彪同學(xué)
2024-06-05 11:22第二個(gè)條件不是在說(shuō)holding-based attribution嗎?return-based業(yè)績(jī)歸因是看總收益的,沒(méi)法得到每個(gè)資產(chǎn)的權(quán)重,怎么考量allocation effect呢?
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
開(kāi)開(kāi)助教
2024-06-11 09:39
該回答已被題主采納
同學(xué)你好,return based也可以include the impact of specific active investment decisions and the attribution effects of allocation and security selection in the report.
其中,factor tilt return體現(xiàn)的就是allocation,是通過(guò)回歸得到在因子上的beta,即因子的權(quán)重,從而計(jì)算出allocation的。
如果答疑對(duì)你有幫助,【請(qǐng)采納】喲~。加油,祝你順利通過(guò)考試~
