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水水 · 2023年02月04日

AB选项关于本题的理解

NO.PZ2022120701000083

问题如下:

Which of the following statements about exclusionary screening is true?

选项:

A.Imposing an exclusion screen may introduce unintended factor exposure B.Exclusionary screening imposes sustainability-related themes to a portfolio investment universe C.Exclusionary screening considers more qualitative forms of responsible investment, such as stewardship and engagement activities

解释:

The degree of exclusions may carry significant implications from a portfolio management perspective — not just in terms of higher tracking error and active share, but also in unintended factor exposure Hence, imposing an exclusion screen may introduce unintended factor exposure

如题

1 个答案

净净_品职助教 · 2023年02月06日

嗨,从没放弃的小努力你好:


B选项说的是主题投资。

A选项是一个结论,说的是采用排除筛选可能会导致意外的因子暴露。相较于指数,排除筛选可能将某一个行业全部排除出去,带来更大的tracking error。并且剩下的股票更为集中,风险增加。详见墨迹版讲义P112:

关于此题的讲解,同学可以看一下经典题冲刺课CH8-考点3-1.4

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