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必过50 · 2023年02月11日

老师三个选项都解答一下,谢谢

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。

老师三个选项都解答一下,谢谢

2 个答案

笛子_品职助教 · 2023年02月22日

嗨,从没放弃的小努力你好:


这是哪个章节的内容?请问

Hello,亲爱的同学!

这是equity科目,R18章节的内容,组合构建章节的知识点,对应基础讲义174页。

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加油吧,让我们一起遇见更好的自己!

笛子_品职助教 · 2023年02月12日

嗨,爱思考的PZer你好:


老师三个选项都解答一下,谢谢


Hello,亲爱的同学!


这道题考factor-tilting approach的概念。

factor-tilting approach对应到国内,就是指数增强。

一是它是做多,跟踪指数。二是通过因子的方式进行增强,争取有超额收益。


举例来说,国内的公募基金,富国中证500指数增强基金,就是factor-tilting

一方面它跟踪中证500指数。其次它通过因子的方式进行增强,争取收益率高于中证500指数。


A选项是说,这种方法专门针对上市公司的股权,并倡导变革,以期从投资中获得收益。

这种倡导变革的方法,是主观基本面投资的方法。因此A不对。


B选项是说,该方法密切跟踪基准指数,但也提供所选因素的风险敞口。

这正是factor-tilting 含义。


C选项是说,做多/做空投资组合通常是通过做多最佳分位数和做空最差分位数形成的。

 factor-tilting approach是只做多的,因此C不对。


如果还有其他的问题,欢迎同学随时提问~ 祝学习顺利!





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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!

Zwwei · 2023年02月21日

这是哪个章节的内容?请问

Shafengler · 2023年04月14日

C选项看起来是百度翻译的:“C选项是说,做多/做空投资组合通常是通过做多最佳分位数和做空最差分位数形成的。” 这个方法(hedged portfolio approach)是将大量股票排序然后自己定好分位点,将好资产做多(例如第一个五分位数之前的资产),将差的做空(第四个五分位数后边的资产),中间的资产不管

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