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LOS j: Compare and contrast the methodologies used to construct equity style indices.
Q1. Which of the following is most accurate regarding equity style index methodology? If style is viewed as a quantity then:
A) the market cap of some stocks will be split between value and growth indices.
B) stocks will be placed in either value or growth indices with no overlap.
C) there will be a neutral style index category.
Q2. If an equity style index has buffering rules, the index will have:
A) less turnover and there will be lower transactions costs from rebalancing for managers tracking the index.
B) more turnover and there will be higher transactions costs from rebalancing for managers tracking the index.
C) more turnover and there will be lower transactions costs from rebalancing for managers tracking the index.
Q3. Which of the following is most accurate regarding equity style index methodology? The justification for having just two categories of style (i.e., there is only value and growth and no neutral category) is that:
A) having overlap in categories precludes a neutral category.
B) many investment managers have a clear value or growth mandate they must follow.
C) neutral categories are hard to define.
Q4. Which of the following is most accurate regarding equity style index methodology? Most equity style indices are constructed using:
A) holdings-based style analysis which would make buffering more necessary compared to using returns-based style analysis.
B) returns-based style analysis which would make buffering more necessary compared to using holdings-based style analysis.
C) holdings-based style analysis which would make buffering less necessary compared to using returns-based style analysis. | 
发表于 2009-3-6 17:50
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