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BillZ · 2024年08月14日

three main building blocks of portfolio construction

  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.

The three main building blocks of portfolio construction are alpha skills, position sizing, and rewarded factor weightings.

alpha skills主要是timing，另外两个主要是什么？

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1 个答案

笛子_品职助教 · 2024年08月15日

嗨，爱思考的PZer你好：


alpha skills主要是timing，另外两个主要是什么？

Hello，亲爱的同学~

rewarded factor weightings，是指对rewarded factor的长期allocation。

position sizing，是回归方程里的ε，是指由于运气带来的收益。


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