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biguo · 2024年05月24日

Building block

NO.PZ2019012201000062

问题如下:

Fund 1 focuses on skillfully timing exposures to factors, both rewarded and unrewarded, and to other asset classes. The fund’s managers use timing skills to opportunistically shift their portfolio to capture returns from factors such as country, asset class, and sector. Fund 1 prefers to make large trades.The main building block of portfolio construction on which Fund 1 focuses is most likely:

选项:

A.

alpha skills

B.

position sizing

C.

rewarded factor weightings

解释:

The three mainbuilding blocks of portfolio construction are alpha skills, position sizing,and rewarded factor weightings. Fund 1 generates active returns by skillfullytiming exposures to factors, both rewarded and unrewarded, and to other assetclasses, which constitute a manager’s alpha skills.

题目我能做对,但我其实一直对几部分的拆分很迷糊。我觉得这三者是融合并不完全独立诶。能不能用通俗平实的语言解释一下这三块呢?另外最后一项size是怎么影响的呢?是规模越大越集中残差越大吗?为啥直接对应fundamental law呢?按道理那个公式是对应整个三部分之和吧

2 个答案

笛子_品职助教 · 2024年05月26日

嗨,努力学习的PZer你好:


第一部分讲对常规因子的长期配置。

第二部分讲对rewarded和unrewarded的择时,自然也包括rewarded。

长期配置与择时并不矛盾。

例如某基金长期持有10亿元苹果公司股票。这是长期配置。

与此同时,这个基金再拿2亿元在苹果公司股票上择时,涨高了卖出,跌多了买入。这是timing。

这两者并不冲突。

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加油吧,让我们一起遇见更好的自己!

笛子_品职助教 · 2024年05月25日

嗨,爱思考的PZer你好:


portfolio的active收益分为三个部分。

第一部分,长期投资因子,赚的超额收益。

第二部分,基金经理运用技巧,赚的超额收益。

第三部分,单纯的运气。


长期投资因子,赚的超额收益,就是因子系数 * 因子收益。

基金经理运用技巧,就是skill,也是alpha,是回归方程的截距项。

运气,是残差项。


size是指,由于运气,正好某一笔持仓非常大,这笔如果赚钱了,就是运气好。


这部分和fundamental law是两个独立的公式。是从不同的角度来拆解active rerun。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

biguo · 2024年05月25日

第一部分和第二部分的区别在哪里呢?第一部分主要是对那几个常规因子的配置吗?那第二部分也包括了rewarded呢?timing究竟体现在哪儿呢

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