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506623496 · 2024年01月17日

题目思路

NO.PZ2023010903000064

问题如下:

For each fund, risk targets have been assigned that allow the portfolio managers some flexibility to exercise their perceived skillsets. Skills include stock picking, factor exposure, and sector rotation. Based on only the data shown in Exhibit 2, Langham identifies the skill applied by each manager.

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:

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.

本题只能根据原版书例题记忆知识点吗?是否有其他的判断思路?

不理解为什么因子分散化还要选择行业偏离较大的,如果因子分散化了不是应该选择行业偏离小的吗

1 个答案

笛子_品职助教 · 2024年01月18日

嗨,从没放弃的小努力你好:


本题只能根据原版书例题记忆知识点吗?是否有其他的判断思路?

Hello,亲爱的同学~

本题是仿照原版书例题出题,原版书例题是规定了几个名词的特征。

这是一道识别类题目,根据特征识别名词,因此确实是没有其他的判断思路的。


不理解为什么因子分散化还要选择行业偏离较大的,如果因子分散化了不是应该选择行业偏离小的吗

这里的diversified multi-factor里的diversified是指个股分散化。

因子还是需要呈现一定的集中性的,因为要靠portfolio因子配置的差异,来获取超额收益。

只是multi-factor这种因子的偏离程度,又比sector ratator 小一些。

即:个股分散 + 因子偏离。

因此特征为: Low single-security risk of 1% and modest overall portfolio risk of 4%, combined with flexibility on sector risk,


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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