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mingm1n9 · 2023年07月25日

怎么看出两个Funds都focus on quality factor呢

  1. CFA III
  2. Equity

NO.PZ2023010903000070

问题如下：

After answering a few additional questions, Swanson provides Rizzitano with a one-page document comparing the Legends Fund to the Kingston Fund. The information in this document is displayed in Exhibit 1. Swanson notes that the Kingston Fund is the Legends Fund's closest competitor and employs a very similar investment philosophy focused on quality. Swanson tells Rizzitano that the document demonstrates that the Legends Fund has a much more efficient portfolio structure than the Kingston Fund.

Identify two fund characteristics in Exhibit 1 that support Swanson's comment regarding the Legends Fund's relatively efficient portfolio structure.

解释：

Answer:

An efficient, well-constructed portfolio should have 1) risk exposures that align with investor expectations, and 2) low idiosyncratic(unexplained) risk relative to total risk.

The investment philosophies of both the Legends Fund and the Kingston Fund focus on the quality risk factor. However, the factor risk contributions provided in Exhibit 1 suggest that quality is a significant factor exposure for the Legends Fund at-12.2% but is insignificant for the Kingston Fund at -0.2%. This supports Swanson's statement.

In addition, the amount of idiosyncratic risk is much higher as a percentage of total risk for the Kingston Fund, at 12.2%, versus just 4.2% for the Legends Fund. This also supports Swanson's statement.

怎么看出两个Funds都focus on quality factor

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1 个答案

笛子_品职助教 · 2023年07月26日

嗨，从没放弃的小努力你好：


怎么看出两个Funds都focus on quality factor


Hello，亲爱的同学~

同学需要理解题目的意思。


1）首先，两个基金，都自己声称，focus在质量因子上。这个声明是已知条件。见下面画线内容。



2）其次，通过基金的收益表现，做分析结果在表格里。


3）最后，对照实际收益表现的分析结果，发现，Legends在质量因子的敞口很大（-12.2%），而kingston在质量因子的敞口很小（-0.2%）。只有Legends，做法和声明一致。而kingston做法和声明不一致。


因此Legends满足有效性的条件之一：做和说，一致。因此：This supports Swanson's statement.


同时：active share/active risk，Legends也更大。满足有效性的条件之二：相对更高的 active share/active risk。因此：This also supports Swanson's statement.

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

506623496 · 2024年01月21日

条件二题目答案不是说的比较非系统性风险 idiosyncratic risk 吗？到底是应该看因子，还是看active risk/share?

洁1017 · 2024年08月02日

老师，用除法的方式active share/active risk,衡量的是主动投资的有效性么？若用这个指标衡量的话，有没有前提？比如要保持什么是不变的情况下使用

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