the stock-picking expertise of Americana's research team by expressing negative views through short positions. Swanson's comments to Rizzitano on this topic are captured in Statement 1.

Statement 1: I suggest taking $5 million of the $25 million that the BTU endowment has invested in the Legends Fund and investing the proceeds in this new market-neutral fund. Doing so would allow the BTU endowment to reduce its total equity portfolio market risk (i.e., beta), increase the portfolio's diversification across other non-market risk factors and reduce the portfolio's tracking error.

Rizzitano tells Swanson that he will consider the suggestion.

State whether Swanson's justification in Statement 1 is correct. Explain your reason briefly.

选项：

解释：

Answer:

Adding shorts to a portfolio may amplify, rather than reduce, the portfolio's tracking error(i.e., active risk) by increasing the portfolio's active share. Therefore, Swanson's justification for adding the market-neutral fund to the BTU endowment is incorrect.

讲义上写market neutral: less volatile than long-only strategies。那为什么说reduce tracking error不对，反而增加呢?

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2 个答案

笛子_品职助教 · 2024年07月14日

嗨，爱思考的PZer你好：


可以这么理解吗? market neutral->offset systematic risk (beta risk), tracking error是来自systematic risk. 所以tracking error可能increase/decrease. 但是题目说了是increase portfolio diversification, more diversified->high TE

可以这么理解。

书上有个结论是more diversified，lower TE。书上这个结论只适合portfolio是long only的情形。与这里不矛盾。



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笛子_品职助教 · 2024年07月12日

嗨，努力学习的PZer你好：


tracking error衡量portfolio与benchmark的关系。

当portfolio与benchmark，关系不大的时候，trakcing error大。

同学可以这么理解：

benchmark涨，portfolio也跟着涨，benchmark跌，portfolio也跟着跌，并且portfolio的涨跌幅和benchmark基本差不多，这是trakcing error小。

benchmark涨，portfolio不涨反跌。benchmark跌，portfolio不跌反涨。benchmark涨50%，portfolio涨5%，差别很大，这是tracking error大。


而benchmark，默认是long only的，例如标准普尔500指数，这是一个benchmark，它是long only的。

现在有一个Market neutral，既做空，又做多。

那么当标准普尔500指数这个benchmark上涨的时候，由于Market neutral里有大量空头，Market neutral portfolio涨幅就会有限。

同样的，当标准普尔500指数这个benchmark下跌的时候，由于Market neutral里有大量空头，Market neutral portfolio跌幅也就会有限。

这样，Market neutral portfolio与标准普尔500指数这个benchmark，收益差距就很大。tracking error是加大的。如果说reduce tracking error，就是不对的。

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Betty · 2024年07月13日

可以这么理解吗? market neutral->offset systematic risk (beta risk), tracking error是来自non-systematic risk. 所以tracking error可能increase/decrease. 但是题目说了是increase portfolio diversification, more diversified->high TE

Betty · 2024年07月13日

tracking error是来自non-systematic risk*

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NO.PZ2023010903000071 问题如下 Before the meeting en, Swanson mentions thAmericana is launching a new market-neutrfun This funwill take full aantage of the stock-picking expertise of Americana's researteexpressing negative views through short positions. Swanson's comments to Rizzitano on this topic are capturein Statement 1.Statement 1: I suggest taking $5 million of the $25 million ththe BTU enwment hinvestein the Legen Funaninvesting the procee in this new market-neutrfun ing so woulallow the BTU enwment to reits totequity portfolio market risk (i.e., beta), increase the portfolio's versification across other non-market risk factors anrethe portfolio's tracking error.Rizzitano tells Swanson thhe will consir the suggestion.State whether Swanson's justification in Statement 1 is correct. Explain your reason briefly. Answer:Aing shorts to a portfolio mamplify, rather threce, the portfolio's tracking error(i.e., active risk) increasing the portfolio's active share. Therefore, Swanson's justification for aing the market-neutrfunto the BTU enwment is incorrect. 这句话说的对么老师因为对冲的是market risk

2024-07-16 13:40 2 · 回答

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