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toffee · 2023年04月28日

不明白

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100000501

问题如下：

Which of the funds in Exhibit 2 has a style most consistent with that of its respective index?

选项：

A.Lunnar A B.Lunnar B C.Lunnar C

解释：

Solution

B is correct. Lunnar B has a style most consistent with its index. Holdings-based style analysis is generally more accurate than returns-based style analysis because it uses the actual portfolio holdings. With holdings-based style analysis, portfolio managers can see how each portfolio holding contributes to the portfolio’s style and verify that the style is in line with the stated investment philosophy. Returns-based style analysis is preferred when the full details of the portfolio are not available. Lunnar B’s holdings-based mix is closest to its index style (2% variance, compared with Lunnar A’s 7% and Lunnar C’s 4%).

A and C are incorrect for the reasons stated above.

这个题即使有个隐形的条件 holding based 比 return base 更为 accurate，那有怎么能说明B是对的？

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toffee · 2023年04月28日

就是没看懂B为啥用的是holding based，那个表没看懂

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笛子_品职助教 · 2023年04月28日

嗨，爱思考的PZer你好：


 题即使有个隐形的条件 holding based 比 return base 更为 accurate，那有怎么能说明B是对的？

Holding based比return based 更accurate

B使用了holding based。

因此B更准确。


事实上，这道题最好补充一个条件，也就是：2% variance, compared with Lunnar A’s 7% and Lunnar C’s 4%

从这些具体的数据来判断会更好。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

笛子_品职助教 · 2023年05月04日

嗨，从没放弃的小努力你好：


默认 return based就是不精确的，但是对C来说又是精确的，是不是有点矛盾啊? 

这里有一个参照系的概念。

精确是相对的，不是绝对的。我们要说，相对于什么是精确的。

return based是否精确，要看它和什么去比较。

如果把C的return -based结果，和A、B的return based结果去比较，那么C是更接近指数的，C是精确的。

也就是同学所得出的结论。

但是如果把return based这个方法，和holding based这个方法去比较，那么无论return based这个方法就是不准确的。

所以，并不矛盾，要看和什么比较。


对于 lunnar C来说， holding based 反而相对 index 差4%呢，而 return based 相对 index 才差1%，那反而 return based 才是更accurate的啊？ 

如果同学使用的参照系是把C的return -based结果，和A、B的return based结果去比较，得出这个结论是没有问题的。


这个lunnar C的数据 感觉出的不好，有歧义？

但是CFA里使用的参照系，和同学这里理解的参照系不一样。

在CFA里，有一个结论，holding based的分析结果，要比return based更好。

所以我们第一步，就是看ABC的holding based分析结果，因为这种方法更准确

第二部，才是对比在holding based的方法下，哪个portfolio与benchmark最接近。


因为return based方法就不准确，

不准确的方法得出的分析结论数据，也不准确

用不准确的分析结论数据，和benchmark对比，也就不准确了。

这就是：输入如果是不准确的，输出必然也是不准确的。


所以这道题根本不需要去看return based方法下的任何数据。


不知道这么说，同学有没有理解。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

笛子_品职助教 · 2023年05月02日

嗨，爱思考的PZer你好：


就是没看懂B为啥用的是holding based，那个表没看懂


比较下图：红框里这列，和绿框里这列，找出差异最小的那一行。B的差异最小，选B。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

toffee · 2023年05月04日

明白了，只看holding based 一列 只有B选项 相差 index 比较小。不用看 return based 一列

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