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必过50 · 2022年11月20日

三个选项都帮忙解读一下，谢谢

  1. CFA III
  2. Equity

NO.PZ2019012201000063

问题如下：

Which fund in Exhibit 1 most likely follows a bottom-up approach?

选项：

A.

Fund 1

B.

Fund 2

C.

Fund 3

解释：

Bottom-up managers evaluate the risk and return characteristics of individual securities and build portfolios based on stock-specific forecasts; Fund 3 follows this exact approach. Example views of bottom-up managers include expecting one auto company to outperform another, expecting a pharmaceutical company to outperform an auto company, and expecting a technology company to outperform a pharmaceutical company. Both bottom-up and top-down managers can be either diversified or concentrated in terms of securities.

三个选项都帮忙解读一下，谢谢

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1 个答案

笛子_品职助教 · 2022年11月22日

嗨，爱思考的PZer你好：


Fund1是捕捉国家、资产类别、行业的因子收益的。并没提到个股，因此不是bottom up



fund 2 虽然关注个股成长，但是它不属于bottom up。


fund 2里，基金经理摆出了一个观点，然后按照这个观点来配置股票，所有的股票配置，都不是基于股票自身微观特征，而只是为这个观点服务。这里隐含了一个逻辑，股票不是基于自身，而是基于观点，而bottom up 必须基于股票自身，而不能基于其他因素，这就否定掉了bottom up，用排除法就只有Top down。


具体可以原版书黄色部分，对风格有先验的观点，是top down。虽然本题没有阐述，基金经理主观认为，growth风格要比value风格好，是基于什么原因，但是结合原版书内容，原版书认为，会产生这种先验性风格判断观点的因素，这可能是基于宏观因素，比如油价上涨，现金跑赢股票，或者基于现金与股票的资产配置。


认为某个风格（例如growth）强于另一个风格（例如value），依然是赌风格，属于top down。这个知识点，就用这道题来补充吧。


Fund 3建立一个分散化组合，并根据个股的特征制定投资策略。这就是bottom up。



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