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露露66 · 2023年11月28日

老师，factor tilting 和哪种方法是并列的？感觉这不是框架感不是很强

  1. CFA III
  2. Equity

NO.PZ2019012201000024

问题如下：

Which of following is a feature regarding to the factor-tilting approach?

选项：

A.

The approach specializes in taking stakes in listed companies and advocating changes for the purpose of producing a gain on the investment.

B.

The approach tracks a benchmark index closely but also provides exposures to the chosen factor.

C.

A long/short portfolio is typically formed by going long the best quantile and shorting the worst quantile.

解释：

B is correct.

考点：Top-Down and Other Strategies

解析: 因子倾斜策略在密切跟踪基准指数的同时对看好的因子主动承担一定风险。

老师，factor tilting 和哪种方法是并列的？感觉这不是框架感不是很强

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1 个答案

笛子_品职助教 · 2023年11月29日

嗨，努力学习的PZer你好：


老师，factor tilting 和哪种方法是并列的？感觉这不是框架感不是很强

Hello，亲爱的同学~

factor titling可以理解为国内的指数增强策略。

portfolio在保持很小的tracking error的同时，通过增加一点点因子选股来稍微提高一点点超越指数的收益。

这里并没有和那种方法并列哦。factor titling就是factor titling。

equity这里概念比较多，原版书也写得比较乱。考试的时候要求每个术语都要搞清楚。

大部分是概念性的问题，可以通过做题来练习。

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