John Fraser’s performance is the first that Lazare and Warrack review. Fraser’s fund is constructed with a discretionary approach using the four Fama–French factors; he uses the Russell 1000 Value Index as his benchmark. The most recent 10 years of performance data for both the fund and the benchmark are shown in Exhibit 1.
Q. The investment process indicated for the Fraser Fund is most likely designed around which of the following?
- A balanced exposure to known rewarded factors
- Research-based rules across a broad universe of securities
- The inclusion of non-financial variables, such as pricing power
C is correct. The discretionary investment process searches for active returns from firm-specific factors, such as pricing power and the competitive landscape. This process results in more concentrated portfolios reflecting the depth of the manager’s insights on firm characteristics and the competitive landscape. A systematic investment approach is likely to be designed around extracting premiums from a balanced exposure to known, rewarded factors and typically incorporates research-based rules across a broad universe of securities.
我的疑问1.A balanced exposure 是指有效前沿的组合吗？2Research-based rules 是什么意思3Fama–French factors是discretionary 投资过程用的？量化投资过程也可以用吧？
