开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

· 2021年04月22日

Active risk

NO.PZ2019012201000031

问题如下:

Initially, Fund TMT held active positions in two realestate stocks—one was over-weighted by 1 %, and the other was under-weighted by 1%. Fund TMT traded back to benchmark weights on those two stocks. Then, TMT selected two different stocks that were held at benchmark weights, one automobile stock and one technology stock. TMT over-weighted the automobile stock by 1% and underweighted the technology stock by 1%. What was the effect of TMT’s two trades on its active share? TMT’s active share:

选项:

A.

decreased.

B.

remained unchanged.

C.

increased.

解释:

B is correct.

考点:Active Share and Active Risk

解析:只有当投资组合的主动权重绝对值的总和发生变化时,主动份额才会发生变化。在TMT基金的两笔交易中,初始头寸和新头寸都涉及两只股票,一只减持1%,另一只增持1%,因此主动权重绝对值的总和没有变化,所以主动份额并没有改变。

两个知识点有点混了,这道题问的是active share,这个是保持不变,但active risk是降低的?能这么理解吗

1 个答案

maggie_品职助教 · 2021年04月26日

嗨,爱思考的PZer你好:


是的,你的理解正确。这道题问与benchmark相比,组合调仓前后主动风险发生怎样的变化。与大盘相比,Fund TMT调仓之前的主动差别投的是同一个行业,而换仓后持有的不同行业的股票,虽然调仓前后active share相同都是1%,但调仓后投资的是不同行业,组合与benchmark的相关性更小(与大盘更不像),所以主动风险更高。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 1

    关注
  • 673

    浏览
相关问题

NO.PZ2019012201000031 问题如下 Initially, FunTMT helactive positions in two reestate stocks—one wover-weighte1 %, anthe other wunr-weighte1%. FunTMT trabato benchmark weights on those two stocks. Then, TMT selectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. TMT over-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof TMT’s two tras on its active share? TMT’s active share: crease remained unchange increase B is correct. 考点:Active Share anActive Risk 解析:只有当投资组合的主动权重绝对值的总和发生变化时,主动份额才会发生变化。在TMT基金的两笔交易中,初始头寸和新头寸都涉及两只股票,一只减持1%,另一只增持1%,因此主动权重绝对值的总和没有变化,所以主动份额并没有改变。 是不是active risk降低?这个怎么算啊

2024-08-15 10:57 1 · 回答

NO.PZ2019012201000031 问题如下 Initially, FunTMT helactive positions in two reestate stocks—one wover-weighte1 %, anthe other wunr-weighte1%. FunTMT trabato benchmark weights on those two stocks. Then, TMT selectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. TMT over-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof TMT’s two tras on its active share? TMT’s active share: crease remained unchange increase B is correct. 考点:Active Share anActive Risk 解析:只有当投资组合的主动权重绝对值的总和发生变化时,主动份额才会发生变化。在TMT基金的两笔交易中,初始头寸和新头寸都涉及两只股票,一只减持1%,另一只增持1%,因此主动权重绝对值的总和没有变化,所以主动份额并没有改变。 老师,题目里的tra bato the benchmark的意思,是不是就是权重调整到和benchmark一样了?

2024-06-13 16:32 2 · 回答

NO.PZ2019012201000031 问题如下 Initially, FunTMT helactive positions in two reestate stocks—one wover-weighte1 %, anthe other wunr-weighte1%. FunTMT trabato benchmark weights on those two stocks. Then, TMT selectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. TMT over-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof TMT’s two tras on its active share? TMT’s active share: crease remained unchange increase B is correct. 考点:Active Share anActive Risk 解析:只有当投资组合的主动权重绝对值的总和发生变化时,主动份额才会发生变化。在TMT基金的两笔交易中,初始头寸和新头寸都涉及两只股票,一只减持1%,另一只增持1%,因此主动权重绝对值的总和没有变化,所以主动份额并没有改变。 然后答案应该是 same,2比1高,1比2高,这种感觉才好理解一些。。。

2024-06-13 11:27 1 · 回答

NO.PZ2019012201000031 问题如下 Initially, FunTMT helactive positions in two reestate stocks—one wover-weighte1 %, anthe other wunr-weighte1%. FunTMT trabato benchmark weights on those two stocks. Then, TMT selectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. TMT over-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof TMT’s two tras on its active share? TMT’s active share: crease remained unchange increase B is correct. 考点:Active Share anActive Risk 解析:只有当投资组合的主动权重绝对值的总和发生变化时,主动份额才会发生变化。在TMT基金的两笔交易中,初始头寸和新头寸都涉及两只股票,一只减持1%,另一只增持1%,因此主动权重绝对值的总和没有变化,所以主动份额并没有改变。 老师好,我想确认一下这道题说的科技类行业的两只股票,是在房地产行业股票的基础上新增的么?因为一共有4支股票,都是benchmark里面的,我理解是最开始有两只,后来又加了两只,不应该和benchmark更像了么?和benchmark更像不就是active share更低了么?

2024-03-26 21:15 1 · 回答

NO.PZ2019012201000031 问题如下 Initially, FunTMT helactive positions in two reestate stocks—one wover-weighte1 %, anthe other wunr-weighte1%. FunTMT trabato benchmark weights on those two stocks. Then, TMT selectetwo fferent stocks thwere helbenchmark weights, one automobile stoanone technology stock. TMT over-weightethe automobile sto1% anunrweightethe technology sto1%. Whwthe effeof TMT’s two tras on its active share? TMT’s active share: crease remained unchange increase B is correct. 考点:Active Share anActive Risk 解析:只有当投资组合的主动权重绝对值的总和发生变化时,主动份额才会发生变化。在TMT基金的两笔交易中,初始头寸和新头寸都涉及两只股票,一只减持1%,另一只增持1%,因此主动权重绝对值的总和没有变化,所以主动份额并没有改变。 可以请老师讲一下这道题吗?不是很懂

2023-11-25 16:33 1 · 回答