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良爱洳 · 2020年09月12日

问一道题:NO.PZ2019093001000018 [ CFA III ]a

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.

a正确的原因?b和c为什么不对?
1 个答案
已采纳答案

吴昊_品职助教 · 2020年09月12日

同学你好:

这道题考的是 returns-based style analysis的优缺点,参考基础班讲义P213和214,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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