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SUN · 2020年06月08日

问一道题:NO.PZ2019103001000088 [ CFA III ]

问题如下:

Wang made the following statements about the advantages and disadvantages of the top-down and bottom-up approach

Statement 1: One advantage of the bottom-up approach is that it is easier to gain an informational advantage in individual companies or bonds rather than the overall market.

Statement 2: Another advantage of the bottom-up approach is that it can be easy to earn substantial returns from bottom-up security selection without exposing the portfolio to macro factors.

Statement 3: One advantage of the top-down approach is that sizable portion of credit returns can be attributed to macro factors.

选项:

A.

Statement 1 and statement 3 are correct.

B.

Statement 1 and statement 2 are correct.

C.

Statement 2 and statement 3 are correct

解释:

答案:A is correct.

考点:Top-down, bottom-up方法的优缺点对比

解析:Statement 1和Statement 3正确,为原版书原句。

Statement 2错误,正确的应该为:即便用Bottom-up的方法选择出了合适的个股,Credit returns中很大一部分仍可以归因于Marco factors,Statement 2中,easy to earn a substantial return without exposure to macro factors错误;

原版书原句为:

Because a sizable portion of credit returns can be attributed to macro factors, it can be difficult to earn substantial returns from bottom-up security selection without exposing the portfolio to macro factors.

解析里面的credit return是什么意思
1 个答案
已采纳答案

发亮_品职助教 · 2020年06月08日

嗨,爱思考的PZer你好:


“解析里面的credit return是什么意思”


就是承担Credit risk对应的那部分收益。又由于债券的违约风险主要会受到经济周期的影响,所以有这句话,Credit return的很大一部分可以归因于宏观经济因素:

Because a sizable portion of credit returns can be attributed to macro factors


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