TTER
2025-05-06 12:21原版書課后題這一道,這里是怎么判斷出是Manager A是bottom-up manager的,我怎么覺得是factor-based? 題干是:Manager A is a market-neutral manager following a systematic investment approach, scoring each security on a proprietary set of risk factors. He seeks to maximize the portfolio score on the basis of the factor characteristics of individual securities. He has a hurdle rate of T-bills plus 5%.
所屬:CFA Level III > Performance Measurement 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個(gè)回答
開開助教
2025-05-08 09:37
該回答已被題主采納
同學(xué)你好,
這個(gè)因子是用來選股的。選取因子打分最高的一些股票去投資,因此這個(gè)投資方式還是聚焦于底層單個(gè)證券的,屬于bottom up的方法。而factor based決策的出發(fā)點(diǎn)是組合因子敞口,通過子因子敞口上偏離基準(zhǔn)來獲得超額收益。
