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willhunting · 2023年07月17日

题干信息

NO.PZ2022122701000016

问题如下:

There are three approaches to attribution analysis: the return-based, holdings-based, and transaction-based approaches. An investment committee would like to choose from the above attribution method meets below descriptions: (1) apply the attribution method that uses only each fund’s total portfolio returns over the last 12 months to identify return-generating components of the investment process and (2) include the impact of specific active investment decisions and the attribution effects of allocation and security selection in the report.

Compared to other two methods, the method requested by the committee:

选项:

A.

is the least accurate.

B.

uses the underlying holdings of the actual portfolio.

C.

is the most difficult and time consuming to implement.

解释:

Correct Answer: A

The committee described a return-based attribution, which is the least accurate of the three approaches (the return-based, holdings-based, transaction-based approaches). Return-based attribution uses only the total portfolio returns over a period to identify the components of the investment process that have generated the returns.

这道题的题干第2点信息是什么意思呢,有干扰作用。答案没有解释,讲解视频也是一步带过

1 个答案
已采纳答案

笛子_品职助教 · 2023年07月18日

嗨,努力学习的PZer你好:


这道题的题干第2点信息是什么意思呢,有干扰作用。答案没有解释,讲解视频也是一步带过

第二点其实没有多少增量信息:

意思是:在报告中包括具体主动投资决策的影响以及分配和证券选择的归因效应。


实际上和第一点说得差不多,就是使用了:return - based方法。

return - based方法是最不准确的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Xiaochong · 2024年07月14日

hello, could you give some very specific examples/ wording for holding based and transactions based approach expected in the exam. thanks!

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