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aeiou · 2024年07月16日

increase diversification across other non-market

  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.

这句话说的对么老师

因为对冲的是market risk

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笛子_品职助教 · 2024年07月17日

嗨，努力学习的PZer你好：


increase diversification across other non-market risk factors 对么 market-netural不是对冲的是market risk/beta risk么

对冲掉了Market risk Factor，剩下的就是non-market risk factors。

所以是increase diversification across other non-market risk factors。

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加油吧，让我们一起遇见更好的自己！

笛子_品职助教 · 2024年07月17日

嗨，从没放弃的小努力你好：


这句话说的是对的。portfolio的diversified确实会增加。

错的是后面说的trakcing error。benchmark是没有short头寸的，尽管portfolio的diversified增加了，但portfolio与benchmark的trakcing error也会增加。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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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. 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?

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