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纵火蛙 · 2024年01月17日

A

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。

tilt 是什么运作形式。 A 为什么不对。 问题应该没有被解决呀?

1 个答案

Tina_品职助教 · 2024年01月17日

嗨,努力学习的PZer你好:


选项A,它提出应该对投资组合应用更强的ESG倾斜。这并不一定能解决跟踪误差的问题,实际上可能会增加跟踪误差,因为这将使得投资组合与基准指数的差异更大。

B选项(Yes, but the portfolio is now overweight securities that correlate with omitted securities)更准确地描述了Caroline的情况。尽管最优化可以帮助减小跟踪误差,但它会导致与被剔除证券相关的证券占比过重,这可能会引入新的风险或偏差。答案反映出跟踪误差的问题没有被完全解决,且通过最优化可能会导致过重配置那些与被剔除证券相关的证券。

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