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西红柿面 · 2025年06月05日

晨星、路透、lipper、MSCI、FTSE Russell对分类的要求

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NO.PZ201809170400000406

问题如下:

James Leonard is a fund-of-funds manager with Future Generation, a large sovereign fund. He is considering whether to pursue more in-depth due diligence processes with three large-cap long-only funds proposed by his analysts. Although the funds emphasize different financial metrics and use different implementation methodologies, they operate in the same market segment and are evaluated against the same benchmark. The analysts prepared a short description of each fund, presented in Exhibit 1.

When Leonard’s analysts met with Asgard, they inquired whether its managers engage in activist investing because Asgard’s portfolio frequently holds significant positions, because of their large asset size, and because of their emphasis on strong governance and their ability to model sources of cash-flow strengths and weaknesses within each business. The manager indicated that Asgard engages with companies from a long-term shareholder’s perspective, which is consistent with the firm’s low portfolio turnover, and uses its voice, and its vote, on matters that can influence companies’ long-term value.

Leonard wants to confirm that each manager’s portfolios are consistent with its declared style. To this end, Exhibit 2 presents key financial information associated with each manager’s portfolio and also with the index that all three managers use.


Leonard is looking at the style classification from Asgard as reported by Morningstar and Thomson Reuters Lipper. He is surprised to find that Asgard is classified as a blend fund by Morningstar and a value fund by Lipper. Which of the following statements is correct?

选项:

A.

Although the Morningstar methodology classifies securities as either value, growth, or core, the Lipper methodology assumes a stock can have the characteristics of many styles. This approach can result in a different classification for the same portfolio.

B.

The Lipper methodology can only lead to a value or growth classification. It does not offer a core/blend component.

C.

The Morningstar methodology classifies securities as either value, growth, or core by looking at the difference between their respective growth and value scores. It is possible that the Asgard funds hold a balanced exposure to both value and growth and/or core stocks.

解释:

C is a correct answer. Morningstar calculates a score for value and growth on a scale of 0 to 100 using five proxy measures for each. The value score is subtracted from the growth score. A strongly positive net score leads to a growth classification, and a strongly negative score leads to a value classification. A score relatively close to zero indicates a core classification. To achieve a blend classification, the portfolio must have a balanced exposure to stocks classified as value and growth, a dominant exposure to stocks classified as core, or a combination of both.

A is an incorrect answer. Both Morningstar and Lipper classify individual stocks in a specific style category. Neither assumes a security can belong to several styles in specific proportion.

B is an incorrect answer. The Lipper methodology does have a core classification. It sums the Z-score of six portfolio characteristics over several years to determine an overall Z-score that determines either a value, core, or growth classification.

想问一下晨星、路透、lipper、MSCI、FTSE Russell分别对分类的要求,到底谁可以同时符合value和Growth,谁只能二选一



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