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ciaoyy · 2020年01月11日

问一道题:NO.PZ2019012201000024

问题如下:

Which of following is a feature regarding to the factor-tilting approach?

选项:

A.

The approach specializes in taking stakes in listed companies and advocating changes for the purpose of producing a gain on the investment.

B.

The approach tracks a benchmark index closely but also provides exposures to the chosen factor.

C.

A long/short portfolio is typically formed by going long the best quantile and shorting the worst quantile.

解释:

B is correct.

考点:Top-Down and Other Strategies

解析: 因子倾斜策略在密切跟踪基准指数的同时对看好的因子主动承担一定风险。

factor tilt非常像被动投资,为什么被归类为active investing呢?

1 个答案
已采纳答案

maggie_品职助教 · 2020年01月13日

嗨,从没放弃的小努力你好:


确实很像,它的主动部投资的空间很小,所以又叫半主动策略即enhanced indexing strategy。factor tilt 这个策略无法用做空来剔除不看好的因子。所以它的做法是主体做被动投资,然后在这个基础上做小幅调整,而且调整幅度不大。请看讲义123页。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


ciaoyy · 2020年01月15日

谢谢老师。能提一个建议吗?就是可能会有部分像我一样的学员没有打印讲义,所以光讲讲义页码的话不变查找,希望老师在必要时能上传截图,谢谢啦

maggie_品职助教 · 2020年01月16日

好嘞,建议收到啦,我下次注意截图。

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