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圆圆0 · 2020年03月16日

问一道题:NO.PZ2019012201000061 [ CFA III ]

问题如下:

Knight foresees a possible scenario in which the investment universe for the Heydon Quant Fund is unchanged but a new factor is added to its multifactor model. Knight asks Nowacki whether this scenario could affect the fund’s investment-style classifcations using either the returns-based or holdings-based approach. 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 facto rmodel 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 classifcation would also will be affected.

仍然认为只有return based 影响,holding based 不影响

    1 个答案

    袁园_品职助教 · 2020年03月17日

    同学你好!

    是的,这道题目出的不太好,能理解 return-based 会受到影响就可以了。

    你可以去听一下我们课后题讲解 R24 第14题,李老师有详细解答。

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