标题: Reading 43: Evaluating Portfol....rmance－LOS f,(Part 2) [打印本页]
作者: tycoon 时间: 2008-9-17 17:05 标题: [2008] Session 16- Reading 43: Evaluating Portfol....rmance－LOS f,(Part 2)
CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 16: Performance Evaluation and Attribution
Reading 43: Evaluating Portfolio Performance
LOS f, (Part 2): Evaluate the advantages and disadvantages of alternative types of performance benchmarks.
作者: tycoon 时间: 2008-9-17 17:05
All of the following would be regarded as a specific disadvantage of factor-based-models, EXCEPT:
A) | the managers style may deviate from the style reflected in the benchmark. |
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| B) | the benchmark may not be investable. |
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| C) | factor model benchmarks are not always intuitive to the fund sponsor or indeed investment manager. |
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| D) | it is possible to construct multiple benchmarks, all having the same factor exposures but with different returns. |
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Answer and Explanation
The managers style may deviate from the style reflected in the benchmark is a weakness of broad based market indexes not factor-model-based benchmarks. All of the other statements are regarded to be disadvantages of factor-model-based benchmarks.
作者: tycoon 时间: 2008-9-17 17:06
Custom security-based benchmarks reflect the managers investment universe, weighted to reflect a particular approach. Which of the following is NOT an advantage of this type of benchmark?
| A) | It meets all the required benchmark properties and all of the benchmark validity criteria. |
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B) | It is cheap to construct and easy to maintain. |
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| C) | Allows continual monitoring of the investment process. |
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| D) | Allows fund sponsors to effectively allocate risk across investment management teams. |
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Answer and Explanation
A major disadvantage of custom security-based benchmarks is that they can be expensive to construct and maintain. All of the other statements are regarded to be advantages of using custom security-based benchmarks.
作者: tycoon 时间: 2008-9-17 17:06
Which of the following statements about style indexes is FALSE?
| A) | They are widely available, widely understood and widely accepted. |
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| B) | Some style indexes can contain weightings in certain securities and/or sectors that may be larger than considered prudent. |
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C) | They help fund sponsors better understand a managers investment style, by capturing factor exposures. |
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| D) | Style indexes include large-capitalization growth and small capitalization value. |
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Answer and Explanation
Helping fund sponsors better understand a managers investment style, by capturing factor exposures is an advantage of factor models and not style indexes. All the other statements are true in the context of style indexes.
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