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Christinafx · 2025年06月30日

quality 这个factor risk 他给了负权重是意味着他投了high还是low quality?

NO.PZ2023010903000070

问题如下:

After answering a few additional questions, Swanson provides Rizzitano with a one-page document comparing the Legends Fund to the Kingston Fund. The information in this document is displayed in Exhibit 1. Swanson notes that the Kingston Fund is the Legends Fund's closest competitor and employs a very similar investment philosophy focused on quality. Swanson tells Rizzitano that the document demonstrates that the Legends Fund has a much more efficient portfolio structure than the Kingston Fund.

Identify two fund characteristics in Exhibit 1 that support Swanson's comment regarding the Legends Fund's relatively efficient portfolio structure.

解释:

Answer:

An efficient, well-constructed portfolio should have 1) risk exposures that align with investor expectations, and 2) low idiosyncratic(unexplained) risk relative to total risk.

The investment philosophies of both the Legends Fund and the Kingston Fund focus on the quality risk factor. However, the factor risk contributions provided in Exhibit 1 suggest that quality is a significant factor exposure for the Legends Fund at-12.2% but is insignificant for the Kingston Fund at -0.2%. This supports Swanson's statement.

In addition, the amount of idiosyncratic risk is much higher as a percentage of total risk for the Kingston Fund, at 12.2%, versus just 4.2% for the Legends Fund. This also supports Swanson's statement.

不是很懂这里-12.2%为什么是负数

1 个答案

笛子_品职助教 · 2025年07月01日

嗨,从没放弃的小努力你好:


quality 这个factor risk 他给了负权重是意味着他投了high还是low quality?

Hello,亲爱的同学~

因子权重,是指:Portfolio return = C1*F1+C2*F2 +...+Cn*Fn里的C,也就是回归系数。

本题的-12.2%,不是权重,是因子风险对总风险的贡献比例。

这道题已经说了基金投了质量因子。

而投资质量因子,意味着是high quality。


不是很懂这里-12.2%为什么是负数

因子风险对总风险的贡献比例,是指,portfolio return的方差里,有12.2%是quality因子贡献的,并且贡献方向是负,意味着减少了总风险。

这里不管是正的还是负的,看的是绝对值。

绝对值越大,说明portfolio总风险里,受到quality因子的影响越大。负的影响也是影响。

我们可以看出,总风险里,quality因子的影响是-12.2%,绝对值大于除了Market以外的其他因子。

说明,这个基金做到了: investment philosophy focused on quality。

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