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Tristan · 2020年03月03日

问一道题:NO.PZ201809170400000708

* 问题详情,请 查看题干

问题如下:

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 model 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 classification would also will be affected.

老师好!

这个题的题目没读懂,能否解释一下,谢谢!

1 个答案

maggie_品职助教 · 2020年03月04日

嗨,努力学习的PZer你好:


这道题是问如果投资领域(invesrment universe)不变,我们只是在模型种增加了一个投资因子,那么是否影响returns-based 或 holdings-based approach这两种方法对组合投资风格的结论。

投资领域(invesrment universe)不变不代表持仓不变,但是我们现在增加了一个因子,比如增加了价值因子,那么此时我们的持仓就会把该领域中价值型的股票加进来。

return based是基于因子做回归得到组合风格的结论,现在新加入了一个因子(假设之前是4个因素模型,现在是5因素模型,相当于模型都变了),那么回归就要重新做了,回归的结论肯定和之前不同。

我看你报的是全线班,这道题是课后题,咱们课后题视频已经上线了,李老师有系统性的讲解,建议先去去听一下。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!