TTER
2024-01-21 21:41這里說best risk-efficient delivery of results, 是只看風(fēng)險，不結(jié)合收益來看嗎？March的active risk 3.2%，也只能說明它更追蹤指數(shù)啊，并不見得收益就好？
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
王蘇云助教
2024-01-22 09:54
該回答已被題主采納
同學(xué)，你好：
這里是考察選擇well-constructed portfolio的步驟：
1.In a well-constructed portfolio, we would be looking for risk exposures that are aligned with investor expectations and constraints and low idiosyncratic risk (unexplained) relative to total risk.
2.If two products have comparable factor exposures, the product with a lower absolute volatility and lower active risk will likely be preferred (assuming similar costs).
3.If two products have similar active and absolute risks, the portfolios have similar costs, and the alpha skills of the managers are similar, the product having a higher Active Share is preferable, because it leverages the alpha skills of the manager and will have higher expected returns
這里，在比較具有相似風(fēng)險敞口的組合時候，假設(shè)成本相似，MARCH 具有較低的active risk, 同時active share較高，所以選擇它
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追問
做題的時候被問到best risk-efficient delivery of results，主要是看什么因素？就是比較起來要active share最高的和active risk最低的對不
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追答
同學(xué)，你好， well-constructed portfolio，總結(jié)一下，就是三點：
1.選擇低idiosyncratic risk的組合
2.選擇lower absolute volatility and lower active risk 的組合
3.選擇higher active share的組合
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