开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 0

    关注
  • 253

    浏览
相关问题

NO.PZ2022120702000077问题如下Caroline runs a portfolio, whiscreens out securities with low ESG scores from the benchmark inx. She then reweights the portfolio with the remaining securities accorng to their market capitalisations. To aress tracking error, she runs a portfolio optimisation programme.Hthe tracking error issue been resolveA.No, she shoulapply a strong ESG tilt to the portfolio.B.Yes, but the portfolio is now overweight securities thcorrelate with omittesecurities.C.Yes, the removof a small portion of securities from the benchmark will not imparelative performanin the long run.Yes, this strategy generally outperforms its benchmark when the exclusecurities unrperform. 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。 traerror只能缓解不能解决吧?只有A说了不能解决这个问题啊

2024-05-08 20:04 1 · 回答

NO.PZ2022120702000077 问题如下 Caroline runs a portfolio, whiscreens out securities with low ESG scores from the benchmark inx. She then reweights the portfolio with the remaining securities accorng to their market capitalisations. To aress tracking error, she runs a portfolio optimisation programme.Hthe tracking error issue been resolve A.No, she shoulapply a strong ESG tilt to the portfolio. B.Yes, but the portfolio is now overweight securities thcorrelate with omittesecurities. C.Yes, the removof a small portion of securities from the benchmark will not imparelative performanin the long run. Yes, this strategy generally outperforms its benchmark when the exclusecurities unrperform. 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。 的是,“可以解决,这个策略在排除表现不佳的证券后一般来说组合的表现比benchmark好”,这个不对吗?剔除ESG不好的,用好的替代,为什么不能比benchmark要好了呢?

2024-05-02 21:30 2 · 回答

NO.PZ2022120702000077 问题如下 Caroline runs a portfolio, whiscreens out securities with low ESG scores from the benchmark inx. She then reweights the portfolio with the remaining securities accorng to their market capitalisations. To aress tracking error, she runs a portfolio optimisation programme.Hthe tracking error issue been resolve A.No, she shoulapply a strong ESG tilt to the portfolio. B.Yes, but the portfolio is now overweight securities thcorrelate with omittesecurities. C.Yes, the removof a small portion of securities from the benchmark will not imparelative performanin the long run. Yes, this strategy generally outperforms its benchmark when the exclusecurities unrperform. 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。 难道portfolio optimisation programme就是专门特指的剔除了一些股票,然后就拿跟这些股票相近的来替代么这一个操作办法么?

2024-04-19 19:41 1 · 回答

NO.PZ2022120702000077 问题如下 Caroline runs a portfolio, whiscreens out securities with low ESG scores from the benchmark inx. She then reweights the portfolio with the remaining securities accorng to their market capitalisations. To aress tracking error, she runs a portfolio optimisation programme.Hthe tracking error issue been resolve A.No, she shoulapply a strong ESG tilt to the portfolio. B.Yes, but the portfolio is now overweight securities thcorrelate with omittesecurities. C.Yes, the removof a small portion of securities from the benchmark will not imparelative performanin the long run. Yes, this strategy generally outperforms its benchmark when the exclusecurities unrperform. 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。 请下题干的表述,并回答一下怎么就解决了tracking error的问题了?另外再一下B和个

2024-04-11 16:55 1 · 回答

NO.PZ2022120702000077问题如下 Caroline runs a portfolio, whiscreens out securities with low ESG scores from the benchmark inx. She then reweights the portfolio with the remaining securities accorng to their market capitalisations. To aress tracking error, she runs a portfolio optimisation programme.Hthe tracking error issue been resolveA.No, she shoulapply a strong ESG tilt to the portfolio.B.Yes, but the portfolio is now overweight securities thcorrelate with omittesecurities.C.Yes, the removof a small portion of securities from the benchmark will not imparelative performanin the long run.Yes, this strategy generally outperforms its benchmark when the exclusecurities unrperform. 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。 老师,我理解实际上并没有解决这个tracking error 只是优化了,但resolve是解决的意思,这个答案是不是歧义呢?另外,这个tracking error是越小越好吗?

2024-03-03 11:35 1 · 回答