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Anne · 2024年02月05日

C是哪个知识点,有什么特点?

NO.PZ2023010903000059

问题如下:

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.

From the description of the Soar Fund, the most appropriate classification of its portfolio construction process is:

选项:

A.

top-down systematic

B.

bottom-up systematic

C.

bottom-discretionary

解释:

The Soar Fund has characteristics most consistent with those of a bottom-up systematic manager. Emphasizing security-specific factors is a bottom-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.

A is incorrect. Although Soar does sometimes consider macro data and events, this is not its primary top-driver of portfolio construction.

C is incorrect. Targeting low idiosyncratic risk along with low concentrations indicates a systematic approach, not a discretionary approach.

感觉从来没看到过C这个方法呢

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笛子_品职助教 · 2024年02月06日

嗨,爱思考的PZer你好:


感觉从来没看到过C这个方法呢

这个方法,是两个特征的结合。

bottom是指:从下至上选股法,也就是以个股为核心。那么对应的就是Top down,从上至下,先宏观、再行业、再个股,核心是宏观。

discretionary是指主观交易。对应的是systematic,量化交易。

同学掌握bottom 与 discretionary的特征就好。

如果一个portfolio,既满足bottom,又满足 discretionary,那么我们就说它是bottom-discretionary。


举例来说:

现在国内有很多公募基金,自称“选股手艺人”。

他们不看宏观,认为宏观无法预测。

他们也不做量化,他们从财务报告、企业调研、公司品牌、产品等方面,主观去分析公司

这些人的策略就是:bottom-discretionary。

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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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