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白玉老鼠 · 2024年06月07日

负面筛选和排除筛选 到底是定性的？还是定量的？

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022120701000083

问题如下：

Which of the following statements about exclusionary screening is true?

选项：

A.Imposing an exclusion screen may introduce unintended factor exposure B.Exclusionary screening imposes sustainability-related themes to a portfolio investment universe C.Exclusionary screening considers more qualitative forms of responsible investment, such as stewardship and engagement activities

解释：

The degree of exclusions may carry significant implications from a portfolio management perspective — not just in terms of higher tracking error and active share, but also in unintended factor exposure Hence, imposing an exclusion screen may introduce unintended factor exposure

之前有道题说是负面筛选是定性的，要人做主观判断，这里又说是定量的？

或者说能不能说明白，什么时候是定性的，什么时候定量的？



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1 个答案

王岑 · 2024年06月11日

嗨，爱思考的PZer你好：


这道题目的答案是A. 因为施加排除性筛选确实可能引入意想不到的因素暴露。这是由于排除某些行业或公司后，投资组合的构成会发生变化，可能会偏向某些特定的因素，从而增加了风险。

基于定量因素的排除性筛选通常基于特定的、可量化的标准，如财务指标、碳排放量、涉及的行业（如烟草、武器等）。这些标准可以通过具体的数值或阈值来衡量和实施。例如，排除所有涉及煤炭开采的公司，或者排除某些ESG评分低于某一特定值的公司。

定量筛选的应用场景：

  • 指数基金：对于指数基金，排除性筛选通常是定量的。例如，某基金可能会排除所有涉及化石燃料的公司，并使用明确的财务和ESG指标来筛选成分股。
  • ESG评分：使用具体的ESG评分作为筛选标准，排除评分低于某一数值的公司。

基于定性因素排除性筛选的例子包括公司的商业行为、道德操守、环境政策或社会责任等方面的表现。这些标准通常需要主观判断。例如，基于公司的治理结构、管理层的行为或公司是否参与某些被认为不道德的业务。

定性筛选的应用场景：

  • 伦理投资：某些伦理投资基金可能基于公司行为和道德标准进行筛选，这些标准可能难以量化。例如，基金可能会排除所有涉及某些被认为不道德业务的公司。
  • 股东参与：定性的评估可能涉及对公司的治理结构、管理层行为以及股东参与活动的分析。


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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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