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Bella · 2019年06月10日

Equity, deep value and look ahead bias

1)框架图说deep value是bottom up strategy, CFAI topic question (以下)说是to p down。 哪个是正确的?

One of the reports noted, “During the last recession, we rotated into deep-value companies likely to deliver superior returns as a risk-on environment returned.”

Analyst 1: “The fund is following a top-down approach.”

Q. Which of the analysts’ comments regarding the Lunnar fund’s annual report is the most accurate?

  1. Analyst 1
  2. Analyst 2
  3. Analyst 3


Solution

A is correct. The comment made by Analyst 1 is correct regarding style rotation into deep value as motivated by the economic cycle. This is a top-down strategy.



2)Look ahead bias yong用基本面分析并拿到更新data后加以纠正,问什么说是quantitative而不是fundament?

Q. Evidence of which behavioral bias is most likely to be found when analyzing the Lunnar C fund?

  1. Survivorship.
  2. Look-ahead
  3. Confirmation

CFAI 答案:

B is incorrect because look-ahead bias is a risk inherent in backtesting a quantitative active strategy. This bias results from using information that was unknown or unavailable at the time an investment decision was made. An example of this bias is the use of financial accounting data for a company at a point in time before the data were actually released by the company.

1 个答案

maggie_品职助教 · 2019年06月10日

1、要仔细读题哦,这里道题问的是Sector  Rotation 属于什么策略。题干说“we rotated into deep-value companies ”不是问你deep-value。这个你从答案也可以看出根据经济周期,它是“轮转”到deep value的公司。

2、这些偏差的产生是大量统计分析找规律时产生的,基本面分析不需要分析那么多数据。


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