risk-reduction strategy 这个考点在哪里？是不是就是risk-oriented strategies?

NO.PZ202207040100001003 问题如下 Arthur Camme Case ScenarioArthur Camme, founr of Camme Consulting, Inc., aises enwment fun anprivate fountions regarng equity manager selection. Because of the poor relative performananhigh fees of active management over the past severyears, Camme hbeen fielng increasing number of inquiries from clients about the best ways to use passive solutions for equity exposure. Camme meets with client Sylvia Parker, who seeks guinin establishing passive exposure for her $400 million family fountion. For a portion of equities, Parker wants to use inx approaaugmentefactor-basesolutions. She comments, “I hethfactor-baseapproaches cusewhen pursuing risk-austereturns superior to thof a comparable market cap-weighteinx. In aition,funmentweighting cenhanreturn, but when comparewith intrinsic values, it hthe saantages of overweighting overpricestocks anunrweighting unrpricestocks;value factor fun seek to lower wnsi risk; anrelative to cweighting, single-factor fun tento concentrate risk exposure.”Camme suggests to Parker ththe first priority in moving to a passive solution is to consir the choices available for inx exposure. Owing to the large size of the fun Camme recommen choosing a replication manager in orr to minimize totcosts. He explains the fferences between full replication, stratifiesampling, anoptimization when constructing the portfolio. Parker likes the ia of blenng stratifiesampling with optimization anasks Camme to intify the appropriate manager baseon the ta in Exhibit 1. Exhibit 1 Equity Replication ManagersIn reviewing the relative performanof Manager B from Exhibit 1, Parker makes the following statements:He facemore volatile markets ththe others baseon the tracking errors. He usecurrenoverlays to lever the returns of securities helin foreign currency. His excess return looks like it is more a matter of luthskill. Another client is Ken she, the new chairmof the investment committee of the ventown Arts Enwment. He wants Camme to help him unrstanthe primary investment strategy being followethe MultiFfun whiuses severfactors to structure anmaintain its large-cactive portfolio. The funuses benchmark segments of four mutually exclusive sub-categories shown in Exhibit 2. Exhibit 2 Attribution ta for MultiFFunanBenchmarkshe’s request, Camme calculates the amount of the excess return of MultiFtharose from active factor weighting cisions. e to a recent funraising campaign, ventown experiencesizable cash inflows anthe fun were appliein accornwith poliweights.Exhibit 3 Excerpts from ventown Arts Enwment Investment PoliStatementSevermonths later, she anCamme meet again. she nee aion how to hane a new pressing issue. A significant market correction hresultein a current asset allocation of 51% equities, 2% cash, an47% fixeincome. These values are now inconsistent with the investment polistatement guilines. In aition, the tracking error with equity benchmarks hincreasebecause of a sproportioncline in values of some of the actively managefun. Camme recommen a cost-efficient strategy to aress the situation thwill put the portfolio bain line with allocation guilines anrethe tracking error. Question From Exhibit 2, MultiFAK’s primary strategy is most likely: A.risk rection. B.versification. C.return oriente SolutionA is correct. MultiFuses a risk rection strategy. It overweights low volatility (31% versus 28%), whiis a risk rection approach; unrweights momentum (14% versus 17%), whiis a return-orienteapproach; anuses fewer securities (91 versus 100) overall ththe inx, whiis not a versification approach.B anC are incorrect. 如果单纯看portfolio return 大于benchmark return 为什么不能说明是return oriente看number of stocks却可以看出不是versification？？我能理解是risk rection 因为它的volatility更小 但是为什么不是return oriente

NO.PZ202207040100001003 问题如下 Arthur Camme Case ScenarioArthur Camme, founr of Camme Consulting, Inc., aises enwment fun anprivate fountions regarng equity manager selection. Because of the poor relative performananhigh fees of active management over the past severyears, Camme hbeen fielng increasing number of inquiries from clients about the best ways to use passive solutions for equity exposure. Camme meets with client Sylvia Parker, who seeks guinin establishing passive exposure for her $400 million family fountion. For a portion of equities, Parker wants to use inx approaaugmentefactor-basesolutions. She comments, “I hethfactor-baseapproaches cusewhen pursuing risk-austereturns superior to thof a comparable market cap-weighteinx. In aition,funmentweighting cenhanreturn, but when comparewith intrinsic values, it hthe saantages of overweighting overpricestocks anunrweighting unrpricestocks;value factor fun seek to lower wnsi risk; anrelative to cweighting, single-factor fun tento concentrate risk exposure.”Camme suggests to Parker ththe first priority in moving to a passive solution is to consir the choices available for inx exposure. Owing to the large size of the fun Camme recommen choosing a replication manager in orr to minimize totcosts. He explains the fferences between full replication, stratifiesampling, anoptimization when constructing the portfolio. Parker likes the ia of blenng stratifiesampling with optimization anasks Camme to intify the appropriate manager baseon the ta in Exhibit 1. Exhibit 1 Equity Replication ManagersIn reviewing the relative performanof Manager B from Exhibit 1, Parker makes the following statements:He facemore volatile markets ththe others baseon the tracking errors. He usecurrenoverlays to lever the returns of securities helin foreign currency. His excess return looks like it is more a matter of luthskill. Another client is Ken she, the new chairmof the investment committee of the ventown Arts Enwment. He wants Camme to help him unrstanthe primary investment strategy being followethe MultiFfun whiuses severfactors to structure anmaintain its large-cactive portfolio. The funuses benchmark segments of four mutually exclusive sub-categories shown in Exhibit 2. Exhibit 2 Attribution ta for MultiFFunanBenchmarkshe’s request, Camme calculates the amount of the excess return of MultiFtharose from active factor weighting cisions. e to a recent funraising campaign, ventown experiencesizable cash inflows anthe fun were appliein accornwith poliweights.Exhibit 3 Excerpts from ventown Arts Enwment Investment PoliStatementSevermonths later, she anCamme meet again. she nee aion how to hane a new pressing issue. A significant market correction hresultein a current asset allocation of 51% equities, 2% cash, an47% fixeincome. These values are now inconsistent with the investment polistatement guilines. In aition, the tracking error with equity benchmarks hincreasebecause of a sproportioncline in values of some of the actively managefun. Camme recommen a cost-efficient strategy to aress the situation thwill put the portfolio bain line with allocation guilines anrethe tracking error. Question From Exhibit 2, MultiFAK’s primary strategy is most likely: A.risk rection. B.versification. C.return oriente SolutionA is correct. MultiFuses a risk rection strategy. It overweights low volatility (31% versus 28%), whiis a risk rection approach; unrweights momentum (14% versus 17%), whiis a return-orienteapproach; anuses fewer securities (91 versus 100) overall ththe inx, whiis not a versification approach.B anC are incorrect. 如题

NO.PZ202207040100001003 问题如下 From Exhibit 2, MultiFAK’s primary strategy is most likely: A.risk rection. B.versification. C.return oriente SolutionA is correct. MultiFuses a risk rection strategy. It overweights low volatility (31% versus 28%), whiis a risk rection approach; unrweights momentum (14% versus 17%), whiis a return-orienteapproach; anuses fewer securities (91 versus 100) overall ththe inx, whiis not a versification approach.B anC are incorrect. 老师，请问这里答案中说了unrweights momentum (14% versus 17%), whiis a return-orienteapproach，为什么不选C?