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小小悟空yu · 2020年11月29日

问一道题:NO.PZ201909300100000302 第2小题 [ CFA III ]

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问题如下:

2 Based on Exhibit 1 and relative to the benchmark, the manager of Fund 1 most likely used a:

选项:

A.

growth tilt.

B.

greater tilt toward small cap.

C.

momentum-based investing approach.

解释:

A is correct.

Based on the factor sensitivities in column 1 (negative sensitivity of –0.17 to HML) and the differences relative to the benchmark shown in column3, the manager likely had a growth tilt.

High minus low 不是high price to book value minus low price to book value吗,那么high p/b是growth呀,怎么是value呢  ? 到底这hml是什么意思
1 个答案

吴昊_品职助教 · 2020年11月29日

同学你好:

HML是价值型股票减去成长型股票(Rv-Rg)。这里所说的high和low针对的是B/P ratio,和你理解的P/B ratio正好相反。如果HML是负数,说明更多投资在成长型股票上,如果HML是正数,说明更多投资在价值型股票上。你可以针对这个知识点再回听一下李老师基础班的讲解。

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