Returns based vs Holdings based style analysis

style

Which picks up style drift quicker?

ruchita

CFA Candidates

Rank: 2

UID: 223358
帖子: 257
主题: 53
注册时间: 2011-7-11
最后登录: 2016-4-19

7^#

发表于 2013-5-3 14:39 | 只看该作者

is it real?

TOP

cyber21

游客

UID: 223242
帖子: 577
主题: 272
注册时间: 2011-7-11
最后登录: 2016-4-19

6^#

发表于 2013-5-3 14:36 | 只看该作者

HBA detection quicker…
HBA uses multiples, dividend payout, sector to determine value or growth

TOP

jcole21

CFA Candidates

Rank: 2

UID: 222270
帖子: 270
主题: 53
注册时间: 2011-7-2
最后登录: 2014-6-27

5^#

发表于 2013-5-3 14:33 | 只看该作者

Pros
RBSA
characterizes portfolio
can compare portfolio
same for holdings based except sub. securities for portfolio
cons
RBSA
style drift causes accuracy problems
Holdings based
need more data than RBSA

TOP

ShooterMcCFA

游客

UID: 223243
帖子: 238
主题: 153
注册时间: 2011-7-11
最后登录: 2013-8-11

4^#

发表于 2013-5-3 14:32 | 只看该作者

Holdings Based: Pros - Picks up style drift quicker, can be done at point in time
Cons- need extensive data, may not reflect manager’s investment opinion
Returns Based: Pros- Easily interpreted, ?
Cons- Need to select the right indices or your results are misleading.

TOP

tikfed