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506623496 · 2024年01月17日

题目解题思路

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100000403

问题如下：

Among the funds shown in Exhibit 2, which one is most likely managed using a diversified multi-factor investor approach?

选项：

A.Fund X B.Fund Y C.Fund Z

解释：

Solution

C is correct. The risk targets for Fund Z are most likely those of a manager using a diversified multi-factor approach. Low single-security risk of 1% and modest overall portfolio risk of 4%, combined with flexibility on sector risk, demonstrate a highly diversified portfolio that primarily emphasizes factor exposures. Fund X has risk targets consistent with an emphasis on stock picking—namely, high active risk, high exposure to risk from a single security, and low sector deviations. Fund Y has risk targets consistent with an emphasis on sector rotation—namely, high active risk and a high tolerance for sector deviations.

A is incorrect. Fund X has risk targets consistent with an emphasis on stock picking—namely, high active risk, high exposure to risk from a single security, and low sector deviations.

B is incorrect. Fund Y has risk targets consistent with an emphasis on sector rotation—namely, high active risk and a high tolerance for sector deviations.

请老师讲一下本题的思路

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笛子_品职助教 · 2024年01月18日

嗨，努力学习的PZer你好：


请老师讲一下本题的思路

Hello，亲爱的同学~

这道题有蛮多的同学都不太会做，这是因为这道题的知识点，并不出自原版书正文，而是来自于原版书的例题。

我们通常认为知识点在正文出现，例题只是对知识点做进一步的阐述。

但是这里，例题里出现了新的知识点。

这里的知识点，也就是对包括diversified multi-factor 在内的这几个概念的定义。


同学可以看下例题。

在基础讲义191-192页。例题如下：



从例题看出：

diversified multi-factor approach 特征有：

1) 在行业上有一定偏离。

2）在个股上偏离较小。

3）active risk不大也不小，相对适中。


结合本题，FundZ也符合上述特征：

1）在行业上有一定偏离：combined with flexibility on sector risk,

2）在个股上偏离较小：Low single-security risk of 1%

3）active risk不大也不小，相对适中：modest overall portfolio risk of 4%,


同学听完这道题的讲解后，也可以再复习一遍，这道例题对应的基础班视频。

看完视频后还有问题，也欢迎随时提问，祝学习顺利！

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努力的时光都是限量版，加油！

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