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137****4737 · 2025年05月09日

可教材中把tilt放在“被动方法”下讨论的

NO.PZ2024010509000035

问题如下:

In responding to a request for proposal, a fund manager proposes selecting the least carbon-intensive of the acceptable investments in each sector. The assets owner’s investment mandate is most likely aligned with integrating ESG factors:

选项:

A.as a threshold requirement.

B.as a basis for stewardship engagement.

C.by applying a tilt to the portfolio’s exposures.

解释:

C is correct. The approach describes a quantitative basis for adjusting or ‘tilting’ the exposures to be more climate-sensitive than they otherwise would be.

为什么老师说tilt反而是更主动的方法呢?另外我理解tilt方法是在基于指数的背景下适用的,但题干中如果没有提及是基于指数的背景,那感觉也挺缺乏提示的

1 个答案

王岑 · 2025年05月12日

嗨,爱思考的PZer你好:


1.为什么 Tilt 是更“主动”的方法?

虽然Tilt 有时也被归类为“被动中的ESG策略”,但实际上Tilt是在被动与主动之间的“灰色地带”,但偏主动。

我们来比较几个策略在主动性上的梯度:

指数复制(纯被动):最低完全照搬指数权重,没有 ESG 考量

负面筛选(exclusion):一般剔除不合规企业,有主动选择,但仍保留大部分指数结构

ESG Tilt(因子偏离):更主动在允许范围内**系统性提高/降低特定因子(如碳强度)的权重,调整组合暴露结构

完全主动选股:最主动不参考指数,自主挑选 ESG 投资标的

因此,Tilt 比“达标就投”更复杂、更具意图,是主动控制 ESG 暴露的一种方式,尤其体现在量化调整组合结构这一层面。

2.Tilt 是不是只能在“指数背景”下使用?

Tilt 可用于被动组合,也可用于主动管理的组合。

题干中说“selecting the least carbon-intensive of the acceptable investments in each sector”

这里的关键词是:“least carbon-intensive + acceptable investments”,说明:

  • 并没有完全复制某个指数(排除A);
  • 没有提及engagement或投票行动(排除B);
  • 是在给定约束内,做定量、规则化的 ESG 方向性调整,典型的 tilt 特征

即便没明说“基于指数”,但符合:

  • 筛选规则(acceptable investments);
  • ESG因素偏向(least carbon-intensive);
  • 配置调整(在 sector 内挑 ESG 更优者);

因此,这类策略本质就是:在组合暴露结构上“主动地”倾向于 ESG 更优选项,是 tilt 的定义性特征。

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