为什么HBSA和RBSA都不适用于illiquidity 的时候

NO.PZ2019093001000009

问题如下：

Compared with holdings-based style analysis (HBSA), a returns-based style analysis (RBSA):

选项：

is subject to window dressing.

requires less effort to acquire data.

is more accurate when illiquid securities are present.

解释：

B is correct.

RBSA typically does not require a large amount of additional, or difficult to acquire, data. HBSA requires data on each security in the investment portfolio. HBSA is a snapshot of the portfolio at a single point of time and thus is subject to window dressing. Both HBSA and RBSA are subject to difficulties in interpreting returns when illiquid securities are present.

为什么HBSA和RBSA都不适用于illiquidity 的时候

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1 个答案

吴昊_品职助教 · 2022年02月16日

嗨，从没放弃的小努力你好：

HBSA和RBSA面对流动性不好的产品，解释收益时都比较困难。流动性不好的产品，它们的价格变化一般都会产生时滞，这样评估出来就不准确。所以这是两种风格分析的通病，不适合流动性较差的产品。

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为什么HBSA和RBSA都不适用于illiquidity 的时候

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