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犬来八荒 · 2023年08月13日

C方法有什么关键词吗

NO.PZ2023010903000055

问题如下:

Jack Dewey is managing partner of DC&H,an investment management firm, and Supriya Sardar is an equity analyst with the firm. Dewey recently took over management of the firm’s Purity Fund. He is developing a fundamental active investment process for managing this fund that emphasizes financial strength and demonstrated profitability of portfolio companies.

Dewey asks Sardar to perform a bottom-up style analysis of the Purity Fund based on the aggregation of attributes from individual stocks in the portfolio. Dewey plans to include the results of this style analysis in a profile he is preparing for the fund.

The analysis performed by Sardar on the Purity Fund can be best described as being based on:

选项:

A.

a holdings-based approach

B.

manager self-identification

C.

a returns-based style analysis

解释:

Dewey asks Sardar to perform a bottom-up style analysis of thePurity Fund based on the aggregation of attributes from individual stocks in the portfolio, which describes a holdings-based approach to style analysis. The overall equity investment style is an aggregation of attributes from individual stocks in the portfolio, weighted by their positions.

如题 如果题目怎么说,会出现选C的情况

1 个答案
已采纳答案

笛子_品职助教 · 2023年08月14日

嗨,努力学习的PZer你好:


Hello,亲爱的同学~


判断投资风格一般有两种方式:

1,根据持仓判断(选项A):通过判断持仓里个股的style,最后汇聚在一起,看占主导的是什么style,即aggregation of attributes from individual stocks in the portfolio

2,对收益做回归分析来判断(选项C):很多时候我们无法知道持仓,于是就可以通过对 return 做回归分析的方式来判断 portfolio 的 return 跟什么 style 最相似,从而判断投资风格


所以这道题目中,根据题干里提到的两点可以判断:

1,bottom-up style

2,aggregation of attributes from individual stocks in the portfolio (即你提到的这一点)

可以参照讲义(如图)


从上述知识点看出,如果是C,我们需要看到:

1)top down style

2) 将portfolio收益与各个因子收益,进行回归分析

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