NO.PZ2023010903000067
问题如下：
After explaining his investment philosophy and portfolio construction process, Swanson is asked about the Legends Fund's active share. Swanson explains that the active share of the fund is typically very high and is currently at 90%. One of the reasons the active share is high is due to Swanson's large relative bets on different sectors. Twelve of the fund's thirty-five holdings are in the technology sector, whereas not a single financial sector name is held in the portfolio.
Swanson also notes that Legends's active risk is also quite high, and comments that not much can be done to lower it, as active risk is based on the correlations and variances of different securities.
Identify two changes Swanson could make to lower active risk. Support each of your proposed changes.
选项：
解释：
Answer:
Two changes Swanson could make to lower active risk are:1) reduce the level of security concentration in the portfolio, and 2) increase the sector diversification of the portfolio. This could be achieved for the Legends Fund by adding more stocks to the portfolio and adding exposure to relatively underweighted sectors(such as financials).
Reducing the level of security concentration would decrease the active share of the portfolio and lower the level of active risk.
Increasing the sector diversification of the portfolio would increase the degree of cross- correlation of the portfolio and lower the level of active risk.
老师，通过看到其他同学提的问题及老师的解答，有几个问题想进一步确认和继续提问：
为了降低active risk，有两种方法：
- 提高portfolio和benchmark的相关性：因为benchmark是高度分散化，所以portfolio需要多买不同行业的股票来分散化，所以要降低组合内部的集中度。
- 降低active share：所学的知识点，是不是通过调整weights，使得组合权重与benchmark权重接近来降低active share，还有其他方法么？
