问一道题：NO.PZ201809170400000702

问题如下：

Relative to Heydon’s existing fund, the new fund will most likely:

选项：

hold a smaller number of stocks.

rebalance at more regular intervals.

see risk at the company level rather than the portfolio level.

解释：

B is correct. Portfolios managed using a quantitative approach are usually rebalanced at regular intervals, such as monthly or quarterly. In contrast, portfolios managed using a fundamental approach usually monitor the portfolio’s holdings continuously and may increase, decrease, or eliminate positions at any time.

Also, the focus of a quantitative approach is on factors across a potentially large group of stocks, whereas fundamental strategies focus on a relatively small group of stocks. Consequently, Heydon’s new quantitative fund will likely hold a larger number of stocks than the existing equity fund. Finally, managers following a fundamental approach typically select stocks by performing extensive research on individual companies; thus, fundamental investors see risk at the company level. In contrast, with a quantitative approach, the risk is that factor returns will not perform as expected.

Because the quantitative approach invests in baskets of stocks, the risks lie at the portfolio level rather than at the level of specific stocks (company level). Consequently, Nowacki’s new quantitative fund will likely see risk at the portfolio level, rather than the company level as the existing equity fund does.