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187****9326 · 2025年06月18日

这道题的解释都很理论以及抽象化,可否举例说明,谢谢

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.

这道题的解释都很理论以及抽象化,可否举例说明,谢谢

1 个答案

净净_品职助教 · 2025年06月19日

嗨,努力学习的PZer你好:


hedge fund manager:对冲基金经理

sector-neutral:板块中性(避免对行业的整体偏好)

long–short equity strategy:多空股票策略(买入一些股票、卖空另一些)

quantitative ESG:用量化方式评估 ESG 表现(如用 ESG 评分排序)

这个策略的核心是:在每个行业中,买入 ESG 表现最好的股票(top decile),同时卖空 ESG 表现最差的股票(bottom decile),但保持每个行业整体中性(避免行业偏差)。

举个例子说明

假设 ESG 评分已经量化为 0~100 分,你要从两个行业(科技和能源)中各自挑选股票进行构建。

行业一:科技板块

  • A公司 ESG评分92(Top 10%)→ 买入
  • B公司 ESG评分60 →忽略
  • C公司 ESG评分15(Bottom 10%)→ 卖空

行业二:能源板块

  • D公司90分(Top 10%) 买入
  • E公司45分忽略
  • F公司10分(Bottom 10%) 卖空

结果:

你持有的多头(long)资产是 ESG 最优秀的公司(如A、D),你持有的空头(short)**资产是 ESG 最差的公司(如C、F),而你在每个行业里都对冲了行业整体的波动(因为有买也有卖)。这样就可以保持行业中性:避免某个行业整体表现影响组合(如科技整体大涨)。

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