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DZ杰 · 2022年07月10日

avoid excluding managers based on historical risk-adjusted returns.A选项不是双重否定了吗

NO.PZ2019093001000016

问题如下:

The manager selection process begins by defining the universe of feasible managers. When defining this manager universe, the selection process should avoid:

选项:

A.

excluding managers based on historical risk-adjusted returns.

B.

identifying the benchmark against which managers will be evaluated.

C.

using third-party categorizations of managers to find those that might fill the desired role in the portfolio.

解释:

A is correct.

The focus of the initial screening process is on building a universe of managers that could potentially satisfy the identified portfolio need and should not focus on historical performance. Identifying a benchmark is a key component of defining the manager’s role in the portfolio, and third-party categorizations are an efficient way to build an initial universe which can then be further refined.

避免排除不是就等于包括的意思吗。。。那就是要包括基于历史表现来选择manager

1 个答案
已采纳答案

吴昊_品职助教 · 2022年07月11日

嗨,努力学习的PZer你好:


1、A选项就是想表达:要避免基于历史表现来选择manager,所以A是正确的。

其实这道题的A选项无论是excluding还是including都是对的,都是要避免基于历史表现来对基金经理的去留做出决策。只基于历史业绩去排除基金经理是错误的,同样,只基于历史业绩去选择基金经理也是错误的。正如解析中所说:The focus of the initial screening process is on building a universe of managers that could potentially satisfy the identifed portfolio need and should not focus on historical performance. 关键我们看的是未来而不是过去。

2、关于这道原版书课后题的表述问题,利用排除法选最优解,也只能选A。

B选项是指在定义manager universe的时候要确定好benchmark,这是非常重要的工作,不可避免。

C选项:我们是可以依赖第三方来选择manager universe,所以不需要avoid。

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