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005 · 2023年04月26日

investment universe不变

NO.PZ2019012201000061

问题如下:

Knight foresees a possible scenario in which the investment universe for the Heydon Quant Fund is unchanged but a new factor is added to its multifactor model. Knight asks Nowacki whether this scenario could affect the fund’s investment-style classifcations using either the returns-based or holdings-based approach. The most appropriate response to Knight’s question regarding the potential future scenario for the Heydon Quant Fund is:

选项:

A.

only the returns-based approach

B.

only the holdings-based approach

C.

both the returns-based approach and the holdings-based approach

解释:

C is correct. Because the Heydon Quant Fund would be changing its factor rmodel by adding a new factor, the correlations of the fund’s returns with the factors would likely change and the returns-based style would change. Even though the investment universe is unchanged, the portfolio holdings would likely change and the holdings-based style classifcation would also will be affected.

请问本题investment universe不变,加入一个新因子也会影响影响holdings-based approach吗?该如何理解

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笛子_品职助教 · 2023年04月26日

嗨,努力学习的PZer你好:


请问本题investment universe不变,加入一个新因子也会影响影响holdings-based approach吗?该如何理解

investment universe是指投资的范围不变。

比如这个portfolio是投资股票的,现在加入了一个新的因子,还是投资股票,投资范围不变。

但是具体股票的持仓,会因为加入了一个新因子而改变。


举例来说:

加入新因子前,portfolio持有了A、B、C、D、E五只股票。

加入新因子后,portfolio持有了A、B、C、F、G五指股票。


加入新因子的持仓变了,D、E两只股票换成了F、G股票。但是investment universe没变,都是股票。

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tzdsgn · 2023年06月11日

investment universe是指fi equity alt这种大类对吗

笛子_品职助教 · 2023年06月12日

嗨,爱思考的PZer你好:


investment universe是指fi equity alt这种大类对吗

是的,同学理解正确哈

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