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506623496 · 2023年08月23日

关于择时

  1. CFA III
  2. Equity

NO.PZ2023010903000056

问题如下：

Fund 1 focuses on skillfully timing exposures to factors, both rewarded and unrewarded, and to other asset classes. The fund’s managers use timing skills to opportunistically shift their portfolio to capture returns from factors such as country, asset class, and sector. Fund 1 prefers to make large trades.

Based on Exhibit 1, the main building block of portfolio construction on which Fund 1 focuses is most likely:

选项：

A.

alpha skills

B.

position sizing

C.

rewarded factor weightings

解释：

The three main building blocks of portfolio construction are alpha skills, position sizing, and rewarded factor weightings. Fund 1 generates active returns by skillfully timing exposures to factors, both rewarded and unrewarded, and to other asset classes, which constitute a manager’s alpha skills.

择时不是sizing吗，一直都不理解，麻烦详细解释一下这个知识点

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1 个答案

笛子_品职助教 · 2023年08月24日

嗨，从没放弃的小努力你好：


择时不是sizing吗

择时不是sizing。

在active return分解这里，择时放到alpha这里。


sizing是放在残差里的。也被称为运气。

就是基金经理突然心血来潮，一下子买多了（sizing），运气好就赚了，运气不好就亏了。


知识点见基础讲义166页。同学再复习一下这个知识点。


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