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张莹莹 · 2024年02月19日

解析看不懂

  1. ESG
  2. Investment mandates, portfolio analytics and client reporting

NO.PZ2022120703000093

问题如下：

Excluding the tobacco sector in a passive investment strategy most likely tilts the portfolio towards a more:

选项：

A.cyclical, value-oriented profile.

B.cyclical, growth-oriented profile.

C.defensive, growth-oriented profile.

解释：

B is correct because "incorporating any given set of exclusions or ESG datasets into a passive investment strategy potentially carries unintended consequences, notably by limiting one’s ability to diversify. This may result from portfolio distortion to unwanted factor and market exposure. Despite their weight within a given broader index, reducing or eliminating exposure to certain sectors represents a natural re-weight to the remaining sectors and index constituents. Commonly excluded sectors, like tobacco and fossil fuels, represent a specific profile. Generally speaking, companies in these sectors are more mature and face less pressure to reinvest cash flow into growth-related, capital expenditure programmes. As a result, stable operating margins equate to consistent cash flows and dividend pay-out ratios, which provide defensive, counter-cyclical exposure within portfolios. Indices that exclude or minimize exposure to these sectors will naturally tilt portfolios towards a more cyclical, growth-oriented profile."

A is incorrect because "commonly excluded sectors, like tobacco and fossil fuels, represent a specific profile. Generally speaking, companies in these sectors are more mature and face less pressure to reinvest cash flow into growth-related, capital expenditure programmes. As a result, stable operating margins equate to consistent cash flows and dividend pay-out ratios characteristics of value-oriented profile, which provide defensive, counter-cyclical exposure within portfolios. Indices that exclude or minimise exposure to these sectors will naturally tilt portfolios towards a more cyclical, growth-oriented not value-oriented since such companies are excluded profile."

C is incorrect because "commonly excluded sectors, like tobacco and fossil fuels, represent a specific profile. Generally speaking, companies in these sectors are more mature and face less pressure to reinvest cash flow into growth-related, capital expenditure programmes. As a result, stable operating margins equate to consistent cash flows and dividend pay-out ratios, which provide defensive, counter-cyclical exposure within portfolios. Indices that exclude or minimise exposure to these sectors will naturally tilt portfolios towards a more cyclical not defensive since such companies are excluded, growth-oriented profile."

请老师用中文解释下选项。

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Tina_品职助教 · 2024年02月19日

嗨，从没放弃的小努力你好：


这个问题探讨的是，在被动投资策略中排除烟草行业后，投资组合倾向于哪种特征的变化。

A. 周期性，价值导向型配置（Cyclical, Value-oriented Profile）
  • 周期性：指的是那些业绩受经济周期波动影响较大的行业或公司。这些公司在经济扩张时期表现良好，在经济衰退时期表现不佳。
  • 价值导向：价值投资主要关注的是那些收入较为稳定，这些公司的股价相对于其基本面（如盈利、现金流等）来说较低。

这个选项被认为是错误的，因为排除烟草等成熟行业，其实会减少组合中那些提供防御性、反周期性曝露的公司，而不是增加周期导向型配置。

B. 周期性，增长导向型配置（Cyclical, Growth-oriented Profile）
  • 增长导向：增长投资着眼于那些收入和利润预期将快速增长的公司，这些公司往往重投资于自身的发展，以实现更高的增长。

这个选项是正确的，因为排除烟草等行业会自然地将投资组合倾斜向更多的周期性、增长导向型公司。烟草和化石燃料行业的公司通常是成熟的、现金流稳定的，它们的排除意味着组合将更多地偏向于那些需要重投资、具有较高增长潜力的行业。

C. 防御性，增长导向型配置（Defensive, Growth-oriented Profile）
  • 防御性：指的是在经济衰退期间依然能够维持稳定收入和利润的行业或公司，如公用事业、医疗保健等。
  • 增长导向：如上所述。

这个选项被认为是错误的，因为排除烟草等行业实际上会减少投资组合中的防御性成分，而不是增加。烟草等行业通常被视为防御性强的行业，因为它们能够在不同经济周期中提供稳定的现金流和分红。


以下是选项解释的翻译

B选项正确，因为“在被动投资策略中纳入特定的排除项或ESG数据集可能会引发一些意料之外的结果，尤其是减少了多元化的能力。这可能会导致投资组合出现扭曲，以及面临不希望看到的因子和市场风险。即便这些被排除的行业在广泛的指数中占有一席之地，减少或去除对某些行业的投资其实是对剩余行业及指数成分进行了一种自然的权重调整。像烟草和化石燃料这样常被排除的行业有着特定的特征。通常，这些行业中的公司更成熟，且较少面临将现金流重新投入增长相关的资本支出计划的压力。因此，稳定的营运利润率意味着持续的现金流和高分红支付率，为投资组合提供了防守性、反周期的保护。排除或最小化这些行业的指数会自然使投资组合偏向于更具周期性、增长导向的特征。”

A选项不正确，因为“像烟草和化石燃料这样常被排除的行业有着特定的特征。通常，这些行业中的公司更成熟，且较少面临将现金流重新投入增长相关的资本支出计划的压力。因此，稳定的营运利润率意味着持续的现金流和高分红支付率，是价值导向配置的特征，为投资组合提供了防守性、反周期的保护。排除或最小化这些行业的指数会自然使投资组合偏向于更具周期性、增长导向而非价值导向，因为这些类型的公司已被排除。”

C选项不正确，因为“像烟草和化石燃料这样常被排除的行业有着特定的特征。通常，这些行业中的公司更成熟，且较少面临将现金流重新投入增长相关的资本支出计划的压力。因此，稳定的营运利润率意味着持续的现金流和高分红支付率，为投资组合提供了防守性、反周期的保护。排除或最小化这些行业的指数会自然使投资组合偏向于更具周期性、增长导向的特征，而非防御性，因为这些类型的公司已被排除。”

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