NO.PZ2022120702000077
问题如下:
Caroline runs a portfolio, which screens out securities with low ESG scores from the benchmark index. She then reweights the portfolio with the remaining securities according to their market capitalisations. To address tracking error, she runs a portfolio optimisation programme.Has the tracking error issue been resolved?选项:
A.No, she should apply a strong ESG tilt to the portfolio. B.Yes, but the portfolio is now overweight securities that correlate with omitted securities. C.Yes, the removal of a small portion of securities from the benchmark will not impact relative performance in the long run. D.Yes, this strategy generally outperforms its benchmark when the excluded securities underperform.解释:
Caroline管理的投资组合是从基准指数中剔除ESG得分较低的证券之后,根据剩余证券的市值重新调整权重构建的,这样她管理的投资组合和基准指数就会有较大的跟踪误差。她想通过最优化的方式解决这个问题,例如设定一个最小化tracking error的限制。但是这样会给予与被剔除证券相似的证券更高的权重,例如股票A被剔除,股票B与A相似,最优化后会给予B更高的权重。
正确答案应该是B:"是的,但现在投资组合过度加权了与被剔除证券相关的证券。" 这个答案表明,虽然最优化程序可能会减少一部分跟踪误差,但是由于投资组合过度加权了与被剔除证券相关的证券,因此跟踪误差的问题并未完全解决。
为什么说“现在投资组合过度加权了与被剔除证券相关的证券”,从题干中哪个描述可以看出这个结论呢,谢谢老师