老師，我還是不太明白risk budget在asset allocation里面的作用。其中MVO的EF不已經(jīng)考慮了單位風(fēng)險(xiǎn)的最大化收益么？（這也是risk budget的目的）。 還是risk budget 也是一種建立組合的方式（類似risk factor based model), 給asset allocation提供risk based proposal?
老師，為啥第一題因子擇時(shí)是alpha，對(duì)于reward factor和alpha還是分不清
老師，這里的計(jì)算看似比較復(fù)雜，想問下如果考試的時(shí)候，需要掌握到哪種程度呢？謝謝
The mandate of Pool 2 also consists of two primary goals: A goal that the overall stock portfolio should consist of mature companies that have stable net incomes and high dividend yields A goal of expressing strong views on many major corporate issues through proxy voting Gentry interviews a potential investment manager, who explains that his expertise lies in being able to enhance return or reduce cost using three techniques: 1. Dividend capture 2. Security lending 3. Covered-call writing Q. Of the three techniques mentioned by the potential investment manager, which is most likely to interfere with Pool 2’s goal associated with corporate governance issues? A. Technique 1 B. Technique 2 C. Technique 3 請(qǐng)問為什麼答案是Ｂ
Stapleton then begins a description of factor-based strategies. These include common equity factors, such as value, size, and quality, and they can be used either in place of or to complement market-cap-weighted indexing. She points out that relative to market-cap weighting, factor-based strategies tend to diversify risk exposures; are transparent in terms of factor selection, weighting, and rebalancing; but can be copied by other investors, which can reduce the advantages of a strategy. Q. When comparing factor-based strategies relative to the market-cap weighting of an index, Stapleton’s comments are most likely: A. incorrect regarding transparency. B. correct. C. incorrect regarding risk exposure. 請(qǐng)問答案為什麼是Ｃ呢？Factor-based strategy 不是也能達(dá)到risk reduction的作用嗎？
請(qǐng)問在CFA practice question中 Q7 "value factor funds seek to lower downside risk;" solution 說 "is incorrect because value factor funds focus on valuation measures, not volatility." 選擇value stock不是因?yàn)閘ower valuation compared with growth stock, 然後price drawdown 的程度較小，所以lower downside risk?
請(qǐng)問在 CFA practice question 中 ，Disadvantages of using ETFs include the need to buy at the offer and sell at the bid price, paying commissions, and possibly facing illiquid markets at either purchase or sale. 所有股票不是都是都buy at ask and sell at bid嗎？ 還有ETFs 相較於一般股票更 liquid，為什麼這兩點(diǎn)是advantages?
The mandate of Pool 2 also consists of two primary goals: A goal that the overall stock portfolio should consist of mature companies that have stable net incomes and high dividend yields A goal of expressing strong views on many major corporate issues through proxy voting Q. Which of the following index methodologies is most appropriate to use as a benchmark for the overall stock portfolio described in Pool 2? A. Factor based B. Capitalization weighted C. Fundamentally weighted 請(qǐng)問為什麼答案是Ａ而不是Ｃ？ mature companies that have stable net incomes and high dividend yields 不是 fundamental factors 嗎？
老師，第一題記得老師上課說rewarded factor weighting是對(duì)風(fēng)險(xiǎn)因子權(quán)重把握帶來的超額收益，對(duì)于風(fēng)險(xiǎn)因子的擇時(shí)把握，alpha是選股帶來的超額收益。這里我選了factor
請(qǐng)問在reading 25 中 example 10, 第一個(gè)問題中，Information ratio = Active return / Active risk. 如果 active return 越高 active risk 不會(huì)也會(huì)增加嗎？ 另外，"Adding the ability to short could facilitate a more balanced distribution of risk. Given the similar volatilities and low cross correlations among factors, the more balanced distribution of risk can be expected to reduce the tracking error of the strategy, thereby improving the information ratio." 如何在降低 tracking error 的狀況下提升return呢？ 如果 portfolio return 高於 benchmark return，那tracking error應(yīng)該也會(huì)增加吧？
請(qǐng)問 Reading 25 example 7 中 solution 1 Size coefficient ?0.30變到0.10，不是應(yīng)該趨向 small companies嗎？ 但是為什麼解答". However, the portfolio no longer has a small-cap tilt" ？
老師你好，請(qǐng)問這里的quality factor到底是經(jīng)濟(jì)好還是不好的時(shí)候overweight？1.25倍速的20分鐘處，老師講課有點(diǎn)口誤兩種都說的是overweight，我本身不是很明白，所以問問清楚，麻煩老師再給解釋下。
老師您好，equity原版書527頁example9第一問，關(guān)于第五點(diǎn)constraint on active risk具體指security within sector還是各個(gè)sector之間收益率的active risk? 答案如下圖，第一句解釋不明白，請(qǐng)問這是一個(gè)結(jié)論嗎？謝謝
老師，這里的公式看上去都很復(fù)雜，不知道需要掌握到哪種程度呢？前面的推導(dǎo)過程需要掌握嘛？
2016年Q3的B，1.在不考慮題目中提到的表格二是return based analysis情況下，如何能更好的區(qū)分表格2和表格3，哪個(gè)是return based或holding based 的信息呢。 2.C，問到如何maintain emerging market beta。聽老師講，這題的意思是說放棄emerging market并轉(zhuǎn)移到本國small cap，所以用index futre，是因?yàn)檫@樣不增加持倉么？ 3.C題目說的是不額外增加emerging market beta，而不是問是否增加portfolio beta，這幾個(gè)manager不管用long only 還是 short extension，不都是只增加本國的beta（因?yàn)槭莝mall cap 的候選人），但是沒有增加emerging market beta啊。這點(diǎn)還麻煩老師再講解下，謝謝！
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