答案里解釋，skill的最好度量是 tracking error；tracking error 越低，說明skill 越好？
精 為什么要選擇covariance高的?不利于分散化把？
二級在分解超額收益時選股收益時，認為alpha是真實收益和期望收益的差異； security selection收益為組合殘差和基準殘差的差異(圖二)。n三級后，選股差異來源為alpha+殘差(圖一)。請問如何理解? nn謝謝。
long-short 策略的總敞口可以大于100%，題目選項中只是說達到100%，這句話其實不對呀
L3V3 P363. How can I tell from the Exhibit that the custom portfolio satisfies " no position greater than 2%" ?
精 L3V3 P362, why does a negative coefficient on the Size factor indicate a large-cap bias?
L3V3. Compared to Equation 2 and Equation 6, does that indicate alpha in Equation 2 is a constant?
In previous exams, we call alpha the excess return. But now in L3V3 P308, we call alpha the active return from the skills and management from the portfolio manager. Which one should I follow? And how should I differentiate total active return from the active return solely from portfolio manager?
(1) Will there be any security that is not in the benchmark but get included in the portfolio? (2) If yes, what is this return called? (3) Why active return does not include such a return?
L3V3 P270 EXAMPLE 8. In the exam, is the highlighted sentence well enough to get a full mark for this question?
If an investor want to choose stocks under growth approach, should he evaluate the YoY growth for revenue or net income? Is there any difference between these two?
L3V3 p239. In Example B, company C's forward P/E is 2.2, which is absolutely and relatively low compared to other companies. (1) why should not this stock be a good candidate under the relative valuation approach？ （2）The solution said it's a good candidate under the deep-value approach. Through definition, deep-value approach chooses low P/B company and company under financial distress. How can I tell the P/B is low and it is under financial distress?
L3V3 P202. I'd like to ask something about the tracking error and transaction cost. (1) If the tracking error measures the divergence in portfolio price and benchmark price, does that mean whatever causes the price difference could affect the tracking error? (2) In the diagram, why is the "tracking error gross of trading cost" continuously declining when both tracking error and transaction cost are increasing? (3) How to guarantee a convex U-shape but not a concave U-shape? If the first security purchased for the portfolio is illiquid, then transaction cost dominates and tracking error should increase.
關于active share和active risk，我對這個回答還是有點懵…怎么理解有active risk一定有active share呢？我理解，解答是想說如果active share=0，是不是就代表active factor risk和specific risk都是0了？根據(jù)active share的定義，sizing和number是影響它的因素。active risk中factor部分就對應sizing，specific就對應股票的數(shù)量么？
L3V3, P185. For an equally weighted portfolio, why is the HHI 1/n not 1/ (n^2) ?
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