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fssjyb · 2024年03月03日

歧义

  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，我理解实际上并没有解决这个tracking error 只是优化了，但resolve是解决的意思，这个答案是不是歧义呢？ 另外，这个tracking error是越小越好吗？

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1 个答案

净净_品职助教 · 2024年03月03日

嗨，爱思考的PZer你好：


  1. 如果是被动投资策略，则要最小化tracking error（跟踪误差）。如果是主动投资策略，越主动，tracking error越大，需要承受的风险也就越大，大小没有好坏之分。
  2. 题目问的是跟踪误差的问题是否被解决，从题干信息可以判断Caroline采用的是被动投资策略，所以她要关注基准指数（benchmark index），而且她做最优化就是为了解决跟踪误差，也就是要最小化跟踪误差，使得投资组合跟基准指数的投资风格，投资比重都非常相似。而最优化本身是可以讲最小化跟踪误差作为一个限制条件，是完全可以达到的目标，所以这个问题肯定是可以被解决的。


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