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Betty · 2024年03月23日

这题是从哪里看出来的

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NO.PZ202207040100000806

问题如下:

The investment process indicated for the Fraser Fund is most likely designed around which of the following?

选项:

A.

A balanced exposure to known rewarded factors

B.

Research-based rules across a broad universe of securities

C.

The inclusion of non-financial variables, such as pricing power

解释:

C is correct. The discretionary investment process searches for active returns from firm-specific factors, such as pricing power and the competitive landscape. This process results in more concentrated portfolios reflecting the depth of the manager’s insights on firm characteristics and the competitive landscape. A systematic investment approach is likely to be designed around extracting premiums from a balanced exposure to known, rewarded factors and typically incorporates research-based rules across a broad universe of securities.

A is incorrect. A systematic investment approach is likely to be designed around extracting premiums from a balanced exposure to known, rewarded factors, whereas a discretionary approach usually searches for active return from firm-specific factors.

B is incorrect. A systematic investment approach is likely to be designed around research-based rules across a broad universe of securities, whereas a discretionary approach will involve managerial judgments on a smaller subset of securities.

这题是从哪里看出来的

2 个答案

笛子_品职助教 · 2024年03月25日

嗨,努力学习的PZer你好:


是的,只能选C。

research-based可以是quantitative,也可以是qualitative

但research-based与across a broad universe of securities放一起,就只能是量化方法。

主观方法只能覆盖相对少的股票。量化才能覆盖a broad universe of securities。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

笛子_品职助教 · 2024年03月24日

嗨,从没放弃的小努力你好:


Hello,亲爱的同学~

这题考察的是:区分量化和主观。

量化方法最典型的做法,是分散投资于多个风险因子。

主观投资最典型的做法,是分析个别公司的独有特征,持股也会相对集中。


A选项是量化。分散投资( balanced exposure)于多个rewarded factor。

B选项是使用一个规则广泛投资于很多股票。比如买市盈率最低的10%的股票。这属于量化投资范畴。

C选项是,考虑非财务指标,例如公司的定价能力。公司定价能力又决定于公司品牌,公司在行业中的竞争力。这属于公司独有特征,是主观投资范畴就。


这题就是从C选项的pricing power,看出来是主观投资的。

公司的议价能力,涉及到非常复杂的各个方面,而目前的计算机技术,无法对这些信息进行收集和处理。这个工作只能由人来完成。

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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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