王同學(xué)
2023-08-20 10:19請(qǐng)問(wèn)可以總結(jié)一下return-based和holding-based各自的優(yōu)缺點(diǎn)嗎？ 謝謝
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
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2023-08-20 10:30
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同學(xué)你好，
Returns-based style analysis
優(yōu)點(diǎn)
1）Although RBSA adds the additional analytical step of estimating the risk factors, the analysis is straightforward and typically does not require a large amount of additional, or difficult to acquire, data. 雖然RBSA增加了額外的分析步驟來(lái)估計(jì)風(fēng)險(xiǎn)因素，但是分析是直觀的，通常不需要大量的額外數(shù)據(jù)，或者很難獲得數(shù)據(jù)
2）It can be estimated even for complicated strategies and is comparable across managers and through time. 即使對(duì)于復(fù)雜的投資策略，它也可以被估計(jì)出來(lái)，并且可以在不同的基金經(jīng)理和不同的時(shí)期之間進(jìn)行比較
缺點(diǎn)
1）The disadvantage is that RBSA is an imprecise tool, attributing performance to a static portfolio during the period that might not reflect the current or future portfolio exposures. 缺點(diǎn)是，RBSA是一個(gè)不精確的工具，它將業(yè)績(jī)歸因于一個(gè)靜態(tài)的投資組合，而這個(gè)靜態(tài)的投資組合可能無(wú)法反映投資組合當(dāng)前或未來(lái)的風(fēng)險(xiǎn)
2）The portfolio being analyzed might not reflect the current or future portfolio exposures. 所分析的投資組合可能不能反映投資組合當(dāng)前或未來(lái)的風(fēng)險(xiǎn)
3）If the portfolio contains illiquid securities, stale prices may understate the risk exposure of the strategy. 如果投資組合中包含流動(dòng)性差的證券，過(guò)時(shí)的價(jià)格可能低估了該策略的風(fēng)險(xiǎn)敞口
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追答
Holdings-based style analysis
優(yōu)點(diǎn)
1)HBSA allows for the estimation of current risk factors and should identify all important drivers of return and risk factors, be comparable across managers and through time, and provide an accurate view of the manager’s risk exposures. HBSA考慮到對(duì)當(dāng)前風(fēng)險(xiǎn)因素的估計(jì)，并確定所有收益和風(fēng)險(xiǎn)因素的重要驅(qū)動(dòng)，在不同的基金經(jīng)理之間和不同時(shí)期之間進(jìn)行比較，并提供基金經(jīng)理風(fēng)險(xiǎn)敞口的準(zhǔn)確視角
缺點(diǎn)
1）The disadvantages are the additional computational effort, dependence on the degree of transparency provided by the manager, and the possibility that accuracy may be compromised by stale pricing and window dressing. 缺點(diǎn)是額外的計(jì)算工作量，依賴(lài)于基金經(jīng)理提供的（數(shù)據(jù)）透明程度，以及準(zhǔn)確性可能會(huì)受到陳舊的定價(jià)和財(cái)務(wù)粉飾的影響
2）HBSA uses a point in time analysis format that may not be useful in projecting into the future or if the portfolio has high turnover. HBSA使用時(shí)間點(diǎn)分析風(fēng)格（基于某一時(shí)點(diǎn)的持倉(cāng)進(jìn)行分析），這在預(yù)測(cè)未來(lái)或投資組合周轉(zhuǎn)率較高時(shí)可能無(wú)用（即某一時(shí)點(diǎn)的情況無(wú)法代表未來(lái)的動(dòng)態(tài)變化）
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