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fresh · 2023年11月16日

C选项hedge portfolio在哪里用到？

  1. CFA III
  2. Equity

NO.PZ2019012201000024

问题如下：

Which of following is a feature regarding to the factor-tilting approach?

选项：

A.

The approach specializes in taking stakes in listed companies and advocating changes for the purpose of producing a gain on the investment.

B.

The approach tracks a benchmark index closely but also provides exposures to the chosen factor.

C.

A long/short portfolio is typically formed by going long the best quantile and shorting the worst quantile.

解释：

B is correct.

考点：Top-Down and Other Strategies

解析: 因子倾斜策略在密切跟踪基准指数的同时对看好的因子主动承担一定风险。

感觉和通过long short factor 因子有点混，麻烦老师讲解，谢谢

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笛子_品职助教 · 2023年11月17日

嗨，努力学习的PZer你好：


C选项hedge portfolio在哪里用到？


Hedge portfilo是指：把股票按照因子进行排序，多最好的，空最差的。

举例来说，价值因子，可以把股票按照市盈率排序，多市盈率最低的30只股票，空市盈率最高的30只股票。

这种方法就是hedge portfilio 方法。


感觉和通过long short factor 因子有点混，麻烦老师讲解，谢谢

long short与hedge portfolio，都是多空对冲。这点相同。

区别是：long short不限制多空对冲的方式。例如可以多价值股，空成长股。这也是L /S允许的。

而hedge fund，把股票划分为多个因子，并且在同一个因子内部，必须多同一个因子内的Best quantile，空同一个因子内的worst quantile。

hedge portfolio规定了具体的多空对冲的方法。

可以理解为：L /S是一个大类，而hedge portfolio只是L /S里的一个子类。

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