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Rachel · 2024年07月25日

请问C错在哪里？

  1. CFA III
  2. Trading&Performance

NO.PZ2019093001000018

问题如下：

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

选项：

A.

is comparable across managers.

B.

is suitable for portfolios that contain illiquid securities.

C.

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.

请问C错在哪里？

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吴昊_品职助教 · 2024年07月25日

嗨，爱思考的PZer你好：


这道题考的是 returns-based style analysis的优缺点，参考基础班讲义P214和215，选项A和B都是讲义上的直接表述。

选项C：我们得有一段时间的历史数据，才能精准地给出基金经理收益标准差的估计。回归的数据越多，估计得越准确。所以C不正确， 应该是using a long return series。

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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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