风险问题

NO.PZ201809170400000107 问题如下 Three years ago, the Albright Investment Management Company (Albright) aefour new fun—the Barboa Fun the Caribou Fun the GooFun anthe Elmer Funto its existing funoffering. Albright’s new fun are scribein Exhibit 1.Exhibit 1.Albright Investment Management Company New FunHans Smith, Albright portfolio manager, makes the following notes after examining these fun:Note 1 The fee on the Caribou Funis a 15% share of any capitappreciation above a 7% thresholanthe use of a high-water mark.Note 2 The GooFuninvests in Fleeker Corporation stock, whiis ratehigh in the ESG space, anFleeker’s pension funha significant investment in the GooFun This namic hthe potentifor a confliof interest on the part of Fleeker Corporation but not for the GooFunNote 3 The GooFuns portfolio manager hwritten policies stating ththe funes not engage in shareholr activism. Therefore, the GooFunma free-rir on the activism these shareholrs.Note 4 Of the four fun, the Elmer Funis most likely to appeto investors who want to minimize fees anbelieve ththe market is efficient.Note 5 Aing investment-gra bon to the Elmer Funwill crease the portfolio’s short-term risk.Smith scusses means of enhancing income for the three fun with the junior analyst, Kolton Frey, inclung engaging in securities lenng or writing coverecalls. Frey tells Smith the following:Statement 1 Securities lenng woulincrease income through reinvestment of the cash collaterbut woulrequire the funto miss out on vinincome from the lent securities.Statement 2 Writing coverecalls woulgenerate income, but ing so woullimit the upsi share priappreciation for the unrlying shares. Whiof the notes regarng the Elmer Funis correct? Only Note 4 Only Note 5 Both Note 4 anNote 5 A is correct. For passively manageportfolios, management fees are typically low because of lower recosts of researanportfolio management relative to actively manageportfolios. Therefore, Note 4 is correct. Note 5 is incorrebecause the prectability of correlations is uncertain. 在pathway部分中的Relative Risk Measure部分说了Active Risk和Absolute Risk可能呈现负相关。在组合中增加了一个风险低的资产（Ex. 短期国债），可能Active Risk会上升，因为Benchmark中都是股票。在组合中增加了一个风险高的资产（Ex. 股票），可能Active Risk会下降，因为Benchmark中都是股票。我看了老师其他的回答，说把short-Term risk改成Active risk就对了，但这么一看，改成Active risk也不对呀？

NO.PZ201809170400000107 问题如下 Whiof the notes regarng the Elmer Funis correct? Only Note 4 Only Note 5 Both Note 4 anNote 5 A is correct. For passively manageportfolios, management fees are typically low because of lower recosts of researanportfolio management relative to actively manageportfolios. Therefore, Note 4 is correct. Note 5 is incorrebecause the prectability of correlations is uncertain. survey ta tento more volatile ththe actuperformanta

NO.PZ201809170400000107 问题如下 Whiof the notes regarng the Elmer Funis correct? Only Note 4 Only Note 5 Both Note 4 anNote 5 A is correct. For passively manageportfolios, management fees are typically low because of lower recosts of researanportfolio management relative to actively manageportfolios. Therefore, Note 4 is correct. Note 5 is incorrebecause the prectability of correlations is uncertain. 怎么理解这个short term risk？具体指的是什么呢？因为没理解好这个，所以不太清楚题目考察的点，但是看答案，知道考察的其实是equity和其他资产的分散化关系？

NO.PZ201809170400000107

NO.PZ201809170400000107