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wukefu · 2024年06月22日

discretionary 是集中还是分散？

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100000401

问题如下：

From the description of the Soar Fund, the most appropriate classification of its portfolio construction process is:

选项：

A.top-down systematic. B.bottom-up systematic. C.bottom-up discretionary.

解释：

Solution

B is correct. The Soar Fund has characteristics most consistent with those of a bottom-up systematic manager. Emphasizing security-specific factors is a bottom-up method. Targeting low idiosyncratic risk along with low concentrations indicates a systematic approach, not a discretionary approach. Although the Soar Fund does sometimes consider macro data and events, this is not its primary top-down driver of portfolio construction.

A is incorrect. Although Soar does sometimes consider macro data and events, this is not its primary top-down driver of portfolio construction.

C is incorrect. Targeting low idiosyncratic risk along with low concentrations indicates a systematic approach, not a discretionary approach.

题目对于bottom up 解释很清楚，但是没有说清楚为什么不是discretionary的方法。

discretionary 可以用分散也可以集中的策略。如果按照这个逻辑。。。bottom up + discretionary 的策略也是正确的啊


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1 个答案

笛子_品职助教 · 2024年06月23日

嗨，努力学习的PZer你好：


Hello，亲爱的同学~

同学说，discretionary 可以用分散也可以集中的策略，这个理解本身是正确的。

但本题还有其他的信息点，可以看出来是systematic。

同学注意这里：Targeting low idiosyncratic risk along with low concentrations indicates a systematic approach

尤其是：Targeting low idiosyncratic risk

我们知道，主观交易，会引入一些idiosyncratic risk，甚至会着重于idiosyncratic risk。

例如公司老板的个人品性，就是idiosyncratic risk的一种。一个好的老板，可以带动公司走向快速增长。

这是主观分析做选股做调研时，会重点考察的。

而这里idiosyncratic risk很低，可以看出是量化的方法。


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努力的时光都是限量版，加油！

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