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Zunniyaki · 2021年04月13日

C选项答案能否解释一下?

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NO.PZ201809170400000406

问题如下:

Leonard is looking at the style classification from Asgard as reported by Morningstar and Thomson Reuters Lipper. He is surprised to find that Asgard is classified as a blend fund by Morningstar and a value fund by Lipper. Which of the following statements is correct?

选项:

A.

Although the Morningstar methodology classifies securities as either value, growth, or core, the Lipper methodology assumes a stock can have the characteristics of many styles. This approach can result in a different classification for the same portfolio.

B.

The Lipper methodology can only lead to a value or growth classification. It does not offer a core/blend component.

C.

The Morningstar methodology classifies securities as either value, growth, or core by looking at the difference between their respective growth and value scores. It is possible that the Asgard funds hold a balanced exposure to both value and growth and/or core stocks.

解释:

C is a correct answer. Morningstar calculates a score for value and growth on a scale of 0 to 100 using five proxy measures for each. The value score is subtracted from the growth score. A strongly positive net score leads to a growth classification, and a strongly negative score leads to a value classification. A score relatively close to zero indicates a core classification. To achieve a blend classification, the portfolio must have a balanced exposure to stocks classified as value and growth, a dominant exposure to stocks classified as core, or a combination of both.

A is an incorrect answer. Both Morningstar and Lipper classify individual stocks in a specific style category. Neither assumes a security can belong to several styles in specific proportion.

B is an incorrect answer. The Lipper methodology does have a core classification. It sums the Z-score of six portfolio characteristics over several years to determine an overall Z-score that determines either a value, core, or growth classification.

老师你好,请问C选项答案能否具体解释一下这个打分方法?

1 个答案

maggie_品职助教 · 2021年04月14日

嗨,努力学习的PZer你好:


晨星和路透是两家提供股票资讯信息的服务商,他们都有自己对于股票风格分类的标准,这道题问的是为何同一只股票在两家公司显示的风格不同。选C原因就是两家风格分类的标准不同,打个比方,晨星规定PE大于30倍的股票为价值股,而路透规定PE只要大于20倍的股票就是价值股,所以同一个公司在两家机构披露的数据显示风格不一致是很正常的。

 

具体的如何打分不是考察重点(没法考,只需要了解上面说的原理即可),简单说一下:-100,到0,0到100,假设-100为价值,0为core, 100为growth。解析说用5个维度衡量,咱们简化一下用两个:PE和PB,针对每一个公司从这两个维度进行打分,假设A公司PE很高可以打接近100分,如果PB同样很高那么也可以打个高分,那么综合来看A公司就是成长型股票。

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