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SophieZ · 2023年07月17日

这几个指标能详细说一下吗、谢谢!如果我想直接听一下这个经典题目的视频,应该如何去查找?

NO.PZ2023010903000064

问题如下:

For each fund, risk targets have been assigned that allow the portfolio managers some flexibility to exercise their perceived skillsets. Skills include stock picking, factor exposure, and sector rotation. Based on only the data shown in Exhibit 2, Langham identifies the skill applied by each manager.

Among the funds shown in Exhibit 2, which one is most likely managed using a diversified multi-factor investor approach?

选项:

A.

Fund X

B.

Fund Y

C.

Fund Z

解释:

The risk targets for Fund Z are most likely those of a manager using a diversified multi-factor approach. Low single-security risk of 1% and modest overall portfolio risk of 4%, combined with flexibility on sector risk, demonstrate a highly diversified portfolio that primarily emphasizes factor exposures. Fund X has risk targets consistent with an emphasis on stock picking—namely, high active risk, high exposure to risk from a single security, and low sector deviations. Fund Y has risk targets consistent with an emphasis on sector rotation—namely, high active risk and a high tolerance for sector deviations.

A is incorrect. Fund X has risk targets consistent with an emphasis on stock picking— namely, high active risk, high exposure to risk from a single security, and low sector deviations.

B is incorrect. Fund Y has risk targets consistent with an emphasis on sector rotation—namely, high active risk and a high tolerance for sector deviations.



1 个答案

笛子_品职助教 · 2023年07月18日

嗨,从没放弃的小努力你好:


这几个指标能详细说一下吗、谢谢!


Hello,亲爱的同学~

active risk是指 portfolio和benchmark差值的标准差。

max sector deviation,是指portfolio在行业配置上偏离benchmark的程度。

single security,是指由于portfolio在单一股票可以偏离benchmark的程度。


如果我想直接听一下这个经典题目的视频,应该如何去查找?

找视频需要花一番心思的哦~

首先定位到这个题目的知识点,这需要同学对知识点比较熟悉,如果对知识点不熟悉可能定位不到....

然后在经典题讲义里,找到这个知识点的位置。再往下找题目。

老师已经帮同学找好了,在经典题(有答案版)的PDF文档第46页。

对应知识点是:




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