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139****0989 · 2024年05月26日

这题不理解，请解释说明下

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2024021802000004

问题如下：

Describing ESG performance attribution at a portfolio level is difficult because:

选项：

A.there is a lack of third-party data providers.

B.there is a size bias in ESG ratings in favor of large companies.

C.many third-party data providers describe ESG attributes as an uncorrelated, statistically independent factor.

解释：

A. Incorrect because third-party data providers are developing increasingly sophisticated ESG ratings and scoring methodologies.

B. Correct because the ratings from many providers reveal a significant, underlying correlation with existing factors, such as value, quality, size, and momentum. In addition, there is a size bias in ESG ratings in favor of large companies because large companies have the resources to disclose information and create ESG management policies.

C. Incorrect because third-party data providers are developing increasingly sophisticated ESG ratings and scoring methodologies, but many fall short in describing ESG attributes as an uncorrelated, statistically independent factor. In fact, the ratings from many providers reveal a significant, underlying correlation with existing factors.

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净净_品职助教 · 2024年05月27日

嗨，努力学习的PZer你好：


题目：描述投资组合层面的ESG绩效归因很困难，因为：

A. there is a lack of third-party data providers.

  • 错误，因为实际上有许多第三方数据提供商在不断开发越来越复杂的ESG评级和评分方法。市场上有很多公司提供详细的ESG数据和分析，比如MSCI、Sustainalytics等。

B. there is a size bias in ESG ratings in favor of large companies.

  • 正确。许多提供ESG评级的公司对大公司的评级存在偏向。这是因为大公司通常拥有更多的资源来披露信息和制定ESG管理政策，从而可能得到更高的ESG评分。同时，这些评分与现有的一些因子（如价值、质量、规模和动量）存在显著的相关性。

C. many third-party data providers describe ESG attributes as an uncorrelated, statistically independent factor.

  • 错误。许多第三方数据提供商并没有将ESG属性描述为不相关的、统计独立的因素。实际上，许多提供商的评级显示出与现有因素（如价值、质量、规模和动量）有显著的潜在相关性。


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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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