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wukefu · 2025年05月24日

relatively high Active Share but relatively low active risk.

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100000802

问题如下：

The Mattley Fund manager is most likely following which investment style?

选项：

A.Sector rotation B.Closet indexing C.Diversified stock picking

解释：

Solution

C is correct. The Mattley Fund exhibited relatively high Active Share but relatively low active risk. High Active Share indicates that a manager’s holdings differ substantially from the benchmark, and low active risk indicates low idiosyncratic risk resulting from diversification: This combination indicates that the manager most likely follows a diversified stock picking strategy. A sector rotator typically has high active risk and could have either high or low Active Share, depending on whether a concentrated or diversified portfolio approach was followed. A closet index would exhibit both low Active Share and low active risk, because such funds make few active bets.

A is incorrect. A sector rotator typically has high active risk and could have either high or low Active Share, depending on whether a concentrated or diversified portfolio approach was followed.

B is incorrect. A closet index would exhibit both low Active Share and low active risk, because such funds make few active bets.

中文解析：

本题考查的是基于Active Share 和Active Risk的理解来判断基金经理的投资策略

high active share 说明基金经理选的股票与benchmark里的股票差异较大，

low active risk 说明portfolio 中股票的种类和 benchmark 相差不大，说明组合的分散化较好。

以上两点一起判断该基金经理用的是 diversified stock picking，因为 diverse 的，所以 low active risk，stock picking 则导致 high active share

A 不对因为 sector rotation 的 active share 和 active risk 都很高

B 不对因为 closet indexing 的 active share 和 active risk 都很低

这里的relatively 是相对什么来说的。

上课的教材没有sector roator 的叫法。

按照教材上的说法：concentrateed stock pick & concentrated factor bet & diversified factor bet 三者的active risk 水平是接近的，active share 是逐渐下降的。

neutra factor & diversifed stock pick 的active share & active risk 明显的下降，居中的。

所以要怎么判断？感觉题目没有表达清楚

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