开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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

2 个答案
已采纳答案

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。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

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

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 2

    回答
  • 1

    关注
  • 566

    浏览
相关问题

NO.PZ2019012201000061问题如下Knight foresees a possible scenario in whithe investment universe for the Heyn Quant Funis unchangebut a new factor is aeto its multifactor mol. Knight asks Nowacki whether this scenario coulaffethe funs investment-style classifcations using either the returns-baseor holngs-baseapproach. The most appropriate response to Knight’s question regarng the potentifuture scenario for the Heyn Quant Funis: A.only the returns-baseapproa B.only the holngs-baseapproa C.both the returns-baseapproaanthe holngs-baseapproa C is correct. Because the Heyn Quant Funwoulchanging its factor rmol aing a new factor, the correlations of the funs returns with the factors woullikely change anthe returns-basestyle woulchange. Even though the investment universe is unchange the portfolio holngs woullikely change anthe holngs-basestyle classifcation woulalso will affecte 提问的是会对style classification造成影响。那他如果本身就是return- basestyle,新加入一个因子也就是多元回归模型公式变了,但还是return basestyle呀,虽然持仓会变化,但style没变呀

2024-03-12 23:07 1 · 回答

NO.PZ2019012201000061问题如下 Knight foresees a possible scenario in whithe investment universe for the Heyn Quant Funis unchangebut a new factor is aeto its multifactor mol. Knight asks Nowacki whether this scenario coulaffethe funs investment-style classifcations using either the returns-baseor holngs-baseapproach. The most appropriate response to Knight’s question regarng the potentifuture scenario for the Heyn Quant Funis: A.only the returns-baseapproa B.only the holngs-baseapproa C.both the returns-baseapproaanthe holngs-baseapproa C is correct. Because the Heyn Quant Funwoulchanging its factor rmol aing a new factor, the correlations of the funs returns with the factors woullikely change anthe returns-basestyle woulchange. Even though the investment universe is unchange the portfolio holngs woullikely change anthe holngs-basestyle classifcation woulalso will affecte 请问holngs-baseapproach如何理解?题干没有提及持仓的字眼,分析师如何确认基金的投资风格呢?

2023-11-10 11:25 3 · 回答

NO.PZ2019012201000061 问题如下 Knight foresees a possible scenario in whithe investment universe for the Heyn Quant Funis unchangebut a new factor is aeto its multifactor mol. Knight asks Nowacki whether this scenario coulaffethe funs investment-style classifcations using either the returns-baseor holngs-baseapproach. The most appropriate response to Knight’s question regarng the potentifuture scenario for the Heyn Quant Funis: A.only the returns-baseapproa B.only the holngs-baseapproa C.both the returns-baseapproaanthe holngs-baseapproa C is correct. Because the Heyn Quant Funwoulchanging its factor rmol aing a new factor, the correlations of the funs returns with the factors woullikely change anthe returns-basestyle woulchange. Even though the investment universe is unchange the portfolio holngs woullikely change anthe holngs-basestyle classifcation woulalso will affecte 请问这道题是什么意思啊 没理解呢

2023-11-09 17:19 1 · 回答

NO.PZ2019012201000061问题如下Knight foresees a possible scenario in whithe investment universe for the Heyn Quant Funis unchangebut a new factor is aeto its multifactor mol. Knight asks Nowacki whether this scenario coulaffethe funs investment-style classifcations using either the returns-baseor holngs-baseapproach. The most appropriate response to Knight’s question regarng the potentifuture scenario for the Heyn Quant Funis: A.only the returns-baseapproa B.only the holngs-baseapproa C.both the returns-baseapproaanthe holngs-baseapproa C is correct. Because the Heyn Quant Funwoulchanging its factor rmol aing a new factor, the correlations of the funs returns with the factors woullikely change anthe returns-basestyle woulchange. Even though the investment universe is unchange the portfolio holngs woullikely change anthe holngs-basestyle classifcation woulalso will affecte investment universe是指fi equity alt这种大类对吗

2023-06-11 20:57 1 · 回答