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BillZ · 2024年12月04日

Return based approach

  1. CFA III
  2. Trading&Performance

NO.PZ2020020202000021

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：

A is correct.

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.

题目中return based approach 要怎么满足条件（2）include the impact of specific active investment decisions and the attribution effects of allocation and security selection in the report.

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1 个答案

王暄_品职助教 · 2024年12月04日

嗨，努力学习的PZer你好：


题目中提到的条件（2）是“包括特定主动投资决策的影响以及配置和证券选择的归因效应在报告中”。这看起来与return-based attribution（基于回报的归因分析）的传统定义存在一定的不匹配，因为基于回报的归因分析通常只关注投资组合的总回报，并将其分解为不同的归因部分，如资产配置、行业选择、证券选择等，而不深入考虑具体的主动投资决策。


然而，为了满足题目中的条件（2），我们可以对return-based attribution方法进行一定的扩展或解释，以使其包含特定主动投资决策的影响。这种扩展可能涉及对投资组合回报的更细致分解，包括但不限于：

  1. 主动管理的影响：在return-based attribution中，可以通过比较投资组合与某个基准（如市场指数）的回报来识别主动管理的效果。超出基准的回报可以被视为主动管理带来的价值。
  2. 配置效应：分析投资组合中不同资产类别或行业的权重变化对总回报的影响。这可以反映投资经理在资产配置上的主动决策。
  3. 证券选择效应：识别投资组合中个别证券的表现对总回报的贡献。这包括分析哪些证券的表现优于或劣于基准，以及这些差异对整体回报的影响。

尽管return-based attribution在传统上可能不直接涉及具体的主动投资决策细节，但通过上述扩展，它可以间接地包含这些信息。当然，与holdings-based（基于持仓的）和transaction-based（基于交易的）归因方法相比，return-based方法可能在提供这些具体细节方面不那么直接或准确。因此，选项A（这种方法是最不准确的）仍然成立，因为它在提供特定主动投资决策的详细影响方面可能不如其他两种方法。

综上所述，为了满足题目中的条件（2），我们需要对return-based attribution进行一定的扩展和解释，以包含主动投资决策的影响。然而，这种扩展可能不如其他归因方法直接或准确，因此选项A是正确的。


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努力的时光都是限量版，加油！

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NO.PZ2020020202000021 问题如下 There are three approaches to attribution analysis: the return-base holngs-base antransaction-baseapproaches. investment committee woullike to choose from the above attribution methomeets below scriptions: (1) apply the attribution methothuses only eafuns totportfolio returns over the last 12 months to intify return-generating components of the investment process an(2) inclu the impaof specific active investment cisions anthe attribution effects of allocation ansecurity selection in the report.Compareto other two metho, the methorequestethe committee: A.is the least accurate. B.uses the unrlying holngs of the actuportfolio. C.is the most fficult antime consuming to implement. A is correct.The committee scribea return-baseattribution, whiis the least accurate of the three approaches (the return-base holngs-base transaction-baseapproaches). Return-baseattribution uses only the totportfolio returns over a perioto intify the components of the investment process thhave generatethe returns. 看第一句话就只给了一个Totportfolio return，所以就是Returns base然后第二句话的意思是，只是要泛泛陈述一下selection之类的影响，并不是要去计算，因为什么数据都没有。综合来说就是returns base

2024-12-03 15:33 1 · 回答

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2023-07-08 15:37 1 · 回答

老师这题我没看明白呀 给了2个描述 就选A？能讲下吗 谢谢

2020-02-18 14:08 1 · 回答

(1) apply the attribution methothuses only eafuns totportfolio returns over the last 12 months 这一点为什么不是指holng呢？

2020-02-15 17:39 1 · 回答