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Eternally · 2025年03月15日

不明白

NO.PZ2024010508000020

问题如下:

A hedge fund manager wanting to offer a sector-neutral portfolio has decided to adopt a quantitative ESG long–short equity strategy. To implement this strategy, her exposures will include going:

选项:

A.long the top decile of ESG-rated stocks. B.short the top decile of ESG-rated stocks. C.long the bottom decile of ESG-rated stocks.

解释:

A is correct. A sector-neutral ESG long–short strategy would be structured with long exposure representing the top decile of ESG-rated companies while the short exposure represents the bottom or worst decile of ESG-rated stocks.

不明白题目意思和选项,请详细讲解一下

1 个答案

净净_品职助教 · 2025年03月16日

嗨,爱思考的PZer你好:


这道题考察的是 “量化 ESG 多空(long–short)股票策略” 以及 行业中性(sector-neutral)投资 的概念。让我们一步步拆解:

题目提到一个对冲基金经理 想要提供一个 行业中性的投资组合(sector-neutral portfolio)

  • 她选择采用一种量化的 ESG 多空股票策略(quantitative ESG long–short equity strategy)。
  • 目标: 通过 ESG 评分构建多空策略,并保持行业中性。

1.什么是 “多空(long–short)策略”

  • 做多(long):买入(看涨),预期股价会上涨
  • 做空(short):卖出(看跌),预期股价会下跌

多空策略的核心目标 是从股票之间的相对表现中获利,而不受整体市场波动的影响。例如,如果市场整体下跌,但多头股票表现仍优于空头股票,策略仍然可以盈利。

2.什么是 “行业中性(sector-neutral)”

  • 行业中性 指的是投资组合的行业权重市场基准(如 S&P 500)相匹配,这样就可以消除行业影响,只专注于个股表现。
  • 例如,假设 ESG 评分高的公司集中在科技行业,而 ESG 评分低的公司主要是能源行业,那么如果直接做多高 ESG 评分公司、做空低 ESG 评分公司,投资组合就会暴露在行业因素上(即科技 vs. 能源)。
  • 行业中性策略 的做法是,在同一个行业内,买入 ESG 评分高的公司,同时卖空 ESG 评分低的公司,避免行业本身的影响。


A. Long the top decile of ESG-rated stocks(正确)

  • “Top decile” 指的是 ESG 评分最高的前 10% 股票,这些公司在ESG方面表现优秀。
  • 买入(long)这些高 ESG 评分股票,意味着基金经理看好 ESG 投资的正面作用。
  • 结合行业中性策略,基金经理会在每个行业选出 ESG 评分最高的公司进行做多。

B. Short the top decile of ESG-rated stocks( 错误)

  • 这意味着卖空 ESG 评分最高的公司,但 ESG 评分高的公司通常更稳定、更受投资者青睐,不符合 ESG 投资策略。

C. Long the bottom decile of ESG-rated stocks(错误)

  • “Bottom decile” 指的是 ESG 评分最低的 10% 股票,这些公司通常在环境污染、公司治理、社会责任等方面存在问题。买入(long)这些公司不符合 ESG 策略,因为 ESG 投资的核心逻辑是奖励表现优秀的企业,而不是投资表现差的企业。


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