A) manager is using active SCG strategy
B) manager is using passive SCG strategy
C) manager has experienced insignificant style drift over four periods in the study.
Schweser says answers is A but if R sqaure is 93% why not a B作者: Colum 时间: 2011-7-11 19:36
My take based on answer is SCG Startegy ( as asked in question ) is passive but overall startegy based on R square is active. Does that make sense guys?作者: Analti_Calte 时间: 2011-7-11 19:36
I put B. I think Schweser is wrong on this one. How can a passive small cap growth manager have 2% of assets in large cap stocks?
Edited 1 time(s). Last edit at Sunday, May 23, 2010 at 03:53PM by kaklan.作者: NakedPuts2011 时间: 2011-7-11 19:36
Cannot find a hard and fast, but there is one example with passive fund with style fit 99.5%, so around <1%?作者: jmh530 时间: 2011-7-11 19:36
kaklan Wrote:
-------------------------------------------------------
> I put B. I think Schweser is wrong on this one.
> How can a passive small cap growth manager have 2%
> of assets in large cap stocks?
2% is not a big deal. Some of the small cap growth may have been reclassified by the benchmark providers as big cap in the mean time. Happens all the time.作者: ll11 时间: 2011-7-11 19:36
kaklan Wrote:
> If they have been reclassified, a passive strategy
> would have to sell. In both 2007 and 2008, they
> show 2% in large cap. A small cap passive
> strategy would be holding hundreds if not
> thousands of stocks. 2% is a large number of
> holdings.
Notice that in addition that it is a statistically driven analysis, not a holding base analysis (i.e, categorizing each of the stock in the holding to see where it belongs), so it is nigh impossible to get "clean" 100% weighting because the indices are not 100% independent, so if it says 2%, it does not necessarily mean 2% of the holdings is large cap. It says 2% of the explainable return is driven by large cap index return.
The real % holding of large cap is likely to be smaller than that.作者: Zestt 时间: 2011-7-11 19:36
I got this one incorrect too. I thought 7% was good enough to be called an ACTIVE strategy.
Your answer: A was incorrect. The correct answer was C) The high style fit (93%) indicates that Gamma Managers should increase the amount of active management in the future.
Again, the high style fit probably indicates a passive strategy which does not follow GM’s mandate to actively manage the small-cap growth portion of the plan’s equities. To follow its mandate of active management, GM would need to increase the amount of active management resulting in a smaller style fit (R2)
