NO.PZ2019012201000061
问题如下：
Knight foresees a possible scenario in which the investment universe for the Heydon Quant Fund is unchanged but a new factor is added to its multifactor model. Knight asks Nowacki whether this scenario could affect the fund’s investment-style classifcations using either the returns-based or holdings-based approach. The most appropriate response to Knight’s question regarding the potential future scenario for the Heydon Quant Fund is:
选项：
A.
only the returns-based approach
B.
only the holdings-based approach
C.
both the returns-based approach and the holdings-based approach
解释：
C is correct. Because the Heydon Quant Fund would be changing its facto rmodel by adding a new factor, the correlations of the fund’s returns with the factors would likely change and the returns-based style would change. Even though the investment universe is unchanged, the portfolio holdings would likely change and the holdings-based style classifcation would also will be affected.
可以理解HB的方法是实时看的到的结点情况，即变动之后马上就可以看到风格是怎样。但RB是一个流量数据，调整以后我的理解是需要一段时间运行，检验才知道风格是否发生变化吧？题目说新加入一个要素，但也没有去运行，为啥也考虑RB的方法也可以识别呢，还是审题的问题错了？谢谢！
