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Rachel · 2024年07月02日

如何理解Statement 3?

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NO.PZ202207040100000106

问题如下:

Which of Leeter’s statements concerning the quantitative approach to active management is most accurate?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

C is correct. Leeter’s third statement is most accurate. Generally, quantitative methods use past data to identify systematic factors that can be overweighted or underweighted in a portfolio based on an information coefficient.

A is incorrect. Leeter’s first statement is not accurate. Manager discretion has a minimal role in quantitative approaches.

B is incorrect. Leeter’s second statement is not accurate. Loss aversion is more symptomatic of fundamental approaches rather than quantitative approaches.

如何理解Generally, quantitative methods rely on information coefficients between firm returns and model factors.?

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已采纳答案

笛子_品职助教 · 2024年07月03日

嗨,从没放弃的小努力你好:


如何理解Generally, quantitative methods rely on information coefficients between firm returns and model factors.?

量化模型更依赖于模型因子和公司股价收益之间的关系。

老师举例来说:例如量化模型发现一个因子,P/E低的股票,价格能涨。

则P/E就是model factor。

能涨,就是firm return。

如果P/E低的股票,比P/E高的股票,涨幅更高,则P/E这个因子,与firm return,是有关系的。

于是portfolio就可以通过买入大量P/E低的股票,来获取超额收益。

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