NO.PZ2019012201000035
问题如下：
Initially, Fund ABC held active positions in two real estate stocks—one was overweight by 1 %, and the other was underweight by 1%. Fund ABC traded back to benchmark weights on those two stocks. Then, ABC selected two different stocks that were held at benchmark weights, one automobile stock and one technology stock. ABC over-weighted the automobile stock by 1% and underweighted the technology stock by 1%. What was the effect of ABC’s two trades on its active risk? ABC’s active risk:
选项：
A.decreased.
B.remained unchanged.
C.increased.
解释：
C is correct.
考点：Active Share and Active Risk
解析：主动风险受股票之间相关性的影响。不同行业的两只股票的相关性低于同一行业两只股票的相关性。因此，新头寸（汽车/科技股）的相关性低于初始头寸(房地产/房地产)的相关性。两只股票的相关性较低，两只股票头寸对主动风险的贡献就越大。
老师好，分散化增高，和benchmark相关性降低，active risk增高，那在这种情况下，active risk并不是一件坏事（像risk一样）对吗？
