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Betty · 2024年03月17日

想确认一下对不对

NO.PZ2019012201000024

问题如下:

Which of following is a feature regarding to the factor-tilting approach?

选项:

A.

The approach specializes in taking stakes in listed companies and advocating changes for the purpose of producing a gain on the investment.

B.

The approach tracks a benchmark index closely but also provides exposures to the chosen factor.

C.

A long/short portfolio is typically formed by going long the best quantile and shorting the worst quantile.

解释:

B is correct.

考点:Top-Down and Other Strategies

解析: 因子倾斜策略在密切跟踪基准指数的同时对看好的因子主动承担一定风险。

之前做的笔记,忘记在哪看到的了,这三个是对的吗?尤其是,factor-tilting可以理解为semi-active?

A: advocating changes for the purpose of producing a gain on the investment->activist strategies

B: semi-active->factor tilting approach

C: long/short->hedged portfolio approach

1 个答案

笛子_品职助教 · 2024年03月17日

嗨,从没放弃的小努力你好:


Hello,亲爱的同学~

关于factor-tilting的描述一共就这么多内容。


从原版书的描述看:

“在跟踪指数的同时主动提供一些可选择的因子,增强一些收益。”

“类似于指数增强策略。”

从以上描述看,可以理解为semi-active。

同学理解正确。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Betty · 2024年07月10日

不用回答了,我知道了。

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