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Betty · 2024年03月23日

没看懂这道题在考什么，能不能解释一下

  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.

没看懂这道题在考什么，能不能解释一下

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笛子_品职助教 · 2024年03月24日

嗨，爱思考的PZer你好：


Hello，亲爱的同学~

这道题考察的是Holdings-based 与return - based 这两个方法。

根据知识点，Holdings-based 的方法，分析结果，要比return - based 方法更准确。

因此，如果题目中既给了Holdings-based的分析结果，又给了return - based 的分析结果。

我们需要只考虑Holdings-based，忽略掉return - based 。

那么看 Holdings-based的数据，Lunnar B只有2% variance，比Lunnar A的7%与Lunnar C的4%都低。

因此，Lunnar B是最接近指数的。

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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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