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开泰-王飞 · 2023年01月12日

a为何不对？

  1. CFA III
  2. Equity

NO.PZ2019012201000024

问题如下：

Which of following is a feature regarding to the factor-tilting approach?

选项：

A.

The approach specializes in taking stakes in listed companies and advocating changes for the purpose of producing a gain on the investment.

B.

The approach tracks a benchmark index closely but also provides exposures to the chosen factor.

C.

A long/short portfolio is typically formed by going long the best quantile and shorting the worst quantile.

解释：

B is correct.

考点：Top-Down and Other Strategies

解析: 因子倾斜策略在密切跟踪基准指数的同时对看好的因子主动承担一定风险。

选择一些特别的公司获得gain，不也是可以理解为倾向于某个factor吗？

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1 个答案

笛子_品职助教 · 2023年01月12日

嗨，努力学习的PZer你好：


a为何不对？选择一些特别的公司获得gain，不也是可以理解为倾向于某个factor吗？

选择一些特定的公司，不能等同于倾向于某个因子。

因为有一些特定的公司，它有自己独特的特征，并不能用某个因子统一概括。

A选项要对的话，需要把company改成factor。

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