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lman · 2021年04月17日

请问为啥alpha衡量了择时能力?

* 问题详情,请 查看题干

NO.PZ201809170400000501

问题如下:

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:

A is correct. 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.

请问为啥alpha衡量了择时能力?rewarded factor和unrewarded factor分别又是什么意思?

1 个答案

maggie_品职助教 · 2021年04月18日

嗨,努力学习的PZer你好:


1.   同学要注意哦,这里是alpha skills不是一般意义的alpha。在三级的内容中,我们把基金经理获得超额收益的来源分成了4个部分,基金经理择时的能力是其中一个来源,教材把这种来源命名为alpha skills。

2.   如下为原版书对rewarded factor和unrewarded factor的定义

Some factors (most commonly, size, value, momentum, and quality) have been shown to be positively associated with a long-term return premium. These we call rewarded factors.

实践证明能够在长期给组合带来正向投资收益的因子被称为rewarded factors,常见的rewarded factors:size, value, momentum, and quality。

Many other factors are used in portfolio construction but have not been empirically proven to offer a persistent return premium. Some call these unrewarded factors.

unrewarded factors只能在短期给组合带来正向回报,常见的unrewarded factors如石油价格变化、某些重大时间、某行业利好等,投资这就unrewarded factors,主要依赖于基金经理的择时能力。

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