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谭永恒 · 2019年05月16日

问一道题:NO.PZ2019012201000024 [ CFA III ]

问题如下图:

选项:

A.

B.

C.

解释:

我想问下hedged portfolio和factor tilt 我可不可以这么理解

hedged 我不仅选择factor的权重不一样,而且我还主动选择哪些factor通过long short组合

tilt。 我是factor的选择跟benchmark一样,但发现机会微调权重

而passive 。factor的选择和权重都要跟benchmark尽可能的一样,但由于data可能改变需要rebalance权重为了符合benchMark的权重,所以又有点active的成分

当然active和passive factor的选择都是rule base,区别在于是不是transparent,因为active要获得阿尔法,越少人知道越好

1 个答案
已采纳答案

maggie_品职助教 · 2019年05月16日



1、hedged portfolio可以通过short把不想承担的因子对冲掉。

2、factor tilt 与他最大区别在于适用于不能卖空的组合,如何实现对所看好的因子的倾斜。这个策略无法用做空来剔除不看好的因子。所以它的做法是主体做被动投资,然后在这个基础上做调整,而且调整幅度不大。


 3、最后一句话说的正确的。



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