问一道题:NO.PZ2019012201000030
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。
我看到讲义上提到 top-down 是:concentrated with macro factor exposures
systematic 是diversified 那么为什么最后还是分散的呢?
之前提问的时候老师说ppt上有记住就行,我知道课程里讲过,可是这块李老师讲的为什么是分散的原因我不知道。