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Randia · 2025年06月20日

B选项

NO.PZ2019012201000062

问题如下:

Fund 1 focuses on skillfully timing exposures to factors, both rewarded and unrewarded, and to other asset classes. The fund’s managers use timing skills to opportunistically shift their portfolio to capture returns from factors such as country, asset class, and sector. Fund 1 prefers to make large trades.The main building block of portfolio construction on which Fund 1 focuses is most likely:

选项:

A.

alpha skills

B.

position sizing

C.

rewarded factor weightings

解释:

The three main building blocks of portfolio construction are alpha skills, position sizing, and rewarded factor weightings. Fund 1 generates active returns by skillfully timing exposures to factors, both rewarded and unrewarded, and to other asset classes, which constitute a manager’s alpha skills.

B选项不属于三种超额收益来源中的吧 这个是不是浑水摸鱼的

1 个答案

笛子_品职助教 · 2025年06月21日

嗨,爱思考的PZer你好:


B选项不属于三种超额收益来源中的吧 这个是不是浑水摸鱼的

Hello,亲爱的同学~

根据讲义内容的公式:


sizing positions属于active return的3个来源之一。


只是本题在这个3个来源之中,最focus的是Alpha。



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