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今天也要来一杯 · 2020年01月08日

问一道题: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. Based on Exhibit 1, 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.

本题前边提到择时,后边又说Fund 1 prefers to make large trades,通过看准机会大笔操作,通过position size获得超额收益?记得视频里说“运气是通过自信加码体现的”,为什么不选B呢

1 个答案

maggie_品职助教 · 2020年01月09日

CFA考试一项讲究选择最优解,也就是最佳答案,不代表其他选项必须是错的。这道题一上来就说FUND1着重于对各种因素进行有技巧的择时选规,这一看就是alpha skills。此外,择时也可以make large trades。所以A更好。

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