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Min · 2023年11月05日

还是不理解啥叫value tilt

NO.PZ2023040301000066

问题如下:

The Compared with its market-value-weighted counterpart, a fundamental weighted index is least likely to have a

选项:

A.

momentum effect

B.

contrarian effect

C.

value tilt

解释:

The momentum effect is a characteristic of a market-capitalization-weighted index, not a fundamental index.

B is incorrect. The fundamental indexes generally have a contrarian effect in that the portfolio weights will shift away from securities that have increased in relative value whenever the portfolio is rebalanced.

C is incorrect. Fundamental weighting leads to a value tilt because the ratios of book value, earnings, dividends, etc., to market value of the firms in a fundamental index tend to be larger than those of the firms in its market-capitalization-weighted counterpart

请问能不能再解释下fundamental weighting的value tilt?

"Fundamental weighting leads to a value tilt because the ratios of book value, earnings, dividends, etc., to market value of the firms in a fundamental index tend to be larger than those of the firms in its market-capitalization-weighted counterpart" 不太明白。谢谢。

1 个答案
已采纳答案

王园圆_品职助教 · 2023年11月05日

同学你好,首先你要理解什么是fundamental weighting。 fundamental weighting就是指在选择股票的时候,index会倾向于选,例如P/E值偏低的股票。P/E值偏低一般是由于公司earnings更高price更低导致的,所以其实是更可能被低估的一种股票类型,也就是CFA一直说的价值型股票。

value tilt就是指这个index会更倾向于选这种所谓的价值型股票

举个例子,在市场出现大跌的时候——几乎所有股票都在跌的时候,如果有一些股票其实本质是非常的差的,那这些股票的价格就会下跌更多,导致这类股票P/E值就会看起来比其他的股票的P/E值更低。

按照fundamental weighting的方式,就会优先选择这些股票;

而market-capitalization-weighted 下,虽然全市场股票市值都在下跌,但还是优先会选择市值更高的股票那也就也就是价格相对更高的那种股票

所以fundamental weighting相对于market capitalization weighting的方式的话就会更容易选那些价格跌的更厉害的所谓的价值型股票