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三金 · 2021年03月11日

这道题是用李老师“像不像”的方法思考吗？

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000506

问题如下：

As a result of Fund 3’s two trades, the portfolio’s active risk most likely:

选项：

A.

decreased.

B.

remained unchanged.

C.

increased.

解释：

C is correct. Active risk is affected by the degree of cross-correlation. The correlation of two stocks in different sectors is most likely lower than the correlation of two stocks in the same sector. Therefore, the correlation of the energy/financial pair is most likely lower than that of the automobile/automobile pair. Because both positions were implemented as an overweight and underweight, the lower correlation of the two stocks in the new position should contribute more to active risk than the two-stock position that it replaced.

看了去年企鹅老师的回答，我有点越看越糊涂。这个知识点对应的是像不像那个思考方式吗？能否顺一下？

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maggie_品职助教 · 2021年03月12日

嗨，从没放弃的小努力你好：


这道题里说的是与大盘相比，组合调仓之前的主动差别在于投的是同一个行业，而换仓后持有的不同行业的股票，虽然active share相同，但投资不同行业，组合和benchmark相关性更小（与大盘更不像），所以主动风险更高。

给你举例解释一下：benchmark和portfolio都是一个股票池子。

背景：benchmark里面A（automobile）、B（automobile）、C（energy）、D（financial）四只股票各占5%。

操作：fund3先买了A、B分别为4%、6%(即trade1：一个比基准多1%，一个比基准少1%)，后面换成了C、D分别为4%、6%(即trade2：还是一个比基准多1%，一个比基准少1%)

解释：在trade1中，基金买A、B虽然和组合持有的权重有差异，但是两者持有汽车股的权重都是10%（无论是5+5还是4+6），所以trade1跟benchmark更像，active risk较小；而trade2，由于C、D因为是两个行业，基金持有这两种股票的权重都跟benchmark有差距（如benchmark持有能源股5%，而基金只持有4%），说明在trade2，基金更不像benchmark，因此相比trade1，active risk更大。

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为什么更低的correl对于active risk是contribution。不能理解。不应该是降低吗

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