Shaw has particular interest in MFC’s popular Soar Fund (Soar), which relies on returns from factor exposures. The description of the fund states that it emphasizes security-specific factors, maintains low security concentration to keep idiosyncratic risk down, and embraces quality and value styles. Soar occasionally considers the economic and geopolitical environment, especially during unusual economic conditions. Langham tells Shaw how she classifies Soar’s portfolio construction approach.
From the description of the Soar Fund, the most appropriate classification of its portfolio construction process is:
1. top-down systematic.
2. bottom-up systematic.
C. bottom-up discretionary.
Solution
B is correct. The Soar Fund has characteristics most consistent with those of a bottom-up systematic manager. Emphasizing security-specific factors is a bottom-up method. Targeting low idiosyncratic risk along with low concentrations indicates a systematic approach, not a discretionary approach. Although the Soar Fund does sometimes consider macro data and events, this is not its primary top-down driver of portfolio construction.
请问为什么target low idiosyncratic risk along with low concentration就是systematic？
