increase diversification across other non-market

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. 讲义上写market neutral: less volatile thlong-only strategies。那为什么说retracking error不对，反而增加呢?

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. 老师，可以一下为什么加入market-neutral后会增加tracking error吗，课后没看懂，李老师讲的说因为market neutr会使portfolio的systmetic risk降低，而benchmark一般只有systematic risk，因为portfoli systematic risk下降了，所以和benchmark 的systematic risk不一样所以导致tracking error增多。完全没理解这在说啥，而且和课后好像也是两回事。

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. Investing in the new market-neutrfunwoulinerethe BTU enwment's overall market risk (betsinmarket-neutrfun aim to neutralize betHowever, the claim ththis woulincrease versification across non-market risk factors is not accurate. Beta is a measure of market risk, not a non-market risk factor. Aitionally, recing beta es not rectly imply a rection in tracking error, whiis influencethe portfolio's alignment with its benchmark.

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. Swanson's justification in Statement 1 is incorreregarng the portfolio's tracking error. the new market-neutrfunwill use long/short strategy, whiwill increase the tracking error.