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沈妮 · 2023年12月18日

老师，请问D为什么错了?

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022120702000077

问题如下：

Caroline runs a portfolio, which screens out securities with low ESG scores from the benchmark index. She then reweights the portfolio with the remaining securities according to their market capitalisations. To address tracking error, she runs a portfolio optimisation programme.Has the tracking error issue been resolved?

选项：

A.No, she should apply a strong ESG tilt to the portfolio. B.Yes, but the portfolio is now overweight securities that correlate with omitted securities. C.Yes, the removal of a small portion of securities from the benchmark will not impact relative performance in the long run. D.Yes, this strategy generally outperforms its benchmark when the excluded securities underperform.

解释：

Caroline管理的投资组合是从基准指数中剔除ESG得分较低的证券之后，根据剩余证券的市值重新调整权重构建的，这样她管理的投资组合和基准指数就会有较大的跟踪误差。她想通过最优化的方式解决这个问题，例如设定一个最小化tracking error的限制。但是这样会给予与被剔除证券相似的证券更高的权重，例如股票A被剔除，股票B与A相似，最优化后会给予B更高的权重。

老师，请问D为什么错了？当被剔除股票表现不佳时，因为caroline组合里没有这些股票，此组合表现不应该比有剔除股票的benchmark更高，所以outperform了吗

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1 个答案

净净_品职助教 · 2023年12月18日

嗨，努力学习的PZer你好：


题目问的是跟踪误差的问题是否得到解决。D选项有点答非所问了

回顾一下Caroline所做的：1. 剔除组合中ESG得分较低的证券→导致跟踪误差增加（大白话：此时组合和基准不像了）；2. 希望通过最优化来改善跟踪误差（大白话：希望组合和基准还是差不多的）。

首先是否能改善？答案是确定的，通过重新做最优化，组合里必须再买入一些跟之前被剔除的证券相似的证券，使的看起来组合和基准还是差不多的。但从这些信息并不能得到谁的回报更高。


单看D选项的后半句，如果剔除ESG表现差的证券，的确有可能使得组合的整个表现提升。但是别忘了Caroline后面又做了一次最优化，她关心的也不是组合是否outperform，而是组合和基准的跟踪误差。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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