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tzdsgn · 2023年07月23日

没明白

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.

整个题都不懂😂 可以劳烦解释下吗

1 个答案
已采纳答案

笛子_品职助教 · 2023年07月25日

嗨,爱思考的PZer你好:


整个题都不懂😂 可以劳烦解释下吗

Hello,亲爱的同学~


理解这道题,同学首先要理解 diversified multi-factor investor 的特征。

这个相关知识点,来自基础讲义的一道例题。



也就是这个manager C。特征是:较低的单一证券风险,相对高的sector偏离,以及相对低的active risk。


那么本题,哪个基金,是低单一证券风险,高行业偏离,低active risk呢,只有fund Z





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