岳同學
2020-03-11 16:42請問在原版書中 reading 25. Q6. 的解答中 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. cross-correlation 越低不是代表 risk to the total portfolio 越低嗎? 為什麼是 contribute more to active risk than the two-stock position that it replaced? 請問是因為 portfolio beta 偏離了 benchmark 的關係嗎?
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Dean助教
2020-03-11 17:20
該回答已被題主采納
同學你好，因為題干這兩只股票一個是高配一個是低配。或者可以理解為多l(xiāng)ong 和多short 了一只股票。那如果相關性高的話，這兩者一漲一跌是可以彌補的。比如價格上漲，那多l(xiāng)ong的頭寸獲利1元，多short 的頭寸損失1元，這兩者是可以抵消的。
而如果相關性比較低，一只下降，另一只變化不一定，有可能也出現下降。所以從主動風險角度來看其對benchmark的偏離是更大的。
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