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
Fund Y
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