NO.PZ2023010903000054
问题如下：
Aleksy Nowacki is a new portfolio manager at Heydon Investments. Vicky Knight, a junior analyst at Heydon, assists with managing the fund. Nowacki has been hired to start a second fund, the Heydon Quant Fund, which will use quantitative active equity strategies. 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 approaches.
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
only the holdings-based approach
both the returns-based approach and the holdings-based approach
解释：
Because the Heydon Quant Fund would be changing its factor model 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 classification would also will be affected.
题干里写到采用muti-factor model,我理解更偏重portfolio的量化分析，所有用return-based的更合适。题干里没有关于holding-based的相关表述啊？
