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Lich · 2023年06月20日

请教老师c为啥不对

NO.PZ2022122701000035

问题如下:

Suppose that the results of a style analysis for an investment manager are not consistent with the stated philosophy of the manager and the manager’s stated investment process. These facts suggest the:

选项:

A.

absence of style drift.

B.

investment process may not be repeatable.

C.

manager should be included in the universe of potential managers.

解释:

Correct Answer: B

The results of the returns-based style analysis and the holdings-based style analysis should be consistent with the philosophy of the manager and the investment process. If this is not the case, it may suggest that the process is not repeatable or not consistently implemented. For these results the manager should not be included in the universe of potential managers, whereas if the results track over time they may suggest style drift.

请教老师c为啥不对?

1 个答案
已采纳答案

笛子_品职助教 · 2023年06月21日

嗨,爱思考的PZer你好:


请教老师c为啥不对?


Hello,亲爱的同学~

这道题的条件是:投资经理的风格分析结果与经理的既定哲学和经理的既定投资过程不一致。这些事实表明什么。


我们用数据分析出来的投资风格,和基金经理自己陈述的投资风格不一致,说明基金经理说一套做一套,用金融的话语来说,是风格漂移(style drift)。对于投资者来说,这样的基金经理是不好的。因此,不应该把这名基金经理,放入备选基金经理名单中(the universe of potential managers)。


因此C不对。正确的说法是:manager should not be included in the universe of potential managers.

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