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Kuzen · 2024年05月02日

D为什么不对

  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。

D说的是,“可以解决,这个策略在排除表现不佳的证券后一般来说组合的表现比benchmark好”,这个不对吗?剔除ESG不好的,用好的替代,为什么不能比benchmark要好了呢?

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2 个答案

Grove · 2024年05月26日

他用的这个when，不是代表说当被踢除的公司表现不好的时候，调整过的这个portfolio表现就会比benchmark好吗

王岑 · 2024年05月05日

嗨，爱思考的PZer你好：


同学你好，

选项D说：“这种策略通常在排除表现不佳的证券后会优于其基准指数。” 这个说法暗示了通过排除ESG得分低的证券，投资组合的表现会自动优于基准指数，但实际上，投资表现受多种因素影响，包括市场条件、证券选择、经济环境等，并不能保证仅通过ESG筛选就能实现优于基准的表现。因此，选项D的说法是不准确的。

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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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