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何汶珈 · 2023年12月06日

为什么exclusionary screening会带来意想不到的因素的暴露

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022120701000083

问题如下：

Which of the following statements about exclusionary screening is true?

选项：

A.Imposing an exclusion screen may introduce unintended factor exposure B.Exclusionary screening imposes sustainability-related themes to a portfolio investment universe C.Exclusionary screening considers more qualitative forms of responsible investment, such as stewardship and engagement activities

解释：

The degree of exclusions may carry significant implications from a portfolio management perspective — not just in terms of higher tracking error and active share, but also in unintended factor exposure Hence, imposing an exclusion screen may introduce unintended factor exposure

为什么exclusionary screening会带来意想不到的因素的暴露

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2 个答案

pzqa38 · 2024年06月05日

嗨，爱思考的PZer你好：


您好，解释在讲义中没有，这部分内容不是教材要求的，您只要稍微了解即可哈

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa38 · 2023年12月07日

嗨，爱思考的PZer你好：


Exclusionary screening，或称排除性筛选，是一种负责任投资的策略，它涉及到从投资组合中排除某些公司或行业。这种筛选通常是基于特定的环境、社会和治理（ESG）标准，比如排除那些涉及烟草、武器制造或使用化石燃料的公司。

排除性筛选可能导致一些意想不到的因素暴露，原因包括：

  1. 集中风险：通过排除特定行业或公司，投资组合可能变得更加集中，这意味着对剩余投资的依赖程度增加。这可能增加特定市场波动或行业特定风险的敞口。
  2. 性能影响：排除某些行业或公司可能会影响投资组合的整体表现。例如，如果排除的行业在特定时期表现良好，那么投资组合可能错失这些收益。
  3. 市场动态：市场动态可能会随着时间的推移而变化，这可能影响排除性筛选的有效性。例如，某些原本被视为不可持续的行业可能会逐渐采纳更可持续的做法。
  4. 替代性投资的风险：在排除某些投资时，可能需要寻找替代性投资。这些替代性投资可能有不同的风险特征，可能并不是完全符合投资者的风险承受能力或投资目标。
  5. 财务与非财务因素的平衡：在排除性筛选中，投资决策可能更多地基于非财务因素（如道德或价值观），而可能在某种程度上忽视了财务表现，这可能会影响投资组合的整体收益。

因此，虽然排除性筛选是一种实现负责任投资目标的有效手段，但在应用时需要谨慎考虑可能的意外后果和风险敞口。这要求投资者在实施排除策略时仔细权衡各种因素，确保其投资策略符合其总体投资目标和风险承受能力。

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努力的时光都是限量版，加油！

QQSQ · 2024年06月04日

这道题上面的解释在讲义哪里有呀 谢谢

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