书上不是说return based 不需要a lot of data么

NO.PZ2019093001000018

问题如下：

An advantage of a returns-based style analysis is that such analysis:

选项：

is comparable across managers.

is suitable for portfolios that contain illiquid securities.

can effectively profile a manager’s risk exposures using a short return series.

解释：

A is correct.

Returns-based style analysis on portfolios of liquid assets is generally able to identify the important drivers of return and the relevant risk factors for the period analyzed, even for complicated strategies. In addition, the process is comparable across managers and through time. If the portfolio contains illiquid securities, the lack of current prices on those positions may lead to an underestimation of the portfolio’s volatility in a returns-based style analysis. Longer return series generally provide a more accurate estimate of the manager’s underlying standard deviation of return.

强化班讲义P30 ，这里又是需要大量的数据

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笛子_品职助教 · 2023年07月25日

嗨，从没放弃的小努力你好：

强化班讲义P30 ，这里又是需要大量的数据

这里的数据多和数据少，涉及到比较基准。

没有绝对的多和少，只有相对的多和少。同一个事物，和A来作比较，是多。和B来作比较，是少。

如果都用return - base做回归，回归的数据越多越好。一个10年数据的return based分析，要比一个3个月数据的return -based分析，更可信。

这里的比较基准，是数据的长度。

如果同样分析10年的历史，用不同的方法。则holding based要的数据量更多，因为holding based需要持股数据，而return based不需要。

这里的比较基准，是holding base与return based

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努力的时光都是限量版，加油！

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NO.PZ2019093001000018 问题如下 aantage of a returns-basestyle analysis is thsuanalysis: A.is comparable across managers. B.is suitable for portfolios thcontain illiquisecurities. C.ceffectively profile a manager’s risk exposures using a short return series. A is correct. Returns-basestyle analysis on portfolios of liquiassets is generally able to intify the important ivers of return anthe relevant risk factors for the perioanalyze even for complicatestrategies. In aition, the process is comparable across managers anthrough time. If the portfolio contains illiquisecurities, the laof current prices on those positions mleto unrestimation of the portfolio’s volatility in a returns-basestyle analysis. Longer return series generally provi a more accurate estimate of the manager’s unrlying stanrviation of return. 请问C错在哪里？

2024-07-25 15:59 1 · 回答

NO.PZ2019093001000018问题如下aantage of a returns-basestyle analysis is thsuanalysis:A.is comparable across managers.B.is suitable for portfolios thcontain illiquisecurities.C.ceffectively profile a manager’s risk exposures using a short return series.A is correct. Returns-basestyle analysis on portfolios of liquiassets is generally able to intify the important ivers of return anthe relevant risk factors for the perioanalyze even for complicatestrategies. In aition, the process is comparable across managers anthrough time. If the portfolio contains illiquisecurities, the laof current prices on those positions mleto unrestimation of the portfolio’s volatility in a returns-basestyle analysis. Longer return series generally provi a more accurate estimate of the manager’s unrlying stanrviation of return.当有 illiquiasset的时候，return base和 holng base 是不是都表现出劣势？

2022-08-02 21:23 1 · 回答

NO.PZ2019093001000018 讲义上Holng base也是说comparable across manager anthrough. 请一下A

2021-10-22 10:50 1 · 回答

NO.PZ2019093001000018 is suitable for portfolios thcontain illiquisecurities. ceffectively profile a manager’s risk exposures using a short return series. A is correct. Returns-basestyle analysis on portfolios of liquiassets is generally able to intify the important ivers of return anthe relevant risk factors for the perioanalyze even for complicatestrategies. In aition, the process is comparable across managers anthrough time. If the portfolio contains illiquisecurities, the laof current prices on those positions mleto unrestimation of the portfolio’s volatility in a returns-basestyle analysis. Longer return series generally provi a more accurate estimate of the manager’s unrlying stanrviation of return. 请问，B错在哪里呢

2021-10-17 22:46 1 · 回答

书上不是说return based 不需要a lot of data么

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