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wj2692875531 · 2023年09月03日

如果单纯看portfolio return 大于benchmark return 为什么不能说明是return oriented

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100001003

问题如下：

Arthur Camme Case Scenario

Arthur Camme, founder of Camme Consulting, Inc., advises endowment funds and private foundations regarding equity manager selection. Because of the poor relative performance and high fees of active management over the past several years, Camme has been fielding an increasing number of inquiries from clients about the best ways to use passive solutions for equity exposure.

Camme meets with client Sylvia Parker, who seeks guidance in establishing passive exposure for her $400 million family foundation. For a portion of equities, Parker wants to use an index approach augmented by factor-based solutions. She comments, “I hear that factor-based approaches can be used when pursuing risk-adjusted returns superior to that of a comparable market cap-weighted index. In addition,

  • fundamental weighting can enhance return, but when compared with intrinsic values, it has the disadvantages of overweighting overpriced stocks and underweighting underpriced stocks;

  • value factor funds seek to lower downside risk; and

  • relative to cap weighting, single-factor funds tend to concentrate risk exposure.”

Camme suggests to Parker that the first priority in moving to a passive solution is to consider the choices available for index exposure. Owing to the large size of the fund, Camme recommends choosing a replication manager in order to minimize total costs. He explains the differences between full replication, stratified sampling, and optimization when constructing the portfolio. Parker likes the idea of blending stratified sampling with optimization and asks Camme to identify the appropriate manager based on the data in Exhibit 1.

Exhibit 1

Equity Replication Managers


In reviewing the relative performance of Manager B from Exhibit 1, Parker makes the following statements:

  • He faced more volatile markets than the others did, based on the tracking errors.

  • He used currency overlays to lever the returns of securities held in foreign currency.

  • His excess return looks like it is more a matter of luck than skill.

Another client is Ken Dashe, the new chairman of the investment committee of the Daventown Arts Endowment. He wants Camme to help him understand the primary investment strategy being followed by the MultiFAK fund, which uses several factors to structure and maintain its large-cap active portfolio. The fund uses benchmark segments of four mutually exclusive sub-categories as shown in Exhibit 2.

Exhibit 2

Attribution Data for MultiFAK Fund and Benchmark


At Dashe’s request, Camme calculates the amount of the excess return of MultiFAK that arose from active factor weighting decisions.

Due to a recent fund raising campaign, Daventown experienced sizable cash inflows and the funds were applied in accordance with policy weights.

Exhibit 3

Excerpts from Daventown Arts Endowment Investment Policy Statement


Several months later, Dashe and Camme meet again. Dashe needs advice on how to handle a new pressing issue. A significant market correction has resulted in a current asset allocation of 51% equities, 2% cash, and 47% fixed income. These values are now inconsistent with the investment policy statement guidelines. In addition, the tracking error with equity benchmarks has increased because of a disproportional decline in values of some of the actively managed funds. Camme recommends a cost-efficient strategy to address the situation that will put the portfolio back in line with allocation guidelines and reduce the tracking error.

Question


From Exhibit 2, MultiFAK’s primary strategy is most likely:

选项：

A.risk reduction. B.diversification. C.return oriented.

解释：

Solution

A is correct. MultiFAK uses a risk reduction strategy. It overweights low volatility (31% versus 28%), which is a risk reduction approach; underweights momentum (14% versus 17%), which is a return-oriented approach; and uses fewer securities (91 versus 100) overall than the index, which is not a diversification approach.

B and C are incorrect.

如果单纯看portfolio return 大于benchmark return 为什么不能说明是return oriented

而看number of stocks却可以看出不是diversification？？

我能理解是risk reduction 因为它的volatility更小 但是为什么不是return oriented？

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1 个答案

笛子_品职助教 · 2023年09月05日

嗨，努力学习的PZer你好：


如果单纯看portfolio return 大于benchmark return 为什么不能说明是return oriented

我能理解是risk reduction 因为它的volatility更小 但是为什么不是return oriented？

这里涉及到return oriented的定义。

return oriented的定义是指：投资了动量等rewarded factor。

return oriented的定义，并非同学所理解的，portfolio收益比benchmark高。

这个return oriented的名词定义是教材给出的，我们只有与教材保持一致。

例如：如果投资了动量等rewarded factor，但最终portfolio收益率比benchmark差，也是return oriented。


而看number of stocks却可以看出不是diversification？？

这里衡量的是active risk，因此，绝对数量看不出来。要和benchmark比较。

例如3000只股票的benchmark，只有1000只股票的portfolio，就是集中。

但是500只股票的benchmark，portfolio也有500只股票，就是分散。

实际上，教材并没有给出diversified还是concentrated的一个绝对数字标准，因此，都要与benchmark进行比较才行。

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努力的时光都是限量版，加油！

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