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小叶子11 · 2021年05月05日

equity里approaches for constructing pf 的分类的问题

John Fraser’s performance is the first that Lazare and Warrack review. Fraser’s fund is constructed with a discretionary approach using the four Fama–French factors; he uses the Russell 1000 Value Index as his benchmark. The most recent 10 years of performance data for both the fund and the benchmark are shown in Exhibit 1.


Q. The investment process indicated for the Fraser Fund is most likely designed around which of the following?

  1. A balanced exposure to known rewarded factors
  2. Research-based rules across a broad universe of securities
  3. The inclusion of non-financial variables, such as pricing power

C is correct. The discretionary investment process searches for active returns from firm-specific factors, such as pricing power and the competitive landscape. This process results in more concentrated portfolios reflecting the depth of the manager’s insights on firm characteristics and the competitive landscape. A systematic investment approach is likely to be designed around extracting premiums from a balanced exposure to known, rewarded factors and typically incorporates research-based rules across a broad universe of securities.


我的疑问1.A balanced exposure 是指有效前沿的组合吗?2Research-based rules 是什么意思3Fama–French factors是discretionary 投资过程用的?量化投资过程也可以用吧?

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maggie_品职助教 · 2021年05月06日

嗨,努力学习的PZer你好:


首先这道题考察的是Systematic和 Discretionary策略的辨析。F基金使用的是Discretionary investment process 基于主观判断的选股策略,而A和B都是Systematic策略的特征(都是讲义的原话。如下截图,你前两个问题都是讲义的原话,也可以听下视频讲解)。Systematic策略是一个系统性策略,它的选股范围更阔,当策略定好,是电脑在很大的范围选股,这样选股策略会使得组合的风险敞口更加的均衡。而Discretionary策略,基于主观判断的方法,它是需要人脑在进行判断,因此能分析的股票数量较少,但每一只股票都可以进行深入的分析,除了常见的因子分析,我们还可以对公司的竞争环境、定价权、商业模型、公司治理等因素建立更深入的理解。

再具体解释下你的问题:

(1)A balanced exposure 敞口均衡,就是组合每种rewarded factors都承担一点,有点雨露均沾的意思。这样的组合分散化非常好。

(2)Research-based rules就是基于研究发现的规则来选股

(3)Fama–French factors是discretionary 投资过程用的?这里只是告诉你该模型准备投的因子就是从Fama–French factors中挑选的(和Discretionary或Systematic无关),咱们二级不是学过FF模型吗,但咱们二级学习的FF模型是基于三因子的(market factor、size、value)。这里是Fama–French四因子模型,不过这个无所谓,题目怎么说我们就怎么来。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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