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笑儿123 · 2021年05月15日

C 为什么错

  1. CFA III
  2. Equity

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。

  1. C 为什么错 
  2. 强化班框架图上的讲义似乎没有这一点？
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maggie_品职助教 · 2021年05月16日

嗨，爱思考的PZer你好：


因为C说的是Hedged portfolio approach：hedged portfolio可以通过short把不想承担的因子对冲掉。factor tilt 与他最大区别在于适用于不能卖空的组合，如何实现对所看好的因子的倾斜。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调整，而且调整幅度不大。

请看框架图15页（如截图红框中所示）：

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