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153****2826 · 2024年10月26日

B

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2024021802000039

问题如下：

Asset managers are most likely to use exclusionary screening to:

选项：

A.identify best-in-class investments.

B.lower a portfolio's tracking error compared to a non-ESG benchmark.

C.impose a set of values aligned with an ethical or normative framework.

解释：

A. Incorrect because best-in-class represents, to some degree, the inverse of exclusionary screening. It employs a given ESG rating methodology to identify companies with better ESG performance relative to its industry peers.

B. Incorrect because exclusions would bring upon higher tracking error. The degree of exclusions may carry significant implications from a portfolio management perspective — not just in terms of higher tracking error and active share, but also in unintended factor exposure. Also excluding meaningful sectors or industries within an index, such as fossil fuels, will generate a higher tracking error.

C. Correct because exclusions as a type of socially responsible investment look to impose a set of values or preferences to screen through an ethical or normative framework a portfolio’s exposure to specific sectors.

B也有道理吧？他是说排除筛选目的

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1 个答案

王岑 · 2024年10月28日

嗨，爱思考的PZer你好：


同学你好，

虽然B选项提到了“降低组合的追踪误差（tracking error）”，但它不符合题干中的关键词“排除筛选（exclusionary screening）的目的”，因此不正确。

排除筛选（Exclusionary Screening）的本质是将某些公司或行业从投资组合中排除，通常是基于道德、伦理或社会责任标准。例如，排除烟草、赌博、化石燃料等行业的公司。

追踪误差（Tracking Error） 是指投资组合相对于基准指数的表现偏差。如果你通过排除筛选剔除某些行业（如化石燃料行业），那么你的投资组合的构成就会偏离基准指数（因为基准中可能包含这些行业），这通常会导致更高的追踪误差。因此，排除筛选不会降低追踪误差，反而会增加它，因为你的投资组合中少了某些基准中有的公司或行业，这样的偏离必然带来追踪误差。所以，虽然B选项提到追踪误差的概念，但它的方向和逻辑与排除筛选的目的不符。排除筛选的结果往往是提高追踪误差，而不是降低它。

C选项提到排除筛选的目的是为了体现特定的道德、伦理或规范框架。这才是排除筛选的真实目的。例如，投资者可能基于自己的价值观，选择排除那些涉及烟草、赌博、武器或化石燃料的公司。这种筛选方式是为了确保投资组合与投资者的道德价值观或社会责任相一致。

在这道题目中，题干问的是排除筛选的目的，而不是排除筛选的结果。排除筛选的目的是为了符合特定价值观，这与B选项中的追踪误差没有直接关系。


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NO.PZ2024021802000039问题如下Asset managers are most likely to use exclusionary screening to:A.intify best-in-class investments.B.lower a portfolio's tracking error compareto a non-ESG benchmark.C.impose a set of values alignewith ethicor normative framework. Incorrebecause best-in-class represents, to some gree, the inverse of exclusionary screening. It employs a given ESG rating methology to intify companies with better ESG performanrelative to its instry peers.Incorrebecause exclusions woulbring upon higher tracking error. The gree of exclusions mcarry significant implications from a portfolio management perspective — not just in terms of higher tracking error anactive share, but also in unintenfactor exposure. Also exclung meaningful sectors or instries within inx, sufossil fuels, will generate a higher tracking error.Correbecause exclusions a type of socially responsible investment look to impose a set of values or preferences to screen through ethicor normative framework a portfolio’s exposure to specific sectors. 如何理解high traerror or lower traerror?

2024-10-26 10:46 1 · 回答