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七七 · 2024年07月24日

position sizing

  1. CFA III
  2. Equity

NO.PZ2023010903000056

问题如下：

Fund 1 focuses on skillfully timing exposures to factors, both rewarded and unrewarded, and to other asset classes. The fund’s managers use timing skills to opportunistically shift their portfolio to capture returns from factors such as country, asset class, and sector. Fund 1 prefers to make large trades.

Based on Exhibit 1, the main building block of portfolio construction on which Fund 1 focuses is most likely:

选项：

A.

alpha skills

B.

position sizing

C.

rewarded factor weightings

解释：

The three main building blocks of portfolio construction are alpha skills, position sizing, and rewarded factor weightings. Fund 1 generates active returns by skillfully timing exposures to factors, both rewarded and unrewarded, and to other asset classes, which constitute a manager’s alpha skills.

 请问老师什么样的投资特征，可以判断为是position sizing

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笛子_品职助教 · 2024年07月25日

嗨，努力学习的PZer你好：


请问老师什么样的投资特征，可以判断为是position sizing

position sizing可以理解为lucky，运气。

如果说，基金经理重仓赌对了，而且这个投资收益是一次性的，后面很难重现。这就符合lucky的特征。

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