Returns based vs Holdings based style analysis

style

Which picks up style drift quicker?

leadcfa

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发表于 2013-5-3 14:26 | 只看该作者

Holdings Based

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tikfed

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发表于 2013-5-3 14:30 | 只看该作者

holding is easier, quickers
yet harder to get all info, and i dont know..

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ShooterMcCFA

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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.

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jcole21

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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

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cyber21