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艾依依 · 2022年11月07日

可以稍微解释一下投资中的high tracking error嘛?非cfa选手,谢谢🙏

NO.PZ2022071601000011

问题如下:

Why is ESG investing a concern for investors who are cautious of high tracking error?

选项:

A.The perception that exclusion resulting from ESG will distort the weight of sectors and countries in the portfolio in comparison to the benchmark

B.The understanding that exclusion results in fewer available securities to invest in and thus, a more limited investment universe

C.The belief that high-performing stocks may be excluded due to negative ESG characteristics, resulting in underperformance in comparison to the benchmark

D.The awareness that ESG investing requires a redefinition of active risk

解释:

对于非常关心tracking error很高的投资者来说,对ESG investing的担忧主要来源于,当去除了那些ESG因素不好的公司之后,那么去除之后的行业的比重相较于大盘来讲,就会有所偏移,就是A选项。

通常investors会考虑这个因素是为啥 thx

2 个答案
已采纳答案

净净_品职助教 · 2022年11月09日

嗨,从没放弃的小努力你好:


tracking error主要是针对在做被动投资策略时提到的改变。被动投资策略就是跟踪某一个指数来进行选股,投资目标就是获得指数的回报。例如选择沪深300的指数来投资,那么在组合构建的时候,指数里有什么我就买什么,指数里每一只股票的权重占比是多少,我的投资组合也会按照这个权重来进行配比。一般被动投资策略构建之后,就是长期持有,期间很少调整,除非指数内的股票发生变化。如何在被动投资的组合中再考虑ESG的因素,那么我的投资组合中会剔除ESG变现非常差的股票,这样会导致我的投资组合与沪深300指数的构成产生差异,这个差异就可以理解为tracking error。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

艾依依 · 2022年11月09日

太详细清楚了,谢谢!

净净_品职助教 · 2022年11月09日

嗨,爱思考的PZer你好:


不客气哦!

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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