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MarinaC · 2020年06月28日

问一道题：NO.PZ2019012201000030

  1. CFA III
  2. Equity

问题如下：

How many of the following statements about approaches to portfolio construction are correct?

Statement 1: In principle, a systematic top-down manager would emphasize macro factors and factor timing and would have concentrated portfolios

Statement 2: Bottom-up managers first emphasize security-specific factors, whereas top-down managers first emphasize macro factors.

选项：

A.

One

B.

Two

C.

None

解释：

A is correct.

考点：Approaches to portfolio construction

解析：第一个表述是错误的，它错在系统化策略旨在降低非系统性风险，因此通过这种策略构建出来的组合往往分散化非常好。

但Top Down也有volatility based thematic investment 感觉跟Macro关系不直接

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1 个答案

maggie_品职助教 · 2020年06月29日

嗨，努力学习的PZer你好：


你说的这两个策略都跟宏观因素相关啊，波动率策略，判断股票波动趋势都是要看整体市场、宏观情况的。主体投资也是一样，请看我下面的截图。此外，systematic top-down在原版书是是有总结的，咱们讲义也有，希望你可以着重记忆一下。


-------------------------------
努力的时光都是限量版，加油！


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