投资组合归类分析(PDF34)英文

资料简介：The goal of portfolio styling should be to develop
accurate measures ofimportant differences between investment portfolios
. High quality style
information is essential to understanding how a portfolio has been managed,to determining whether the portfolio might provide diversificationbenefits in a multi-manager portfolio, and to developing appropriatebenchmarks and style peer groups against which portfolio returnsshould be compared.
Two general models of portfolio styling are widely used today. Athird model is presented in this chapter.
1. Returns based styling (hereafter called RBS) develops style informationfrom past portfolio returns. Initially suggested by Nobel laureate WilliamF. Sharpe, the advantage of RBS is its low cost.
1Armed with only aspreadsheet package and past returns on various security indexes, onecan calculate RBS style information for any portfolio for which a suffi-cient return history is available. Its advantage is clearly low cost andrelative ease of data collection. Its weakness is that it is only a statisticalestimate of the portfolio’saverage asset allocation during the returninterval chosen
to estimate the portfolio’s effective asset allocation RBS
lacks what is called “Timeliness” in this chapter.