137****6108
2024-02-05 23:29請(qǐng)講解一下 主要是選項(xiàng)中的表述看不太懂啥意思
所屬：CFA Level III > Trading, Performance Evaluation, and Manager Selection 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Evian, CFA助教
2024-02-15 20:05
該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，
針對(duì)截圖1第一段話：
Timmon then asks Richard why holdings-based attribution can generate a residual term between the portfolio performance and benchmark performance. Richard responds that the residual term cannot be explained by an action taken by the fund manager, but it could result from transactions occurring more frequently than the holdings assessments for the fund.
題目的意思是這句話是對(duì)著的：
Richard responds that the residual term cannot be explained by an action taken by the fund manager, but it could result from transactions occurring more frequently than the holdings assessments for the fund.
transactions occurring more frequently，理解為交易得更加頻繁
這里的residual是指歸因的偏差，即holding based attribution的缺點(diǎn)。由于Holding base只是針對(duì)某個(gè)時(shí)間點(diǎn)的holding做研究，該時(shí)間點(diǎn)之前之后 holding 的改變（turnover）無(wú)法得知，也就是說(shuō)只適合于little turnover的情況。所以一旦turnover變大，那么holding就會(huì)不準(zhǔn)，就會(huì)造成偏差。所以交易的頻繁，就會(huì)造成residual。這就是原文的意思。所以原文這句話的表述完全正確。
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追答
ヾ(?°?°?)??你好同學(xué)，
針對(duì)截圖2的第一段話：
Timmon states that AQI often uses the Brinson model with an interaction term for attribution purposes and asks Richard how the Brinson model incorporates fund manager sector weights and benchmark portfolio sector weights.
A是不對(duì)的，A說(shuō)的是個(gè)股選擇，而題目問(wèn)的是 sector weights板塊權(quán)重，所以不對(duì)應(yīng)。
B選項(xiàng)應(yīng)該是will not affect。
因?yàn)閒und sponsor的allocation是一個(gè)宏觀的層面，而fund manager的sector weights是這之后的micro層面。無(wú)論fund sponsor分配過(guò)來(lái)多少錢，fund manager按照這些錢投，sector weight不會(huì)被sponsor的總體自己allocation所影響的。
C是正確的，請(qǐng)結(jié)合以下截圖
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