TTER
2024-01-27 15:07第三題，怎么理解“ Holdings-based attribution fails to capture the impact of any transactions made during the measurement period and may not reconcile to the actual portfolio return. ”？
所屬：CFA Level III > Trading, Performance Evaluation, and Manager Selection 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
王蘇云助教
2024-01-28 10:29
該回答已被題主采納
同學(xué)，你好！
這句話意思是，由于基于持倉的收益歸因未能反映出在衡量期間所做的交易的影響，因此它可能與實際的投資組合的回報不一致。
For example, in a daily holdings-based attribution, securities are included at the end of the day they are purchased and excluded at the end of the day they are sold. If the transaction price is significantly
different from the closing price, the attribution analysis can differ significantly from the actual performance.因為基于持倉的收益歸因是按投資組合的期初持有情況來做歸因分析的，不能捕捉到在測量期間所進行的任何交易的影響，所以可能與實際表現(xiàn)有顯著差異。
祝學(xué)習(xí)順利~
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