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2024-01-31 15:20請問return-based analysis分析的是基金的style，不是weight對么？所謂return-based是做因子分析，指的就是風格因子？ 另外，如果針對hedge fund，是不是用return-based 會優(yōu)于用holding based? 謝謝
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
王蘇云助教
2024-01-31 16:28
該回答已被題主采納
同學，你好
returns-based analysis 是將基金的收益率與各種風格指數進行多元回歸，風格指數對應的貝塔系數越大，說明這個風格指數對基金的收益的貢獻程度越大，意味著基金的投資風格越偏向這個指數。returns-based analysis分析的是基金的style，不是weight，是對的。
原版書上面有這樣一段話：Returns-based or holdings-based style analysis is commonly used to identify the investment style—such as value/growth or large cap/small cap—and to determine whether it corresponds to the manager’s self-identified style. Some other styles, however, cannot be easily identified by such methods. For example, the styles of equity hedge funds, equity income funds, and special sector funds can be more efficiently identified using a combination of manager self-identification and holdings- or returns-based analysis.說明如果針對hedge fund，用manager self-identification的方法要更好一些。
祝你學習進步~
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