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粉红豹 · 2020年08月30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,答案解释中的这句话“Even though the investment universe is unchanged, the portfolio holdings would likely change and the holdings-based style classification would also will be affected.” 能否解释下啊。

李老师在课后题视频中讲的好几种理解方式,还说题目有问题,前后讲解不同,我最终没理解。

麻烦老师

1 个答案

maggie_品职助教 · 2020年08月31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,也就是之前你从哪个盘子里选股票,现在还从那个盘子里选股票,我们只是在模型种增加了一个投资因子也就是现在筛选股票的条件变了,问是否影响returns-based 或 holdings-based approach这两种方法对组合投资风格的结论。

holdings-based approach是通过观察进经理真实的持仓来判断风格,现在选股票的筛选标准变了,那么投资的股票就变了,那么风格就会改变。

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。


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