徐同學(xué)
2023-08-27 15:01老師能講講return base 和holding base的各自的優(yōu)缺電么？
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
開開助教
2023-08-27 22:11
該回答已被題主采納
同學(xué)你好，
Returns-based style analysis
優(yōu)點
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估計風(fēng)險因素，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. 即使對于復(fù)雜的投資策略，它也可以被估計出來，并且可以在不同的基金經(jīng)理和不同的時期之間進(jìn)行比較
缺點
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. 缺點是，RBSA是一個不精確的工具，它將業(yè)績歸因于一個靜態(tài)的投資組合，而這個靜態(tài)的投資組合可能無法反映投資組合當(dāng)前或未來的風(fēng)險
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)前或未來的風(fēng)險
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性差的證券，過時的價格可能低估了該策略的風(fēng)險敞口
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追答
Holdings-based style analysis
優(yōu)點
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考慮到對當(dāng)前風(fēng)險因素的估計，并確定所有收益和風(fēng)險因素的重要驅(qū)動，在不同的基金經(jīng)理之間和不同時期之間進(jìn)行比較，并提供基金經(jīng)理風(fēng)險敞口的準(zhǔn)確視角
缺點
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. 缺點是額外的計算工作量，依賴于基金經(jīng)理提供的（數(shù)據(jù)）透明程度，以及準(zhǔn)確性可能會受到陳舊的定價和櫥窗展示的影響
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使用時間點分析風(fēng)格（基于某一時點的持倉進(jìn)行分析），這在預(yù)測未來或投資組合周轉(zhuǎn)率較高時可能無用（即某一時點的情況無法代表未來的動態(tài)變化）
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