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王昕彤 · 2023年11月13日

为什么不能选A

  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.

为什么不能选A呢？请老师详细解释一下

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1 个答案

笛子_品职助教 · 2023年11月14日

嗨，从没放弃的小努力你好：


为什么不能选A呢？请老师详细解释一下

Hello，亲爱的同学~



这道题的含义是：对比各个portfolio的holding based分析结果，与benchmark的结果，找出portfolio与benchmark风格最接近的。


我们看A，68%的价值股，而A的benchmark有75%的价值股。A比benchmark少7%的价值股，多7%成长股。

我们看B，67%的价值股，而B的benchmark有65%的价值股。B比benchmark多2%的价值股，少2%成长股。

我们看C，39%的价值股，而C的benchmark有35%的价值股，C比benchmark多4%的价值股，少4%成长股


与benchmark的差异越小，越接近benchmark。

因此，A与benchmark差异最大，B最小，C居中。


本题要求选与benchmark最接近的（most consistent with that of its respective index），所以不选A 。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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