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暖暖的阳光 · 2024年01月06日

为何比Benchmark小 是size factor? 而fund A就不符合size?

问题如下:

The Cherry Street Foundation is a nonprofit institution who has experienced a significant increase in donations over the last several years. Consequently, Ellie Blumenstock, CFA, Cherry Street's founder, recently concluded that the time had come to hire a professional chief investment officer(CIO) to manage this large pool of assets. Today, Blumenstock is interviewing A.J. Gelormini,a portfolio manager with over two decades of experience, for the CIO role.

Gelormini responds by suggesting that Cherry Street invest in a handful of factor-based strategies that track the S&P 500. He states that these strategies have the potential to improve returns while limiting tracking error versus the benchmark. He then presents Blumenstock with a one-page comparison of several such funds, a summary of which is provided in Exhibit 1. Note that the values provided in Exhibit 1 represent the average quarterly values for each of the underlying holdings in Fund A, Fund B, Fund C and each of the constituents in the S&P 500, calculated on a trailing five-year basis. All data on the underlying holdings and index constituents is sourced from their SEC filings and publicly available market data.

Exhibit 1

Factor-Based Funds

Summary Data (Trailing Five-Year Weighted Averages)



Which of the factor-based funds in Exhibit 1 best provides exposure to the factors of size, value and quality? (

选项:

A.

Fund A

B.

Fund B

C.

Fund C

解释:

Given the information provided, the potential factors we can assess are size(market cap), value(P/E), yield(dividend yield), growth(EPS growth), momentum(price return) and quality(debt-to-equity ratio).

A small relative market cap, low relative P/E and low relative debt-to-equity ratio suggest that Fund C focuses on the size, value and quality factors.

A high relative P/E and EPS growth suggests that Fund A focuses on the growth factor. Fund A does not appear to have exposure to the size, yield, momentum or quality factors.

A high relative P/E and EPS growth, small relative market cap and high trailing twelve-month price return suggest that Fund B focuses on the size, growth and momentum factors.

1 个答案

笛子_品职助教 · 2024年01月08日

嗨,努力学习的PZer你好:


size是指投资小盘股。

当size前面系数为正,表示portfolio投资了小盘股。

当size前面系数为负,表示portfolio投资了大盘股。


具体到本题,需要用Exhibi1里的信息来解题。

截图里正好缺了Exhibi1,老师看不到解题所需要的信息。



同学可以把exhibit1的信息补充进来,或报一下这道题的题号。

辛苦同学了~




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努力的时光都是限量版,加油!

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