关于style

问题如下：

A group of junior risk analysts at a wealth management firm is discussing methods to evaluate the performance of a mutual fund. The analysts exchange opinions and consider whether style analysis would be an appropriate approach to assess the fund’s investment decisions. Which of the following statements about style analysis would be correct for the analysts to make?

选项：

A.

Style analysis shows that the contribution of security selection to the variation in the returns of a fund is usually much higher than the contribution of asset allocation.

B.

For style analysis to provide reliable return estimates, risk factor exposures should remain constant throughout the evaluation period.

C.

In style analysis, returns are regressed on relevant benchmark indices and the Rsquare measures the percentage return variability attributable to style choice.

D.

In style analysis, returns are regressed on non-tradable factors and the intercept of the regression measures the average return attributable to style choice.

解释：

C is correct. Style analysis was introduced as a tool to systematically measure the exposures of managed portfolios. In style analysis, fund returns are regressed on indexes representing a range of asset classes and the R-square of the regression would then measure the percentage of return variability attributable to style choice rather than security selection.

A is incorrect. Style analysis emphasizes the significance of asset allocation, not security selection, on return variation. For example, according to a well-known study that helped to popularize this type of analysis, 91.5% of the variation in returns of 82 mutual funds could be explained by the fund’s asset allocation to bills, bonds, and stocks.

B is incorrect. Style analysis is capable of handling time-varying benchmarks and was introduced in part to capture time-variating exposures.

D is incorrect. In style analysis, fund returns are regressed on relevant indices and the intercept of the regression (alpha) measures the average return from security selection.