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逢考必过 · 2024年03月23日

老师请解释一下C选项，考虑的因子越多 不应该风险越低吗？

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022120701000081

问题如下：

What is an advantage of a multi-factor model over a smart beta or beta plus strategy for ESG integration in portfolios?

选项：

A.Lower cost

B.Diversification

C.Risk mitigation

解释：

One of the advantages of a multi-factor model over a smart beta or beta plus strategy is diversification Smart beta and beta plus investment strategies represent the compromise between passive, index-oriented investment and active investing at a lower cost than a traditional actively-managed strategy The active element within these strategies generally emphasizes a single or dominant investment factor, such as value, quality, growth, or momentum A multi-factor strategy, on the other hand, seeks to maximize the benefits of diversification through the combination of a number of different factors

老师请解释一下C选项，考虑的因子越多 不应该风险越低吗？

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1 个答案

王岑 · 2024年03月25日

嗨，从没放弃的小努力你好：


这道题目问的是，多因子模型相对于智能贝塔（smart 贝塔）或者贝塔加（Beta plus）的优势是什么？多因子模型能够提供比智能贝塔（smart beta）或贝塔加（beta plus）策略好的分散化效果。因为智能贝塔和贝塔加策略通常聚焦于单一或主要的投资因子，如价值、质量、成长或动量等，可能在特定市场环境下表现良好，但在其他环境下可能面临较高的风险暴露。例如，如果一个策略过度依赖增长因子，那么在增长股表现不佳的市场环境下，该策略可能会遭受较大损失。而多因子模型通过结合不同的投资因子，可以更好地应对不同的市场条件，从而在一定程度上减少特定因子在特定市场条件下可能导致的风险。因此分散化效果更好。

C选项的风险缓解（Risk Mitigation）是多样化的直接结果，即通过投资多种因子，投资者能够减少对任何单一因子的过度依赖，从而减轻特定因子表现不佳时的影响。而题目是让我选择一个“优势”，因此B选项更合适。

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