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Betty · 2024年03月23日

没看懂这道题在考什么,能不能解释一下

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NO.PZ202207040100000501

问题如下:

Which of the funds in Exhibit 2 has a style most consistent with that of its respective index?

选项:

A.Lunnar A B.Lunnar B C.Lunnar C

解释:

Solution

B is correct. Lunnar B has a style most consistent with its index. Holdings-based style analysis is generally more accurate than returns-based style analysis because it uses the actual portfolio holdings. With holdings-based style analysis, portfolio managers can see how each portfolio holding contributes to the portfolio’s style and verify that the style is in line with the stated investment philosophy. Returns-based style analysis is preferred when the full details of the portfolio are not available. Lunnar B’s holdings-based mix is closest to its index style (2% variance, compared with Lunnar A’s 7% and Lunnar C’s 4%).

A and C are incorrect for the reasons stated above.

没看懂这道题在考什么,能不能解释一下

1 个答案
已采纳答案

笛子_品职助教 · 2024年03月24日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~

这道题考察的是Holdings-based 与return - based 这两个方法。

根据知识点,Holdings-based 的方法,分析结果,要比return - based 方法更准确。

因此,如果题目中既给了Holdings-based的分析结果,又给了return - based 的分析结果。

我们需要只考虑Holdings-based,忽略掉return - based 。

那么看 Holdings-based的数据,Lunnar B只有2% variance,比Lunnar A的7%与Lunnar C的4%都低。

因此,Lunnar B是最接近指数的。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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