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Ning888 · 2021年10月22日

选项A

  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.

讲义上Holding based 也是说comparable across manager and through. 请解释一下选项A

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吴昊_品职助教 · 2021年10月22日

嗨，努力学习的PZer你好：


是的，这两个风格分析都有这个优点。所以A选项正确。

选项B和C都不是returns-based style analysis的优点，都不能选。

选项B说的是return-based风格分析适合 illiquid securities，实则不然，return-based不适合含有 illiquid securities的组合。如果组合中含有流动性不好的证券，陈旧不变的价格会低估风险敞口。

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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努力的时光都是限量版，加油！

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