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Betty · 2024年03月23日

diversified multi-factor portfolios (active return, active risk)

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100000403

问题如下：

Among the funds shown in Exhibit 2, which one is most likely managed using a diversified multi-factor investor approach?

选项：

A.Fund X B.Fund Y C.Fund Z

解释：

Solution

C is correct. The risk targets for Fund Z are most likely those of a manager using a diversified multi-factor approach. Low single-security risk of 1% and modest overall portfolio risk of 4%, combined with flexibility on sector risk, demonstrate a highly diversified portfolio that primarily emphasizes factor exposures. Fund X has risk targets consistent with an emphasis on stock picking—namely, high active risk, high exposure to risk from a single security, and low sector deviations. Fund Y has risk targets consistent with an emphasis on sector rotation—namely, high active risk and a high tolerance for sector deviations.

A is incorrect. Fund X has risk targets consistent with an emphasis on stock picking—namely, high active risk, high exposure to risk from a single security, and low sector deviations.

B is incorrect. Fund Y has risk targets consistent with an emphasis on sector rotation—namely, high active risk and a high tolerance for sector deviations.

diversified multi-factor特征应该是high active return, low active risk吧，那么选居中的Y为什么不对呢

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1 个答案

笛子_品职助教 · 2024年03月24日

嗨，爱思考的PZer你好：


diversified multi-factor特征应该是high active return, low active risk吧，那么选居中的Y为什么不对呢

Hello，亲爱的同学~

active risk与active return的高与低，要看与什么比较。

diversified multi-factor与sector rotator对比，active risk低。

但diversified multi-factor与closet indexing相比，active risk高。

因此，对于策略类型的判断，更多的是分析描述。

diversified multi-factor是指不对factor做择时判断，分散投资于各个factor。

而fund Y 的描述为：has risk targets consistent with an emphasis on sector rotation

意思是，Y强调在Factor上做择时。

在Factor做择时的策略，是sector rorator。

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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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