陳同學(xué)
2024-11-06 20:01原版書課后題 6. As a result of Fund 3’s two trades, the portfolio’s active risk most likely:7. What was the effect of Fund 3’s two trades on its active share? Fund 3’s active share: 題目和答案都不是很懂請幫忙仔細解答下
所屬：CFA Level III > Portfolio Management Pathway 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Simon助教
2024-11-07 11:05
該回答已被題主采納
同學(xué)，上午好。
第6問：
原本是Fund 3 held active positions in two automobile stocks—one was overweight by 1 percentage point (pp)，兩只股票都是同行業(yè)，同行業(yè)股票相似度高，所以即使有1% active share，但偏離benchmark不會很大，所以active risk很小
之后，F(xiàn)und 3 selected two different stocks that were held at benchmark weights, one energy stock and one financial stock. Fund 3 overweighted the energy stock by 1pp and underweighted the financial stock by 1pp.active share 1%是不同行業(yè)的兩只股票，此時偏離benchmark就會很大，active risk 很高。
第7問：
這道題原本是有1%的active share：對應(yīng)原文Fund 3 held active positions in two automobile stocks—one was overweight by 1 percentage point (pp)
然后，fund 3 進行了2筆交易，
1筆是調(diào)回benchmark權(quán)重，此時沒有active share（Fund 3 traded back to benchmark weights on those two stocks），
然后第2筆是 Fund 3 selected two different stocks that were held at benchmark weights, one energy stock and one financial stock. Fund 3 overweighted the energy stock by 1pp and underweighted the financial stock by 1pp. 此時active share又變成了1%，所以說active share沒變。
0
0
0
0
