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cika · 2023年01月28日

麻烦老师讲下这道题,谢谢

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NO.PZ202207040100000504

问题如下:

Which method of style analysis is best used to properly classify the Lunnar Hedge-X fund?

选项:

A.Self-identification B.Holdings-based analysis alone C.Holdings-based and returns-based analysis combined

解释:

Solution

A is correct. Self-identification is the best way to classify Lunnar Hedge-X’s strategy. As a non-standard hedge fund that extensively uses short positions and derivatives, the description in the fund’s prospectus becomes the key source of information for those assigning a style. Neither a holdings-based approach nor a returns-based approach is likely to help classify Lunnar Hedge-X’s approach.

B is incorrect. As a non-standard hedge fund that extensively uses short positions and derivatives, the description in the fund’s prospectus becomes the key source of information for those assigning a style. A holdings-based approach is not going to help classify Lunnar Hedge-X’s approach.

C is incorrect. As a non-standard hedge fund that extensively uses short positions and derivatives, the description in the fund’s prospectus becomes the key source of information for those assigning a style. Neither a holdings-based approach nor a returns-based approach will help classify Lunnar Hedge-X’s approach.

麻烦老师讲下这道题,谢谢

1 个答案
已采纳答案

笛子_品职助教 · 2023年01月30日

嗨,努力学习的PZer你好:


麻烦老师讲下这道题,谢谢

我们说的Holdings-based analysis和returns-based,比较多的用于投资股票的基金。

returns-based方法是通过把基金和各个因子做回归,得出风格。

Holdings-based analysis是通过分析基金持仓的每只股票,得出风格。


而这家基金是使用空头和衍生品,并不是股票基金。所以并不适用returns-based和Holdings-based analysis。

所以只能基金说是什么风格,就是什么风格。基金招股说明书中的描述成为指定风格的人的关键信息来源。无论是基于持股的方法还是基于回报的方法,都不可能有助于对Lunnar Hedge-X的方法进行分类。




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