lunar c

NO.PZ202207040100000506 问题如下 MoniPopkirk Case ScenarioMoniPopkirk rects the equity manager selection teof PV-AmeriWealth Management (“PV”). She anher analysts evaluate, classify, anrecommenfun to the PV investment committee. PV haskePopkirk to broan the selection of approvefun for its investment aisers to use in client portfolios analso to inclu some alternative asset classes possibly using some hee fun. Popkirk anher teexamine the funscriptions anconsir both holngs-baseanreturns-baseapproaches to style classification. Intenng to selea top-wn funmentally iven manager, she consirs three cantes from LunnAssociates, shown in Exhibit 1.Exhibit 1 LunnAssociates Fun unr ConsirationBeyonthe funscriptions, Popkirk instructs her teto assemble analysis table to help termine whiof Lunnar’s fun hthe closest fit to the style of its chosen benchmark inx. She points out thall three of these fun are long only with well-known anacceptestyle box categories. ta are provifor both the holngs-basestyle analysis of the current portfolio anthe returns-basestyle analysis baseon 36 months of historicreturns anare shown in Exhibit 2.Exhibit 2 LunnFunStyle AnalysisPopkirk explains to her analysts ththe better active funmanagers wisely consir whpitfalls anbehaviorbiases mrealy affetheir strategies anthose of their competitors. For instance, when evaluating the funmentapproauseLunnPopkirk says thanalysts shoullook for evinthone of the following three biases have been acknowleeanaressethe manager: survivorship bias, confirmation bias, or look-ahebias.gging eper into another one of Lunnar’s fun, Popkirk’s analysts review anscuss the Lunnfuns annureports for the last six years. One of the reports note “ring the last recession, we rotateinto ep-value companies likely to liver superior returns a risk-on environment returne”The analysts then make the following comments:Analyst 1: “The funis following a top-wn approach.”Analyst 2: “I sagree. The emphasis on economic analysis is consistent with top wn, but because it uses ep-value stocks, the approais clearly bottom up.”Analyst 3: “After reang the reports for all years, I wleft thinking thoverall they are GARP managers—growth a reasonable price—whiis top wn.”One of PV’s committee members haskePopkirk for her thoughts to whistyle classification shoulusewhen scribing Lunnar’s populhee fun the LunnHee-X fun It uses a variety of techniques to achieve alphinclung long–short equity portfolios with substantifutures anoptions overlays to control risk. Lunnsuggests its clients use a combination of the LunnHee-X funalong with its more trationfun to improve the Sharpe ratio of its overall portfolios.Boris Thompson, one of the Lunnmanagers, claims to have hconsistent success in beating his benchmark using primomentum a rewarequity factor exposure. Popkirk warns her analysts ththe manager mnot truly forthcoming regarng some perio of unrperformance. Question Baseon the information in Exhibit 1, whiof the fun from LunnAssociates most likely follows a top-wn funmentapproach? A.Lunn B.Lunn C.Lunn B is correct. LunnB uses a top-wn funmentapproabecause it requires manager scretion in consiring future long-term tren anshort-term opportunities in the globeconomy (i.e., a funmentapproach). The strategy is executeusing fferent portfolio weightings on inxes rather thinvicorporate securities, making it top wn rather thbottom up.A is incorrect. LunnA is passively managebecause the portfolio weights are set without input from the funmanager’s future beliefs.C is incorrect. LunnC is actively managebut uses a bottom-up strategy focuseon the expectefuture prospects of invisecurities. 如题